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Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks

2005
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Release : 2005
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Book Synopsis Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks by : George Kapetanios

Download or read book Unit-Root Testing Against the Alternative Hypothesis of Up to Structural Breaks written by George Kapetanios. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks

2005
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Release : 2005
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Book Synopsis Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks by : George Kapetanios

Download or read book Unit Root Testing Against the Alternative Hypothesis of Up to M Structural Breaks written by George Kapetanios. This book was released on 2005. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we provide tests for the unit root hypothesis against the occurence of an unspecified number of breaks which may be larger than 2 but smaller that the maximum allowed number of breaks, 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, examine its small sample properties through Monte Carlo experiments and apply the new test to the Nelson and Plosser macroeconomic series.

Unit Root Tests and Structural Breaks

1995 Monte Carlo method
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Release : 1995
Genre : Monte Carlo method
Kind : eBook
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Book Synopsis Unit Root Tests and Structural Breaks by : Paramsothy Silvapulle

Download or read book Unit Root Tests and Structural Breaks written by Paramsothy Silvapulle. This book was released on 1995. Available in PDF, EPUB and Kindle. Book excerpt:

Unit root tests: Common pitfalls and best practices

2021-12-31 Political Science
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Release : 2021-12-31
Genre : Political Science
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Book Synopsis Unit root tests: Common pitfalls and best practices by : Traoré, Fousseini

Download or read book Unit root tests: Common pitfalls and best practices written by Traoré, Fousseini. This book was released on 2021-12-31. Available in PDF, EPUB and Kindle. Book excerpt: Since the seminal paper by Granger and Newbold (1974) on spurious regressions, applied econometricians have become aware of the consequences of unit roots in empirical analysis with time series data. Yet one can still find many published papers with unit root tests implemented in an inappropriate way. The objective of this Technical Note is to highlight the common pitfalls and best practices when testing for unit roots. In addition to the theoretical discussion, we provide examples using price data from Kenya, Mali, Togo, and South Africa to illustrate the procedures we think are worth following.

Unit Roots and Structural Breaks

2018-04-13 Business & Economics
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Release : 2018-04-13
Genre : Business & Economics
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Book Rating : 116/5 ( reviews)

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Book Synopsis Unit Roots and Structural Breaks by : Pierre Perron

Download or read book Unit Roots and Structural Breaks written by Pierre Perron. This book was released on 2018-04-13. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Unit Roots and Structural Breaks" that was published in Econometrics

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