In this paper, it is demonstrated by simulation that, contrary to a widely held belief, pure seasonal mean shifts — i.e., seasonal structural breaks which affect only the seasonal cycle — really do matter for DickeyFuller long-run unit root tests. Both size and power properties are affected by such breaks but using the t-sig method for lag selection induces a stabilizing effect. Although most r...

Environmental pollution and climatic variations are due to CO 2 emissions considered an important global issue. The key aim of this study was investigate the dynamic association among emission, energy use, economic growth in China. Secondary data used ranging from 1971 2014, stationarity verified by applying Augmented Dickey-Fuller unit root test. autoregressive distributed lag (ARDL) bounds te...

Trend breaks appear to be prevalent in macroeconomic time series. Consequently, to avoid the catastrophic impact that unmodelled trend breaks have on power it is standard empirical practice to employ unit root tests which allow for such effects. A popularly applied approach is the infimum ADF-type test. Its appeal has endured with practitioners despite results which show that the infimum ADF st...

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The computes test statistics supremum augmented Dickey-Fuller (SADF) Phillips, Wu, Yu (2011), generalized SADF (GSADF) Shi, (2015a,b), panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack, Grossman (2016); generates finite-sample cri...

This paper employs time series techniques to analyse the effect of foreign direct investment and national on economic growth in Iraq. The study uses secondary annual data over period 2004-2020. gross domestic product )GDP( is dependent variable, )FDI( Investment )NI( are explanatory variables. empirical analysis starts with run ordinary least square )OLS(. result Augmented Dickey Fuller )ADF( P...

Bu çalışmada Türkiye ekonomisinde işsizlik histerisinin varlığı genç kadın işsizliği bağlamında ampirik olarak test edilmiştir. Çalışmanın veri aralığı 2005Q1-2020Q2 dönemini kapsamaktadır ve analizler çeyrek dönemlik veriler kullanılarak gerçekleştirilmiştir. Literatürde histerisini araştırmak için geleneksel birim kök testleri sıklıkla kullanılmaktadır. Ancak testlerinin dezavantajları göz ön...

Tržište dionica značajan je indikator rasta i razvoja neke države te njenog gospodarstva, posebno Sjedinjenih Amričkih Država (SAD) kao tržišnocentričnog financijskog sustava. Dodatan značaj ovog tržišta kapitala gospodarstva SAD-a za svijet stoga bitno razumjeti odrednice promjena na američkom tržištu dionica, kako bi se razumjela očekivanja budućih gospodarskih kretanja. Stoga ovaj rad prouča...

The preliminary unit root test has been found to be a useful tool for improving the accuracy of a one-step-ahead predictor and prediction interval for the first-order autoregressive process when an autoregressive coefficient is close to one. This paper applies the aforementioned concepts of the preliminary unit root test in order to improve the efficiency of prediction intervals for the Gaussia...

Bu çalışmada M. Friedman’ın vergi-harcama hipotezi Türkiye (2006-2022) örneği üzerinden araştırılmıştır. Araştırmanın uygulaması iki aşamada gerçekleştirilmiştir. İlk olarak araştırmanın değişkenleri geleneksel birim kök testlerine (Augmented Dickey-Fuller ve Phillips-Perron testlerine) tabi tutulmuş ardından Engel-Granger koentegrasyon analizi yapılmıştır. İkinci değişkenler yapısal kırılmalı ...