Journal ArticleDOI
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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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
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Journal ArticleDOI
Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited
TL;DR: In this paper, it was shown that sufficient conditions for unit roots, found in AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved.
Journal ArticleDOI
Unit root tests with a break in innovation variance
TL;DR: In this article, it was shown that an abrupt change in the innovation variance of an integrated process can generate spurious rejections of the unit root null hypothesis in routine applications of Dickey-Fuller tests.
Book
Emergent Macroeconomics: An Agent-Based Approach to Business Fluctuations
TL;DR: In this article, the authors present an agent-based model for Industrial Dynamics, where the distribution of firms' size and exit, productivity, and income are stylized facts of industrial dynamics.
Journal ArticleDOI
Oil price shocks, income, and democracy
TL;DR: The authors examined the effect of international oil price fluctuations on democratic institutions over the 1960-2007 period and found that countries with greater net oil exports over GDP see improvements in democratic institutions following upturns in international oil prices.
Journal ArticleDOI
Is the budget deficit “too large”?: some further evidence
Evan Tanner,Peter C. Liu +1 more
TL;DR: Hakkio et al. as mentioned in this paper showed that the U.S. federal deficit is too large for intertemporal solvency and thus the government has an incentive to default on its debt, losing the confidence of investors.
References
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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.
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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
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