This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22

JEL Classification Code(s): J 31, J 71) "Perceptions of Discrimination, Effort to Obtain Psychological Balance, and Relative Wages: Can We Infer a Happiness Gradient?" There is a substantial literature that finds a linkage between happiness and relative economic well being as measured by earnings or wages. There is also a well documented racial gap in wages. One explanation for this is disparat...

The growth of cloud computing has led to uneconomical energy consumption in data processing, storage, and communications. This is unfriendly to the environment, because of the carbon emissions. Therefore, green IT is required to save the environment. The green cloud computing (GCC) approach is part of green IT; it aims to reduce the carbon footprint of datacenters by reducing their energy consu...

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk depends heavily on the type of data transformation. JEL-Numbers: C12, C22, F31

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The r...

Consider a regression model with infinitely many parameters and time series errors. We are interested in choosing weights for averaging across generalized least squares (GLS) estimators obtained from a set of approximating models. However, GLS estimators, depending on the unknown inverse covariance matrix of the errors, are usually infeasible. We therefore construct feasible generalized least s...

This paper considers a state space model with integrated latent variables. The model provides an effective framework to specify, identify and extract common stochastic trends for a set of integrated time series. The model can be readily estimated by the standard Kalman filter, whose asymptotics are fully developed in the paper. In particular, we establish the consistency and asymptotic mixed no...

In this paper, we argue that study of the effect of financial development and shocks on aggregate growth volatility will not be informative because they affect growth volatility through its different components. Financial development affects only the business cycle component of volatility and therefore, the effect on total volatility is dependent on its share in total volatility. On the contrar...

Article history: Received 30 May 2014 Received in revised form 11 January 2015 Accepted 16 March 2015 Available online xxxx Themechanismof risk responses tomarket shocks is considered as stagnant in recent financial literature, whether during normal or stress periods. Since the returns are heteroskedastic, a little considerationwas given to volatility structural breaks and diverse states. In th...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f . The validity of these tests, in terms of exact finite sample size, is guaranteed, irrespective of the actual underlying density, by distribution-freeness. Those tests...