Testing Of Unit Roots And Other Fractionally Integrated Hypotheses In The Presence Of Structural Breaks PDF Download
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Author | : Luis A. Gil-Alaña |
Publisher | : |
Total Pages | : |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Testing of Unit Roots and Other Fractionally Integrated Hypotheses in the Presence of Structural Breaks Book in PDF, ePub and Kindle
Author | : In Choi |
Publisher | : Cambridge University Press |
Total Pages | : 301 |
Release | : 2015-05-07 |
Genre | : Business & Economics |
ISBN | : 1316300587 |
Download Almost All about Unit Roots Book in PDF, ePub and Kindle
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are present. Thus, knowledge on unit roots has become so important, necessitating an extensive, compact, and nontechnical book on this subject. This book is rested on this motivation and introduces the literature on unit roots in a comprehensive manner to both empirical and theoretical researchers in economics and other areas. By providing a clear, complete, and critical discussion of unit root literature, In Choi covers a wide range of topics, including uniform confidence interval construction, unit root tests allowing structural breaks, mildly explosive processes, exuberance testing, fractionally integrated processes, seasonal unit roots and panel unit root testing. Extensive, up to date, and readily accessible, this book is a comprehensive reference source on unit roots for both students and applied workers.
Author | : Paramsothy Silvapulle |
Publisher | : |
Total Pages | : 30 |
Release | : 1995 |
Genre | : Monte Carlo method |
ISBN | : |
Download Unit Root Tests and Structural Breaks Book in PDF, ePub and Kindle
Author | : Junsoo Lee |
Publisher | : |
Total Pages | : 304 |
Release | : 1991 |
Genre | : Autocorrelation (Statistics) |
ISBN | : |
Download Unit Root Tests in the Presence of Autocorrelated Errors and Structural Change Book in PDF, ePub and Kindle
Author | : André Descôteaux |
Publisher | : |
Total Pages | : 182 |
Release | : 1994 |
Genre | : Business cycles |
ISBN | : |
Download Testing for Unit Roots in the Presence of Two Structural Breaks Book in PDF, ePub and Kindle
Author | : Josep Lluís Carrion-i-Silvestre |
Publisher | : |
Total Pages | : 0 |
Release | : 2007 |
Genre | : |
ISBN | : |
Download Joint Hypothesis Specification for Unit Root Tests with a Structural Break Book in PDF, ePub and Kindle
Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is not allowed under the null hypothesis, and where it is allowed. Simulations investigate the performance of this proposal compared to the existing tests and show important gains in terms of power.
Author | : Charbel Bassil |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Interaction Between Unit Roots and Structural Breaks Book in PDF, ePub and Kindle
In this paper, we review the recent econometric methods related to unit root tests. The central idea is the interaction between structural breaks and unit roots. We consider the standard Dickey-Fuller test and its modifications that allow under the alternative hypothesis one or multiple structural breaks. The break dates are endogenous and the number of breaks may be unknown. We investigate the size and power of these tests. Thus we consider the problem of estimating the number of structural breaks and the problem of estimating the break dates. A second type of test is reviewed, the LM unit root tests that allow under the null and the alternative hypothesis one or two unknown breaks. We also discuss the tests of structural breaks built for a stationary variables. We distinguish two types of tests: tests for a single break and tests for multiple breaks.
Author | : G. Kapetanios |
Publisher | : |
Total Pages | : |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks Book in PDF, ePub and Kindle
Author | : George Kapetanios |
Publisher | : |
Total Pages | : 0 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks Book in PDF, ePub and Kindle
In this paper we provide tests for the unit-root hypothesis against the occurrence of an unspecified number of breaks which may be larger than 2 but smaller than the maximum number of breaks allowed, m, in univariate time-series models. The advocated procedure is considerably less computationally intensive than those widely used in the literature. We provide critical values for the test and examine its small sample properties through Monte Carlo experiments.
Author | : Joakim Westerlund |
Publisher | : |
Total Pages | : 0 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Testing for Unit Roots in Panel Time-Series Models with Multiple Level Breaks Book in PDF, ePub and Kindle
This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks in the level of the data. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.