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
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Book ChapterDOI
Chapter 9 Terrorism: Theory and applications
Walter Enders,Todd Sandler +1 more
TL;DR: In this article, a simple game-theoretic framework is presented to ascertain under what circumstances a government would want to precommit itself to a no-negotiation strategy, and a host of time-series techniques are used to study the effectiveness of alternative antiterrorism policies.
Journal ArticleDOI
The Black Market Exchange Rate and Demand for Money in Iran
TL;DR: In this article, the authors used the Johansen-Juselius cointegration analysis and exclusion test to demonstrate that in a country where there is a black market for foreign currencies, it is the black market exchange rate and not the official rate that should enter into the formulation of the demand for money.
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On the Empirical Significance of the Hotelling Rule
TL;DR: The Hotelling Rule as mentioned in this paper states that price net of marginal cost must rise at the rate of interest in non-renewable resource markets, which is the theoretical core of the economics of non-energy resources.
ReportDOI
Assessing target zone credibility Mean reversion and devaluation expectations in the ERM, 1979-1992
TL;DR: In this article, the authors presented estimates of devaluation expectations for six ERM currencies relative to the Deutsche mark, for the period March 1979-April 1992, using both the simple test and the drift adjustment method.
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Is public-expenditure really productive - new evidence for the usa and the netherlands
Jan-Egbert Sturm,Jakob de Haan +1 more
TL;DR: In this paper, empirical evidence for the USA on the impact of the public capital stock on productivity is reviewed and the well known model of Aschauer is estimated in first differences, which is necessary as the variables used are neither stationary nor cointegrated.
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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