We investigate the performance of a battery of standard unit root tests when the true data generating process has a Markov-switching trend growth rate and variance. Regime switching under both the null hypothesis of a unit root and the alternative hypothesis of trend stationarity is considered. In contrast to the case of a single break in trend growth rate, multiple Markov-switching breaks unde...

The study examined the relationship between Budget deficit and Trade deficit for the economy of Pakistan. Time series data was used from the period 1972 to 2011. Augmented Dickey Fuller Test used to check the stationary of the variables and found that all variables were stationary at first difference. Johansen Co-integration used to find the long relationship and found that budget deficit has p...

This study examines the Granger causality between electricity consumption and Gross Domestic Product (GDP) for Pakistan using annual data covering the period 1971 to 2007. Augmented Dickey-Fuller test and Phillips-Perron test reveal that both the series, after logarithmic transformation, are non-stationary and individually integrated at order one. Engle and Granger Cointegration test exhibits t...

The paper investigates whether there are periods when platinum prices follow the random walk process (weak-form efficient) and periods when they deviate from the random walk theory (mean reversion). Monthly log returns of platinum prices are examined using the Augmented Dickey-Fuller test (ADF) and a GARCH model with time-varying properties. A GARCH model with time-varying properties is able to...

The current study is aimed at using co-integration in assessing the level of market integration among selected cotton markets India. Monthly price data were collected for period 2008-09 and 2016-17 from AGMARKNET website. advanced time series econometric tools like Augmented Dickey-Fuller (ADF) test, Johansen test Granger Causality used to E-Views software. subjected consequences unit root stat...

Çalışmada, dünyada giderek finansallaşan piyasalarda, reel ekonomik faaliyetlerin daha çok ön planda olduğu katılım endeksi ve gösterge konvansiyonel endeks performansları fiyat balonları açısından karşılaştırmalı olarak analiz edilmektedir. Özellikle kriz dönemlerinde faaliyetler içerdiği varsayılan endeksler Generalized Sup-Augmented Dickey Fuller (GSADF) testi ile incelenmiştir. İlgili model...

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...

This paper proposes an Augmented Dickey–Fuller (ADF) coefficient test for detecting the presence of a unit root in autoregressive moving average (ARMA) models of unknown order. Although the limit distribution of the coefficient estimate depends on nuisance parameters, a simple transformation can be applied to eliminate the nuisance parameter asymptotically, providing an ADF coefficient test for...

We investigate the degree to which the wheat markets of France, Germany and the United Kingdom are in spatial equilibrium and how reforms to the CAP affect the speed of convergence to the long run relationship. Due to the interrelationship among these markets and the nonstationarity of our data we introduce a seemingly unrelated regression augmented Dickey-Fuller and error correction methodolog...

Malaysia and China have recently achieved spectacular economic growth where GDP per capita growth rapidly in both countries. Thus, this study examines the contribution of economic sectors to economic growth in Malaysia and China by using time series data from year 1978 until 2007. There are three economic sectors that will be analyzed, which are agricultural sector, manufacturing sector and ser...