unit root
Unit root tests for panel data: a survey and an application
... used unit root panel data tests which rely on cross-section independence and their recent developments are briefly reviewed in section ...recent unit root panel data tests which relax the ...
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Unit root tests for panel data : a survey and an application
... of unit roots in the panel data comes from the already known effect that the presence of unit roots in time series may cause a misinterpretation of estimated ...data unit root test results in ...
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Comparing two multivariate unit root tests
... for unit roots would be rather ...a unit root in one of them, which makes evident another problem suffered by the DF and PP tests: its inability to deal with multivariate ...
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Multivariate unit root tests
... Actually, the stationary coefficient "helps" in weakening the influence of the (other) non-stationary series. UnfortunateIy, these correlations are unknown in the[r] ...
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A unit root test based on partially adaptive estimation
... Convergence to the DF distribution is obtaineel when the innovations are Gaussian, implying that the traditional ADF test is a special case of the proposed testo Mo[r] ...
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DISSERTATION DOUBLE UNIT TESTS IN THE PRESENCE OF STRUCTURAL BREAKS FRANCISCO ANTÓNIO TEIXEIRA MENDONÇA
... two unit roots is how to proceed when the test leads to the rejection of the null ...one unit root when there is a break in the deterministic trend, such as Perron (1989), Zivot & Andrews (1992) ...
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Estud. Econ. vol.39 número4
... For the period ranging from January 1985 to November 2008, the overall results show that all the unemployment rates analyzed have clear signs of non-stationarity. To be more precise, in general, we did not reject the ...
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Rev. Bras. Econ. vol.57 número4
... robust unit root tests achieve the same conclusion as ADF-type tests that have been properly modified to account for inliers and shock plans through the specification and placement of dummy ...
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Rev. Bras. Econ. vol.64 número2
... and unit root tests with structural breaks share the same purpose: improve the power to reject a false unit ...the unit root tests with endogenously structural break points are very ...
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Econ. Apl. vol.13 número4
... A feature of these earlier papers is the use of the ADF test to investigate the order of integration of APC. Currently, the ADF problem of low-power is well-known. To overcome it, the following literature has used more ...
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Monetary union and productivity differences in mercosur countries
... The debate about a future monetary union in Mercosur has regained mo- mentum as a regional alternative to dollarization or currency board strategies. In this paper, we stressed the importance of the analysis of ...
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School of Economics and Management
... standard unit root tests out of five (the ADF, PP, Ng-Perron and ERS tests) indicate that the two series would be non-stationary in levels for most ...
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RAM, Rev. Adm. Mackenzie vol.18 número2
... a unit root in the series of the price-to-rent index, as well as the lack of a causal relationship of rents to prices in the direction of long-term equili- brium, revealed that the housing market in Belo ...
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On the purchasing power parity for Latin-American countries
... Recent developments in time series and panel data econometrics have provided better tests to look for evidence on the PPP hypothesis. New tests proposed by Elliott, Rothenberg, and Stock (1996) and Ng and Perron (2001) ...
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Rev. Bras. Econ. vol.68 número3
... several unit root tests with unknown structural breaks, the estimation of reduced form inflation dynamics and various robustness tests- we ponder that, in general terms, our results indicate that most ...
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IMPLE AND ROBUST TESTS OF THE QUADRATIC BREAK TREND HYPOTESHIS FOR (0),
... two unit roots, after observing substantial size ...standard unit root tests for a single unit root when there was evidence that double integrated processes were present in the data ...
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Rev. Bras. Econ. vol.62 número1
... export unit values, wholesale prices, value added deflators, unit labor costs, normalized unit labor costs and consumer ...DF-GLS unit root test of the RER series, for a sample of 16 ...
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A fractional cointegration analysis of purchasing power parity for Brazil
... The cointegration analysis of the cointegration regression residuaIs indicates the presence of a unit root, thus showing that shocks do not present a mean reversion[r] ...
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