Unit roots and double smooth transitions

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Granger Causality and Unit Roots

The asymptotic behavior of the Granger-causality test under stochastic nonstationarity is studied. Our results confirm that the inference drawn from the test is not reliable when the series are integrated to the first order. In the presence of deterministic components, the test statistic diverges, eventually rejecting the null hypothesis, even when the series are independent of each other. More...

متن کامل

Unit Roots and Structural Breaks

This special issue deals with problems related to unit roots and structural change, and the interplay between the two. The research agenda dealing with these topics have proven to be of importance for devising procedures that are reliable for inference and forecasting. Several important contributions have been made. Still, there is scope for improvements and analyses of the properties of existi...

متن کامل

Making Smooth Transitions

Sequence: Cause/Effect: Comparison: Support: Conclusion: First of all, Because ___, Similarly, In fact, In short, Second, Because of ___, Similar to ___, For example, To sum up, Next, Since ___, Likewise, For instance, To put it briefly, Finally, As ___, In the same vein, In particular, Overall, Lastly, Due to ___, Along the same line, Specifically, Given ___, In the past, Therefore, Compared t...

متن کامل

Testing for Seasonal Unit Roots

This paper examines, both theoretically and through Monte Carlo analysis, the implications of applying the HEGY seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered. In the context of the HEGY regression, the asymptotic distribution of the zero frequency test statistic is dependent on the coefficients of the p...

متن کامل

Hybrid Stochastic Local Unit Roots

Two approaches have dominated formulations designed to capture small departures from unit root autoregressions. The first involves deterministic departures that include local-to-unity (LUR) and mildly (or moderately) integrated (MI) specifications where departures shrink to zero as the sample size n → ∞. The second approach allows for stochastic departures from unity, leading to stochastic unit...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Applied Statistics

سال: 2002

ISSN: 0266-4763,1360-0532

DOI: 10.1080/02664760120098739