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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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.
Journal ArticleDOI
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.
Journal ArticleDOI
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.
Posted Content
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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Journal ArticleDOI
Macroeconomic time-series, business cycles and macroeconomic policies
Journal ArticleDOI
Non-stationarities in macro-economic time series - further evidence and implications
TL;DR: In this article, two sources of non-stationarities in the mean of macroeconomic time series are investigated and the empirical evidence for several countries clearly implies that differencing is to be preferred to the assumption of a deterministic linear time trend.
Book ChapterDOI
Permanent and Transitory Components in Macroeconomics
Marco Lippi,Lucrezia Reichlin +1 more
TL;DR: The Keynesian approach to macroeconomics, which prevailed until the end of the 1960s, distinguished quite neatly between those forces that drive the economic system along its long-run path and forces causing fluctuations around that path.
Related Papers (5)
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
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