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
Accounting for real and nominal exchange rate movements in the post-bretton woods period
Walter Enders,Bong-Soo Lee +1 more
TL;DR: In this paper, the authors decompose real and nominal exchange rate movements into the components induced by real, rather than supply, factors, and show that real demand, not supply, is responsible for exchange rate fluctuations.
Journal ArticleDOI
Testing for a unit root in the presence of a variance shift
Shigeyuki Hamori,Akira Tokihisa +1 more
TL;DR: In this article, the authors examined the effects of shifts in variance on the unit root test and derived the limiting distribution of the test statistic and Monte Carlo experiment evidence on the finite sample.
Journal ArticleDOI
The Dynamic Effects of Aggregate Demand, Supply and Oil Price Shocks—A Comparative Study
TL;DR: In this article, the dynamic effects of aggregate demand, supply and oil price shocks on GDP and unemployment in Germany, Norway, the UK and the USA were analyzed, and the role of the different shocks in explaining output fluctuations over time was established.
Journal ArticleDOI
Testing the Tourism-Led Growth hypothesis: The case of Malta
TL;DR: In this paper, the authors employ the bounds test for co-integration and Granger causality tests to investigate level relationship and the direction of causality between international tourism and economic growth in the case of Malta.
Book ChapterDOI
Testing for a Unit Root in the Presence of a Maintained Trend
TL;DR: The authors developed statistics for detecting the presence of a unit root in time series data against the alternative of stationarity, and applied them to a number of models of macroeconomic behavior, including a wide class of weakly dependent and possibly heterogenously distributed errors.
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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