2 edition of **On the asymptotic properties of some seasonal unit root tests.** found in the catalog.

On the asymptotic properties of some seasonal unit root tests.

A. M. Robert Taylor

- 259 Want to read
- 30 Currently reading

Published
**2002**
by University of Birmingham, Department of Economics in Birmingham
.

Written in English

**Edition Notes**

Series | Department of Economics discussion paper -- no 02-02 |

Contributions | University of Birmingham. Department of Economics. |

ID Numbers | |
---|---|

Open Library | OL18645613M |

Dickey and Fuller () show that under the null hypothesis of a unit root, this statistic does not follow the conventional Student’s t-distribution, and they derive asymptotic results and simulate critical values for various test and sample sizes. More recently, MacKinnon (, ) implements a much larger set of simulations than those. How do we test for a unit root? • The early and pioneering work on testing for a unit root in time series was done by Dickey and Fuller (Dickey and Fuller , Fuller ). The basic objective of the test is to test the null hypothesis that φ=1 in: yt = φyt-1 + ut against the one-sided alternative φFile Size: KB.

cointegration tests and unit root tests in the conventional single series case, one might be tempted to think that the panel unit root statistics introduced in these studies might be directly applicable to tests of the null of no cointegration, with perhaps some changes in the critical values to reflect the use of estimated residuals. Improving Size and Power in Unit Root Testing Niels Haldrup and Michael Jansson Abstract A frequent criticism of unit root tests concerns the poor power and size properties that many such tests exhibit. However, during the past decade or so intensive research has been conducted to alleviate these problems and great advances have been Size: KB.

Locally Optimal Tests Against Unit Roots in Seasonal Time Series Processes. Journal of Time Series Analysis. 24 (5), Taylor, AMR., (). ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS. Econometric Theory. 19 (02), Johansen test. The Johansen test is a test for cointegration that allows for more than one cointegrating relationship, unlike the Engle–Granger method, but this test is subject to asymptotic properties, i.e. large samples. If the sample size is too small then the results will not be reliable and one should use Auto Regressive Distributed Lags.

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Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link)Author: A.M. Robert Taylor. Closed forms for the distribution of some conventional statistics are given as a prelude to deriving their asymptotic power functions as unit root tests.

In the process, an important distinction is drawn between two classes of statistics: one which relies on deterministic normalizations and the other which uses stochastic by: The representations given in Theorems – and CorollaryCorollary delimit the asymptotic local power functions of the SSLS and WSLS HEGY-type seasonal unit root tests of PropositionPropositionPropositionPropositionin all cases indexed by a common non-centrality parameter c, cCited by: On the asymptotic properties of some seasonal unit root tests, ().

On the properties of regression-based tests for seasonal unit roots in the presence of higher-order serial correlation,Author: Robert Taylor. nd that the asymptotic mean and variance of the unit root test statistics vary under dierent specication of the regression equation (i.e.

the inclusion of individual-specic intercepts and time trends). For practical purposes, the panel based unit root tests suggested in this paper are more relevant for panels of moderate size. If the time series di. The local asymptotic power of the modified statistics are also evaluated.

These modified statistics are recommended as being useful in empirical work since they are free of the size problems which have plagued many unit root tests, and they retain respectable power.

(This abstract was borrowed from another version of this item.). the seasons, which may be used to test for a non-periodic unit root. In Section 4, we consider the presence of a unit root in Tiao and Grupe’s () misspecified homogeneous model, and study the use of Dickey et d.’s () seasonal unit root test in periodic autoregressions.

In Section 5 we discuss the results. REPRESENTATIONCited by: Our point of departure is to propose regression-based tests tk)r seasonal unit roots which permit the drift in the seasonal random walk DGP to differ across the seasons. 1'he possibility that differential seasonal drift is prcsent seems a priori empirically reasonable espe- cially if Cited by: TESTING FOR UNIT ROOTS: THE DICKEY-FULLER TEST The earlyyp g g and pioneering work on testing for a unit root in time series was done by Dickey and Fuller (Dickey and FullerFuller ).

The basic objective of the test is to test the null hypypothesis that φ=1 in: yt= φy t-1 + u t against the one-sided alternative φFile Size: 1MB. some problems associated with traditional unit root and stationarity tests, and Section presents some recently developed so-called “eﬃcient unit root tests” that overcome some of the deﬁciencies of traditional unit root tests.

In this chapter, the technical details of unit root and stationarity tests. there are no seasonal unit roots in the series. The rest of the paper is organized as follows: Section 2 introduces the seasonal unit roots.

In section 3 test equations and the procedure for testing seasonal unit roots are presented. The asymptotic distributions of the test statistics are also given in this section. Section 4 provides.

In the current paper we take this as our starting point to develop three new seasonal unit root tests that allow for a break in both the seasonal mean and linear trend of a quarterly time series.

The asymptotic properties of the tests are derived and investigated in small-samples using simulations. We propose unit root tests in this environment and derive their (Gaussian) asymptotic distribution under the null hypothesis of a unit root and local alternatives.

We show that these tests have significant asymptotic power when the model has no incidental trends. 1 Testing for Unit Roots in Semi-Annual Data Sandra G. Felthama and David E. Gilesb,* a Economic Analysis Branch, Ministry of Human Resources, Victoria BC, Canada V8W1A4 bDepartment of Economics, University of Victoria, Victoria BC, Canada V8W2Y2 Revised, December Abstract We consider the problem of testing for unit roots at the zero and seasonal frequencies in time-Cited by: 3.

Seasonal Unit Root Testing in EViews. When we're dealing with seasonal data - e.g., quarterly data - we need to distinguish between "deterministic seasonality" and "stochastic seasonality".

The first type of seasonality is what we try to remove when we "seasonally adjust. Unit Roots. Structural Breaks and Trends Ordinary least squares estimation is not, of course, the only way to estimate a.

Interestingly, the asymptotic distribution is sensitive to seemingly minor changes in the estimator. Consider, for example, Dickey's et al.

Osborn, Denise R. and Rodrigues, Paulo M.M. ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING etric Reviews, Vol. 21, Issue. 2, p Author: Eric Ghysels, Denise R.

Osborn. Downloadable (with restrictions). Author(s): Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang. Abstract: Implements tests from Levin, Lin and Chu(), "Unit root tests in panel data: Asymptotic and finite-sample properties", Journal of Econometrics, volno 1, 1– (This abstract was borrowed from another version of this item.).

Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties Article in Review of Economic Studies 63(3) February with Reads. Banerjee, Lumsdaine, and Stock: Unit-Root and Trend-Break Tests broader productivity slowdown. In three of the seven countries, output appears to be well characterized as having a unit root with a drift that fell in the early s.

The recursive and sequential statistics are described, and their asymptotic properties studied, in Sections 1 and Size: KB. Unit root tests are biased towards non-rejection of the unit root null when there are structural breaks in the series. This chapter takes care of structural break in carrying out unit root test.

Seasonality brings many difficulties to model specification, estimation and : Panchanan Das.Testing for Unit Roots Overview 1. Ideas. 2. Estimators. 3. Essential asymptotic properties. Unit roots: two questions First question Is that a random walk or a trend?

Simulation results show that the distribution of the usual t-statistic is very fat tailed: i.e., we’ll often reject H 0: 1 = 0 for a linear model when there’s a unit Size: KB.In statistics, asymptotic theory, or large sample theory, is a framework for assessing properties of estimators and statistical tests.

Within this framework, it is typically assumed that the sample size n grows indefinitely; the properties of estimators and tests are then evaluated in the limit as n → ∞. In practice, a limit evaluation is treated as being approximately valid for large finite sample sizes, as well.