Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Reads0
Chats0
TLDR
In this paper, the authors consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is "trend-stationary" and show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit-root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time break.Abstract:
We consider the null hypothesis that a time series has a unit root with possibly nonzero drift against the alternative that the process is «trend-stationary». The interest is that we allow under both the null and alternative hypotheses for the presence for a one-time change in the level or in the slope of the trend function. We show how standard tests of the unit root hypothesis against trend stationary alternatives cannot reject the unit root hypothesis if the true data generating mechanism is that of stationary fluctuations around a trend function which contains a one-time breakread more
Citations
More filters
Journal ArticleDOI
Assessing forecast performance in a cointegrated system
TL;DR: In this article, the authors examined the forecast performance of a cointegrated system relative to a comparable VAR that fails to recognize that the system is characterized by cointegration.
Journal ArticleDOI
Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates
TL;DR: In this article, the authors developed tests for unit roots that account jointly for structural breaks and non-linear adjustment induced by transaction costs, and applied these tests to a set of 15 OECD countries' RERs and were able to reject the null of a unit root in 14 cases.
Book ChapterDOI
Progressive Modeling of Macroeconomic Time Series The LSE Methodology
TL;DR: Econometric models, large and small, have played an increasingly important role in macroeconomic forecasting and policy analysis, and there is a wide range of model types used for this purpose, including simultaneous-equation models in either reduced or structural form.
Journal ArticleDOI
The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model
Paul M. Jones,Eric Olson +1 more
TL;DR: This article evaluated the time-varying correlation between macroeconomic uncertainty, inflation, and output using a new uncertainty index from Baker et al. and showed that the sign of the correlation between uncertainty and inflation changed from negative to positive during the late 1990s.
References
More filters
Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
Related Papers (5)
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Eric Zivot,Donald W.K. Andrews +1 more
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more