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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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Journal ArticleDOI
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
Eric Zivot,Donald W.K. Andrews +1 more
TL;DR: In this paper, a variation of Perron's test is considered in which the breakpoint is estimated rather than fixed, and the asymptotic distribution of the estimated breakpoint test statistic is determined.
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Estimating and testing linear models with multiple structural changes
Jushan Bai,Pierre Perron +1 more
TL;DR: In this article, the authors developed the statistical theory for testing and estimating multiple change points in regression models, and several test statistics were proposed to determine the existence as well as the number of change points.
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ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
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Introductory Econometrics for Finance
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
References
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Hysteresis and the European Unemployment Problem
TL;DR: The authors argue that if wages are largely set by bargaining between insiders and firms, shocks which affect actual unemployment tend also to affect equilibrium unemployment, which implies that shocks have much more persistent effects on unemployment than standard theories can possibly explain.
Journal ArticleDOI
How Big Is the Random Walk in GNP
TL;DR: In this article, the authors present a measure of the persistence of fluctuations in GNP based on the variance of its long differences, and show that conventional criteria for time series model building can produce misleading estimates of persistence.
ReportDOI
Hysteresis and the European Unemployment Problem
TL;DR: The authors argue that if wages are largely set by bargaining between insiders and firms, shocks which affect actual unemployment tend also to affect equilibrium unemployment, which implies that shocks have much more persistent effects on unemployment than standard theories can possibly explain.
Journal ArticleDOI
Multiple Time Series Regression with Integrated Processes
TL;DR: In this article, the authors developed a general asymptotic theory of regression for processes which are integrated of order one, including vector autoregressions and multivariate regressions among integrated processes that are driven by innovation sequences.
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Are Output Fluctuations Transitory
TL;DR: In this paper, the authors examined the impact of changes in real GNP on the forecast of output over a long time horizon and found that an unexpected change in output today should not substantially change one's forecast in, say, five or ten years.
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Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
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