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Author: Kyung So Im
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
This paper proposes new unit root tests that are more powerful when the error term follows a non-normal distribution. The improved power is gained by utilizing the additional moment conditions embodied in non-normal errors. Specifiđ“ŹŠlly, we follow the work of Im and Schmidt (2008), using the framework of generalized methods of moments (GMM), and adopt a simple two-step procedure based on the "residual augmented least squares" (RALS) methodology. Our RALS-based unit root tests make use of non-linear moment conditions through a computationally simple procedure. Our Monte Carlo simulation results show that the RALS-based unit root tests have good size and power properties, and they show significant efficiency gains when utilizing the additional information contained in non-normal errors information that is ignored in traditional unit root tests.
Author: Kyung So Im
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
This paper proposes new unit root tests that are more powerful when the error term follows a non-normal distribution. The improved power is gained by utilizing the additional moment conditions embodied in non-normal errors. Specifiđ“ŹŠlly, we follow the work of Im and Schmidt (2008), using the framework of generalized methods of moments (GMM), and adopt a simple two-step procedure based on the "residual augmented least squares" (RALS) methodology. Our RALS-based unit root tests make use of non-linear moment conditions through a computationally simple procedure. Our Monte Carlo simulation results show that the RALS-based unit root tests have good size and power properties, and they show significant efficiency gains when utilizing the additional information contained in non-normal errors information that is ignored in traditional unit root tests.
Author: Ming Meng
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 88
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Book Description
This dissertation is concerned with finding ways to improve the power of unit root tests. This dissertation consists of three essays. In the first essay, we extends the Lagrange Multiplier (LM) unit toot tests of Schmidt and Phillips (1992) to utilize information contained in non-normal errors. The new tests adopt the Residual Augmented Least Squares (RALS) estimation procedure of Im and Schmidt (2008). This essay complements the work of Im, Lee and Tieslau (2012) who adopt the RALS procedure for DF-based tests. This essay provides the relevant asymptotic distribution and the corresponding critical values of the new tests. The RALS-LM tests show improved power over the RALS-DF tests. Moreover, the main advantage of the RALS-LM tests lies in the invariance feature that the distribution does not depend on the nuisance parameter in the presence of level-breaks. The second essay tests the Prebisch-Singer hypothesis by examining paths of primary commodity prices which are known to exhibit multiple structural breaks. In order to examine the issue more properly, we first suggest new unit root tests that can allow for structural breaks in both the intercept and the slope. Then, we adopt the RALS procedure to gain much improved power when the error term follows a non-normal distribution. Since the suggested test is more powerful and free of nuisance parameters, rejection of the null can be considered as more accurate evidence of stationarity. We apply the new test on the recently extended Grilli and Yang index of 24 commodity series from 1900 to 2007. The empirical findings provide significant evidence to support that primary commodity prices are stationary with one or two trend breaks. However, compared with past studies, they provide even weaker evidence to support the Prebisch-Singer hypothesis. The third essay extends the Fourier Lagrange Multiplier (FLM) unit root tests of Enders and Lee (2012a) by using the RALS estimation procedure of Im and Schmidt (2008). While the F\LM type of tests can be used to control for smooth structural breaks of an unknown functional form, the RALS procedure can utilize additional higher-moment information contained in non-normal errors. For these new tests, knowledge of the underlying type of non-normal distribution of the error term or the precise functional form of the structure breaks is not required. Our simulation results demonstrate significant power gains over the FLM tests in the presence of non-normal errors.
Author: Robin C. Sickles
Publisher: Springer Science & Business Media
ISBN: 1489980083
Category : Business & Economics
Languages : en
Pages : 417
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Book Description
From the Introduction: This volume is dedicated to the remarkable career of Professor Peter Schmidt and the role he has played in mentoring us, his PhD students. Peter’s accomplishments are legendary among his students and the profession. Each of the papers in this Festschrift is a research work executed by a former PhD student of Peter’s, from his days at the University of North Carolina at Chapel Hill to his time at Michigan State University. Most of the papers were presented at The Conference in Honor of Peter Schmidt, June 30 - July 2, 2011. The conference was largely attended by his former students and one current student, who traveled from as far as Europe and Asia to honor Peter. This was a conference to celebrate Peter’s contribution to our contributions. By “our contributions” we mean the research papers that make up this Festschrift and the countless other publications by his students represented and not represented in this volume. Peter’s students may have their families to thank for much that is positive in their lives. However, if we think about it, our professional lives would not be the same without the lessons and the approaches to decision making that we learned from Peter. We spent our days together at Peter’s conference and the months since reminded of these aspects of our personalities and life goals that were enhanced, fostered, and nurtured by the very singular experiences we have had as Peter’s students. We recognized in 2011 that it was unlikely we would all be together again to celebrate such a wonderful moment in ours and Peter’s lives and pledged then to take full advantage of it. We did then, and we are now in the form of this volume.
