It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in 1970s (1350s) and 1980s (1360s) gross domestic product (contained oil) data of Iran. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis at the 5% significance leve...

While there is good reason to expect crude oil production to be non-linear, previous studies that have examined the stochastic properties of crude oil production have assumed that crude oil production follows a linear process. If crude oil production is a non-linear process, conventional unit root tests, which assume linear and systematic adjustment, could interpret departure from linearity as ...

Fine roots constitute a significant source of plant productivity and litter turnover across terrestrial ecosystems, but less is known about the quantitative and qualitative profile of phenolic compounds within the fine-root architecture, which could regulate the potential contribution of plant roots to the soil organic matter pool. To understand the linkage between traditional macro-elemental a...

A time series with a unit root or fractional unit root can be miscategorized in stationarity tests if the series has structural breaks. This finding is tested on Finnish and Swedish party popularity series. The composition and nature of popularity series provide reasons to assume fractional dynamics. The years included, 1987-2001, offer several reasons for the existence of structural breaks. Th...

Let p be a prime. We prove that if a modular unit has a pth root that is again a modular unit, then the level of that root is at most p times the level of the original unit.

In this paper, we consider and examine the performance of two-step LM unit root tests with trend-breaks. In the first step, we jointly test for the existence and location of breaks using a maximum F-test. In the second step, we utilize the identified breaks and test for a unit root. A transformation procedure is adopted so that the tests with trend-breaks are invariant to nuisance parameters. W...

A nonparametric, residual-based block bootstrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of the stationary process driving the random walk and successfully generates unit root integrated pseudo-series retaining the important characteristics of the data. It is more gen...

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...

The random walk is used as a model expressing equitableness and the effectiveness of various finance phenomena. Randomwalk is included in unit root process which is a class of nonstationary processes. Due to its nonstationarity, the least squares estimator LSE of random walk does not satisfy asymptotic normality. However, it is well known that the sequence of partial sum processes of random wal...