This paper establishes analytically what the asymptotic behavior of the DickeyFuller coefficient tests and the Dickey-Fuller t-statistic tests will be when the true data-generating process is a trigonometric function of an integrated process. Using some recently established limit theorems, it is shown that for such a data generating process, the asymptotic behavior of these unit root tests is r...

Since most of the financial crisis caused by bursting bubble assets, investigation behaviors and early detection for prevention adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on basis a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed Phillips, Shi Yu (2015), as well to de...

We derive a weighted least squares approximate restricted likelihood estimator for a kdimensional pth order autoregressive model with intercept, for which exact likelihood optimization is generally infeasible due to the parameter space which is complicated and highdimensional, involving pk2 parameters. The weighted least squares estimator has significantly reduced bias and mean squared error th...

The financial markets provide a viable avenue for investors who wants to invest their idle resources. Investors need accurate information minimize investment risk and make the right decision. This study attempted test predictability of Philippine Stock Exchange (PSE) sectoral indices. data used in this are daily closing price six indices from January 2010 December 2019. Augmented Dickey-Fuller ...

This study seeks to build an appropriate model that will be used forecast the US Dollar Nigerian Naira Exchange Rate. The exchange rate market is known unstable; this due constant changes in economic or environment of countries. Therefore, forecasting accurately very important decisions countries and organized private sector. Autoregressive Integrated Moving Average (ARIMA model) as basis time ...

Abstract The correlation between savings and economic growth has been the subject of research for some well-known economists. This study provides further insight on such by examining case Kosovo from both a qualitative quantitative methodology. data used was 2010 to 2017 analyzed using augmented Dickey-Fuller tests, Johansen cointegration Ganger causality test. test unit root confirms stationar...

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...

It is expected that the COVID-19 pandemic provides a significant impact on food price volatility in many products including sugar. The paper aims to analyze dynamic of sugar before covid (1st August – 2nd March 2020) and during outbreak (3rd 31th 2021) all provinces Indonesia by using t-test ARCH GARCH model. Based Augmented Dickey-Fuller analysis covid, prices were stationary at “first differe...

The purpose of this study is to investigate the relationship between macroeconomic variables and stock prices in Nepal Stock Exchange (NEPSE) Nepal. To find impact on price analytical research conducted. Secondary data were used considers annual several from 2001 2018. considered as dependent variable gross domestic product, exports, consumer index, money supply, exchange rate, foreign direct i...

Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit testing in the R package bootUR. The package's backbone is popular augmented Dickey-Fuller test paired union rejections principle, which can be performed directly on single or multiple (including panel) series. Accurate inference ensur...