Author: Robert Taylor
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper builds on the existing literature on tests of the null hypothesis of deterministic seasonality in a univariate time-series process. Under the assumption of independent Gaussian errors, we derive the class of locally weighted mean most powerful invariant tests against unit roots at the zero and/or seasonal frequencies in a seasonally observed process. Representations for the limiting distributions of the proposed test statistics under sequences of local alternatives are derived, and the relationship with tests for corresponding moving average unit roots is explored. We also propose nonparametric modifications of these test statistics designed to have limit distributions which are free of nuisance parameters under weaker conditions on the errors. Our tests are shown to contain existing stationarity tests as special cases and to extend these tests in a number of useful directions.
Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes
Author: Robert Taylor
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper builds on the existing literature on tests of the null hypothesis of deterministic seasonality in a univariate time-series process. Under the assumption of independent Gaussian errors, we derive the class of locally weighted mean most powerful invariant tests against unit roots at the zero and/or seasonal frequencies in a seasonally observed process. Representations for the limiting distributions of the proposed test statistics under sequences of local alternatives are derived, and the relationship with tests for corresponding moving average unit roots is explored. We also propose nonparametric modifications of these test statistics designed to have limit distributions which are free of nuisance parameters under weaker conditions on the errors. Our tests are shown to contain existing stationarity tests as special cases and to extend these tests in a number of useful directions.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This paper builds on the existing literature on tests of the null hypothesis of deterministic seasonality in a univariate time-series process. Under the assumption of independent Gaussian errors, we derive the class of locally weighted mean most powerful invariant tests against unit roots at the zero and/or seasonal frequencies in a seasonally observed process. Representations for the limiting distributions of the proposed test statistics under sequences of local alternatives are derived, and the relationship with tests for corresponding moving average unit roots is explored. We also propose nonparametric modifications of these test statistics designed to have limit distributions which are free of nuisance parameters under weaker conditions on the errors. Our tests are shown to contain existing stationarity tests as special cases and to extend these tests in a number of useful directions.
Locally Optimal Tests Against Seasonal Unit Roots
Author: A. R. Taylor
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
Book Description
Almost All about Unit Roots
Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301
Book Description
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.
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301
Book Description
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.
Unit Root Tests in Time Series Volume 1
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
Book Description
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
Book Description
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Testing Against Stochastic Trend and Seasonality in the Presence of Unattended Breaks and Unit Roots
Author: Fabio Busetti
Publisher:
ISBN:
Category : Seasonal variations
Languages : en
Pages : 72
Book Description
Publisher:
ISBN:
Category : Seasonal variations
Languages : en
Pages : 72
Book Description
Point Optimal Testing with Roots That Are Functionally Local to Unity
Author: Anna Bykhovskaya
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling the development of methods robust to departures from unit roots. The present paper shows how to generalize LUR asymptotics to cases where the localized departure from unity is a time varying function rather than a constant. Such a functional local unit root (FLUR) model has much greater generality and encompasses many cases of additional interest, including structural break formulations that admit subperiods of unit root, local stationary and local explosive behavior within a given sample. Point optimal FLUR tests are constructed in the paper to accommodate such cases. It is shown that against FLUR alternatives, conventional constant point optimal tests can have extremely low power, particularly when the departure from unity occurs early in the sample period. Simulation results are reported and some implications for empirical practice are examined.
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Book Description
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling the development of methods robust to departures from unit roots. The present paper shows how to generalize LUR asymptotics to cases where the localized departure from unity is a time varying function rather than a constant. Such a functional local unit root (FLUR) model has much greater generality and encompasses many cases of additional interest, including structural break formulations that admit subperiods of unit root, local stationary and local explosive behavior within a given sample. Point optimal FLUR tests are constructed in the paper to accommodate such cases. It is shown that against FLUR alternatives, conventional constant point optimal tests can have extremely low power, particularly when the departure from unity occurs early in the sample period. Simulation results are reported and some implications for empirical practice are examined.
Unit Roots, Cointegration, and Structural Change
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Analysis of Integrated and Cointegrated Time Series with R
Author: Bernhard Pfaff
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Publisher: Springer Science & Business Media
ISBN: 0387759670
Category : Business & Economics
Languages : en
Pages : 193
Book Description
This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Journal of the American Statistical Association
Author:
Publisher:
ISBN:
Category : Electronic journals
Languages : en
Pages : 1726
Book Description
Publisher:
ISBN:
Category : Electronic journals
Languages : en
Pages : 1726
Book Description
Mathematical Reviews
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1852
Book Description
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1852
Book Description