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Author: Mehdi Hosseinkouchack
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose a variance ratio-type unit root test where the nuisance parameter cancels asymptotically under both the null of a unit root and a local-to-unity alternative. Critical values and asymptotic power curves can be computed using standard numerical techniques. Our test exhibits higher power compared with tests that share the virtue of being free of tuning parameters. In fact, the local asymptotic power curves of our procedure get close to the power functions of the point optimal test, where the latter suffers from the drawback of having to correct for a nuisance parameter consistently.
Author: Mehdi Hosseinkouchack
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
We propose a variance ratio-type unit root test where the nuisance parameter cancels asymptotically under both the null of a unit root and a local-to-unity alternative. Critical values and asymptotic power curves can be computed using standard numerical techniques. Our test exhibits higher power compared with tests that share the virtue of being free of tuning parameters. In fact, the local asymptotic power curves of our procedure get close to the power functions of the point optimal test, where the latter suffers from the drawback of having to correct for a nuisance parameter consistently.
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: George Kapetanios
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper regimes. We establish that when threshold parameters are known, the suggested Wald test has a well-defined asymptotic null distribution free of nuisance parameters. In the general case where threshold parameters are unknown a priori, we consider the three most commonly used summary statistics based on their average, exponential average and supremum. Assuming that the grid set for thresholds can be selected such that the corridor regime be of finite width both under the null and under the alternative, we can establish both stochastic equicontinuity and uniform convergence of the aforementioned summary statistics. Monte Carlo evidence indicates that the proposed tests are more powerful than the Dickey-Fuller test that ignores the threshold nature under the alternative. We illustrate the usefulness of our proposed tests by examining stationarity of real exchange rates for the G7 countries.
Author: Kiwhan Kim
Publisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 238
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Book Description
Author: Sven Otto
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
A unit root test is proposed for time series with a nonparametric trend component using a pooled regression of overlapping blocks. The class of trend functions considered includes any boundedly differentiable trend function with finitely many breaks. Limiting null-distributions of the pseudo t-statistic of the pooled regression are derived under two different block asymptotics. Small-b asymptotics yields a standard normal distribution and under fixed-b asymptotics a functional of Brownian motions is obtained. A nuisance parameter correction provides heteroskedasticity robust tests and serial correlation is accounted for by pre-whitening. For both tests a Monte Carlo study with slowly varying trends yields both good size and improved power results when compared to conventional unit root tests.
Author: Junsoo Lee
Publisher:
ISBN:
Category : Autocorrelation (Statistics)
Languages : en
Pages : 304
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Book Description
Author: Markku Lanne
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior to the tests, the deterministic parts and other nuisance parameters of the data generation process are estimated in a first step. Then, the series are adjusted for these terms and unit root tests of the Dickey-Fuller type are applied to the adjusted series. The properties of previously suggested tests of this sort are analysed and modifications are proposed which take into account estimation errors in the nuisance parameters. An important result is that estimation under the null hypothesis is preferable to estimation under local alternatives. This contrasts with results obtained by other authors for time series without level shifts.
Author: William W. S. Wei
Publisher: John Wiley & Sons
ISBN: 1119502853
Category : Mathematics
Languages : en
Pages : 536
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Book Description
An essential guide on high dimensional multivariate time series including all the latest topics from one of the leading experts in the field Following the highly successful and much lauded book, Time Series Analysis—Univariate and Multivariate Methods, this new work by William W.S. Wei focuses on high dimensional multivariate time series, and is illustrated with numerous high dimensional empirical time series. Beginning with the fundamentalconcepts and issues of multivariate time series analysis,this book covers many topics that are not found in general multivariate time series books. Some of these are repeated measurements, space-time series modelling, and dimension reduction. The book also looks at vector time series models, multivariate time series regression models, and principle component analysis of multivariate time series. Additionally, it provides readers with information on factor analysis of multivariate time series, multivariate GARCH models, and multivariate spectral analysis of time series. With the development of computers and the internet, we have increased potential for data exploration. In the next few years, dimension will become a more serious problem. Multivariate Time Series Analysis and its Applications provides some initial solutions, which may encourage the development of related software needed for the high dimensional multivariate time series analysis. Written by bestselling author and leading expert in the field Covers topics not yet explored in current multivariate books Features classroom tested material Written specifically for time series courses Multivariate Time Series Analysis and its Applications is designed for an advanced time series analysis course. It is a must-have for anyone studying time series analysis and is also relevant for students in economics, biostatistics, and engineering.
Author: Robert Taylor
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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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.
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.
