Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification PDF Download
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Author: Tae-Hwan Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and verified empirically, that under the I(1) null and I(0) alternative hypotheses the Dickey-Fuller test can display a wide range of different characteristics depending on the nature and location of the break.
Author: Tae-Hwan Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We analyse the case where a unit-root test is based on a Dickey-Fuller regression the only deterministic term of which is a fixed intercept. Suppose, however, as could well be the case, that the actual data-generating process includes a broken linear trend. It is shown theoretically, and verified empirically, that under the I(1) null and I(0) alternative hypotheses the Dickey-Fuller test can display a wide range of different characteristics depending on the nature and location of the break.
Author: Boriss Siliverstovs
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Book Description
Author: Olaf Hübler
Publisher: Springer Science & Business Media
ISBN: 3540326936
Category : Business & Economics
Languages : en
Pages : 236
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Book Description
In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
Author: K. Patterson
Publisher: Springer
ISBN: 1137003316
Category : Business & Economics
Languages : en
Pages : 586
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Book Description
Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Author: Bent Nielsen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Dickey and Fuller [Econometrica (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. TPower of tests for unit roots in the presence of a linear trend slightly different model with a random initial value in which nuisance parameters can easily be eliminated by an invariant reduction of the model. We show that invariance arguments can also be used when comparing power within a conditional model. In the context of the conditional model, the Dickey-Fuller test is shown to be more stringent than a number of unit-root tests motivated by models with random initial value. The power of the Dickey-Fuller test can be improved by making assumptions to the initial value. The practitioner therefore has to trade-off robustness and power, as assumptions about initial values are hard to test, but can give more power.
Author: Paramsothy Silvapulle
Publisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 30
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Author: S. Burke
Publisher: Springer
ISBN: 0230005780
Category : Business & Economics
Languages : en
Pages : 253
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Book Description
Co-integration, equilibrium and equilibrium correction are key concepts in modern applications of econometrics to real world problems. This book provides direction and guidance to the now vast literature facing students and graduate economists. Econometric theory is linked to practical issues such as how to identify equilibrium relationships, how to deal with structural breaks associated with regime changes and what to do when variables are of different orders of integration.
Author: Yin-Wong Cheung
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 48
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Book Description
Author: Francisco Bulnes
Publisher: BoD – Books on Demand
ISBN: 1839681683
Category : Computers
Languages : en
Pages : 292
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Book Description
A numerical simulation is a computing calculation following a program that develops a mathematical model for a physical, social, economic, or biological system. Numerical simulations are required for analyzing and studying the behavior of systems whose mathematical models are very complex, as in the case of nonlinear systems. Capturing the resulting uncertainty of models based on uncertain parameters and constraints in confidence intervals (1-D), or more generally (>1-D) confidence regions, is very common for expressing to which degree the computed result is believed to be consistent with possible values of the targeted observable. This book examines the different methods used in numerical simulations, including adaptive and stochastic methods as well as finite element analysis research. This work is accompanied by studies of confidence regions, often utilized to express the credibility of such calculations and simulations.
Author: Neil Shephard
Publisher: Oxford University Press, USA
ISBN: 0199257205
Category : Business & Economics
Languages : en
Pages : 534
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Book Description
Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