Author: Hyejin Lee
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 102
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Book Description
The main focus of this dissertation is to find ways to improve the power in cointegration tests. This dissertation consists of three essays. In the first essay, a modified testing procedure for the Engle and Granger (1987; EG) cointegration test is suggested. Specifically, we suggest augmenting the usual EG testing regression with the first difference of the integrated regressors. The limiting distribution of this modified EG test under the null hypothesis will depend on the nuisance parameter, which reflects the signal-to-noise ratio. This essay shows that the nuisance parameter issue can be resolved when we follow the asymptotic distribution of the modified EG test, and use the relevant new sets of critical values corresponding to the estimated value of the nuisance parameter. It is found that the size and power properties of the modified EG test are fairly good. The modified EG test gains improved power rather than losing power as the signal-to-noise ratio increases. In the second essay, we examine whether non-linear unit root tests is robust with non-normal errors, which provides a motivation for the third essay. Especially, the second essay demonstrates how popular nonlinear unit root tests perform in the presence of non-normal errors. Non-normal errors normally do not pose a problem in usual linear unit root tests since the least squares estimator will still be the most efficient under certain ideal conditions regardless of normal or non-normal errors. The asymptotic properties of the popular linear Dickey-Fuller tests, for example, will be unaffected by non-normal errors. As such, the literature has not paid much attention to this issue. Nevertheless, whether similar results will carry over to nonlinear unit root tests with non-normal errors is a question that merits examination. To our surprise, the extant literature on nonlinear unit root tests has not examined this important question. We find that, in general, nonlinear unit root tests will suffer a loss of power in the presence of non-normal errors. In this regard, this essay brings out the neglected point that the obvious analogies of linear processes do not necessarily hold for nonlinear models. The third essay suggests new cointegration tests that are more powerful in the presence of non-normal errors. We use a two-step procedure based on the "residual augmented least squares" (RALS) method to make use of nonlinear moment conditions driven by non-normal errors. By utilizing this neglected information, we can make the existing tests more powerful. The suggested testing procedure is easy to implement. The underlying idea is similar to adding stationary covariates to improve the power of the test, but the suggested procedure does not require any new covariates outside the system. Instead, we can exploit the information on the non-normal error distribution that is already available but ignored in the usual cointegration tests. Our simulation results show significant power gains over existing cointegration tests.
Author: AyĹźe Cebeci
Publisher: IJOPEC
ISBN: 1912503301
Category : Business & Economics
Languages : en
Pages : 314
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Book Description
The papers in this volume cover a wide range topics related to theme of the conference, titled as “Current Debates in Social Sciences”, and reflect the different perspectives of economics. The studies are mainly about economics and econometrics and can be classified under the sections of Political Economy, Globalisation, International Economics and Foreign Trade and lastly Economic Growth and Development Economics. Both empirical and theoretical papers are presented in this volume in order to discuss and analyze current debates on economics. We believe that these papers would contribute to the researchers, experts and academicians in a way to improve their interests and field of study.
Author: K. Patterson
Publisher: Springer
ISBN: 023029930X
Category : Business & Economics
Languages : en
Pages : 676
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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.
Author: Angeliki Menegaki
Publisher: Academic Press
ISBN: 012819040X
Category : Business & Economics
Languages : en
Pages : 338
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Book Description
A Guide to Econometric Methods for the Energy-Growth Nexus presents, explains and compares all the available econometrics methods pertinent to the energy-growth nexus. Chapters cover methods and applications, starting with older econometric methods and moving toward new ones. Each chapter presents the method and facts about its applications, providing step-by-step explanations about the ways the method meets the demands of the field. In addition, applied case studies and practical research steps are included to enhance the learning process. By touching on all relevant econometric methods for the energy-growth nexus, this book gives energy-growth researchers and students all they need to tackle the subject matter. - Presents econometric methods for short- and long-term forecasting - Provides methods and step-by-step explanations on the ways the method meets the demands of the field - Contains applied case studies and practical research steps
Author: In Choi
Publisher: Cambridge University Press
ISBN: 1316300587
Category : Business & Economics
Languages : en
Pages : 301
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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.
Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author: Yilanci, Veli
Publisher: IGI Global
ISBN: 1668467291
Category : Science
Languages : en
Pages : 359
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Book Description
In economics, researchers have stated that there is a limit to growth because natural resources are finite. However, with technological developments and the discovery of new natural resource reserves, the limits on growth and development have begun to disappear. New technologies promoting energy efficiency provide growth opportunity in new directions, and the development of technologies have a positive effect on the environment. Perspectives on Ecological Degradation and Technological Progress explores the economic and social impacts of technological progress on environmental degradation from a multidisciplinary perspective. Other factors that may affect environmental degradation are analyzed, and indicators that may be important for the environment are determined. Covering topics such as economic growth, ecological degradation, and environmental violations, this premier reference source is an excellent resource for economists, ecologists, government officials, sociologists, environmental engineers and innovators, students and educators of higher education, librarians, researchers, and academicians.
