The purpose of this study is to determine whether the market index returns and sectoral indices in Saudi stock (TADAWUL) follow a random walk process as stated by efficient hypothesis for years 2011-2020. normal distribution test, runs variance ratio Augmented Dickey-Fuller (ADF) were used check hypotheses. At weak-form level, empirical findings reject hypothesis, indicating proving that not al...

Bu makalenin amacı kriptopara birimleri olarak da adlandırılan merkezi olmayan para olan Bitcoin Cash, Ethereum, Litecoin ve Ripple arasındaki ilişkilerin ortaya çıkarılmasıdır. Çalışmada üzerinde çalışılan dönem 03.08.2017 – 17.03.2020 tarihleri arasıdır. birim kök testi Augmented Dickey-Fuller (ADF) uygulanarak serilerin durağan olduğu düzeyler saptanmış aralarındaki nedensellik ilişkisi Gran...

This study aims to analyze the analysis of factors that influence amount money in circulation from 1990 2019. The data used this is secondary for period - research model uses Vector Autoregression (VAR) model. unit root test was carried out with Augmented Dickey Fuller (ADF) where all stationary variables were second different. results are based on VAR analysis. Foreign debt affects supply Indo...

This article is an attempt to evaluate the effect of external debt on economic growth for during period 1980–2016. The Augmented Dickey Fuller (ADF) test used determining stationarity, whereas ADF results exhibit that variables found are . empirical indicate and total service have deleterious statistically significant impacts GDP rate. other explanatory namely human capital by life expectancy, ...

The recent improvement of China’s national income has been a global phenomenon due to the uncertain financial and economic conditions. Hence, current research investigates impact production consumption capabilities human capital capacity on wealth China. This study uses secondary data from sources, including World Bank Indicators (WDI), 1991 2020 examine stationarity constructs using augmented ...

We study statistical inference in quantile autoregression models when the largest autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression estimator and its t-statistic is derived. The asymptotic distribution is not the conventional Dickey-Fuller distribution, but a linear combination of the Dickey-Fuller distribution and the standard normal, with the weig...

This study examines the impact of Foreign Direct Investment (FDI) on agricultural sector in Ivory Coast from 1990 to 2018. Phillips-Peron tests and augmented Dickey-Fuller were employed for a unit root variables. The Johansen Cointegration test VAR used estimate stability normality. VECM analyze short-term long-term dynamics. Results reveal that FDI has negative long run relationship but signif...

The main objective of this paper is to shed light on the problem of low power for the Dickey-Fuller type unit root tests. It is argued that the low power is primarily due to the non-nestedness of the Autoregressive (AR(1)) and the Unit Root (UR(1)) models. The paper proposes an AR(1) model with Conditional Heterogeneity (ARCHET(1)) which parametrically encompasses the UR(1) model. A number of s...

financial scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reverting processes.by a random walk we mean that accruing shocks to the system have permanent impacts and prices do not revert to their previous trend path, in addition, regarding to random walk processes the price series volatility could increase with out any li...

this study aims to evaluate the link between economic growth and consumer price index (cpi) in japan for the period of 1980-2014. initial series were adjusted for stationarity using the augmented dickey- fuller (adf) test for unit root followed by the application of johansen co-integration test in order to examine the long-run relationship among the variables, while the causalities were evaluat...