Search Results - "unit root test"

On infimum Dickey–Fuller unit root tests allowing for a trend break under the null by Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert

Subjects: “…Unit root test; Trend break; Minimum Dickey–Fuller test…”
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Does Purchasing Power Parity hold? New Evidence from Wild-bootstrapped Nonlinear Unit Root Tests in the Presence of Heteroskedasticity by Su, J., Cheung, Adrian, Roca, E.

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Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics by Cavaliere, Giuseppe, Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.

Subjects: “…Infimum unit root test; multiple trend break; non-stationary volatility; wild bootstrap…”
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Unit root testing under a local break in trend using partial information on the break date* by Harvey, David I., Leybourne, Stephen J., Robert Taylor, A.M.

Subjects: “…Unit root test; Breaks in trend; Minimum Dickey-Fuller test; Local GLS detrending; Union of rejections…”
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Lag selection of the augmented Kapetanios-Shin-Snell nonlinear unit root test by Su, Jen-je, Cheung, Adrian, Roca, Eduardo

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Testing the Efficiency of Amman Stock Exchange by Bilbaisi, Eman

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Recursive right-tailed unit root tests for an explosive asset price bubble by Harvey, David I., Leybourne, Stephen J., Sollis, Robert

Subjects: “…Rational bubble; Explosive autoregression; Unit root testing…”
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Robust tests for a linear trend with an application to equity indices by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, A.M. Robert

Subjects: “…Linear trend; Unit root tests; Strong serial correlation…”
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Asymptotic behaviour of tests for a unit root against an explosive alternative by Harvey, David I., Leybourne, Stephen J.

Subjects: “…Unit root testing; Explosive autoregression; Asymptotic power; Initial condition…”
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The impact of the initial condition on covariate augmented unit root tests by Aristidou, Chrystalleni, Harvey, David I., Leybourne, Stephen J.

Subjects: “…Unit root tests; stationary covariates; initial condition uncertainty; asymptotic power…”
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Tests for an end-of-sample bubble in financial time series by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, Robert

Subjects: “…Rational bubble; Explosive autoregression; Right-tailed unit root testing: Sub-sampling…”
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Model specification in panel data unit root tests with an unknown break by Chan, Felix, Pauwels, L.

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Tests for explosive financial bubbles in the presence of non-stationary volatility by Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

Subjects: “…Rational bubble; Explosive autoregression; Non-stationary volatility; Right-tailed unit root testing…”
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Testing explosive bubbles with time-varying volatility by Harvey, David I., Leybourne, Stephen J., Zu, Yang

Subjects: “…Rational bubble; Explosive autoregression; Time-varying volatility; Weighted least squares; Right-tailed unit root testing…”
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Testing the Efficiency of the Foreign Exchange Spot Market in Iran by Borhan-Azad, Lida

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