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Author: Traoré, Fousseini
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Political Science
Languages : en
Pages : 24
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Book Description
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.
Author: Traoré, Fousseini
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Political Science
Languages : en
Pages : 24
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Book Description
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.
Author: Bas Berend Bakker
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 12
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Book Description
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: 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: Rinat Akter
Publisher: LAP Lambert Academic Publishing
ISBN: 9783659306402
Category :
Languages : en
Pages : 188
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Book Description
Usual test of testing unit root tests such as Dickey-Fuller (DF), Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) tests ignore sign and boundary parameters. Ignorance of these problems may results in unusual estimate and test results. This paper demonstrates the ignorance of sign and boundary of parameters and consequences in estimation and hypothesis test by Monte Carlo simulation. This work proposes a distance-based optimum solution for testing unit root subject to the restriction of boundary and sign problem. Monte Carlo simulation study shows that the proposed one-sided test of testing unit root performs better than the usual tests interms of power property.
Author: Wayne A. Fuller
Publisher: John Wiley & Sons
ISBN: 0470317752
Category : Mathematics
Languages : en
Pages : 734
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Book Description
The subject of time series is of considerable interest, especiallyamong researchers in econometrics, engineering, and the naturalsciences. As part of the prestigious Wiley Series in Probabilityand Statistics, this book provides a lucid introduction to thefield and, in this new Second Edition, covers the importantadvances of recent years, including nonstationary models, nonlinearestimation, multivariate models, state space representations, andempirical model identification. New sections have also been addedon the Wold decomposition, partial autocorrelation, long memoryprocesses, and the Kalman filter. Major topics include: * Moving average and autoregressive processes * Introduction to Fourier analysis * Spectral theory and filtering * Large sample theory * Estimation of the mean and autocorrelations * Estimation of the spectrum * Parameter estimation * Regression, trend, and seasonality * Unit root and explosive time series To accommodate a wide variety of readers, review material,especially on elementary results in Fourier analysis, large samplestatistics, and difference equations, has been included.
Author: Chris Brooks
Publisher: Cambridge University Press
ISBN: 1139472305
Category : Business & Economics
Languages : en
Pages : 752
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Book Description
This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.
Author: John Y. Campbell
Publisher: Montréal : Université de Montréal, Centre de recherche et développement en économique
ISBN:
Category : Econometrics
Languages : en
Pages : 65
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Book Description
This paper is an introduction to unit root econometrics as applied in macroeconomics. The paper first discusses univariate time series analysis, emphasizing the following topics: alternative representations of unit root processes, unit root testing procedures, the power of unit root tests, and the interpretation of unit root econometrics in finite samples. A second part of the paper tackles similar issues in a multivariate context where cointegration is now the central concept. The paper reviews representation, testing, and estimation of multivariate time series models with some unit roots. Two important themes of this paper are first, the importance of correctly specifying deterministic components of the series; and second, the usefulness of unit root tests not as methods to uncover some -true relation" but as practical devices that can be used to impose reasonable restrictions on the data and to suggest what asymptotic distribution theory gives the best approximation to the finite-sample distribution of coefficient estimates and test statistics.
Author: K. D. Patterson
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
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Book Description
Author: Gerard Meszaros
Publisher: Pearson Education
ISBN: 0132797461
Category : Computers
Languages : en
Pages : 890
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Book Description
Automated testing is a cornerstone of agile development. An effective testing strategy will deliver new functionality more aggressively, accelerate user feedback, and improve quality. However, for many developers, creating effective automated tests is a unique and unfamiliar challenge. xUnit Test Patterns is the definitive guide to writing automated tests using xUnit, the most popular unit testing framework in use today. Agile coach and test automation expert Gerard Meszaros describes 68 proven patterns for making tests easier to write, understand, and maintain. He then shows you how to make them more robust and repeatable--and far more cost-effective. Loaded with information, this book feels like three books in one. The first part is a detailed tutorial on test automation that covers everything from test strategy to in-depth test coding. The second part, a catalog of 18 frequently encountered "test smells," provides trouble-shooting guidelines to help you determine the root cause of problems and the most applicable patterns. The third part contains detailed descriptions of each pattern, including refactoring instructions illustrated by extensive code samples in multiple programming languages.
