A series of returns are often modeled using stochastic volatility models. Many observed financial series exhibit unit-root non-stationary behavior in the latent AR(1) volatility process and tests for a unit-root become necessary, especially when the error process of the returns is correlated with the error terms of the AR(1) process. In this paper, we develop a class of priors that assigns posi...

Meta-analytic panel unit root tests such as Fisher’s χ2 test, which consist of pooling the p-values of time series unit root tests, are widely applied in practice. Recently, several Monte Carlo studies have found these tests’ Error-in-Rejection Probabilities (or, synonymously, size distortion) to increase with the number of series in the panel. We investigate this puzzling finding by modelling ...

Unit-root and variance-ratio tests are used to examine the trend properties and degree of persistence of industrial production in U.S. industries and comparable aggregates during the post World War I1 period. The evidence from unit-root tests suggests that less than one-half of these industries have output which may be characterized as a random walk. The variance-ratio test results generally su...

This paper aims to investigate stochastic properties of the consumption-income ratios in 11 Central and Eastern European (CEE) countries. We use the heterogeneous panel unit root tests those account for cross-sectional dependence and the Modified Augmented Dickey-Fuller unit root test over the period March 1997-September 2012 in quarterly data set. We find the strong mean-reversion in the consu...

this paper examines the impact of government expenditure on the nigerian economy for the period 1983 - 2012. the government expenditure components used as the explanatory variables in the model are: expenditures on health, education, defense, agriculture and transportation and communication. the gross domestic product (gdp) was used as a parameter for measuring economic growth. in order to esta...

This paper describes CADFtest, a R (R Development Core Team 2008) package for testing for the presence of a unit root in a time series using the Covariate Augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p-values of the test.

We study statistical inference in quantile autoregression models when the largest autoregressive coefficient may be unity. The limiting distribution of a quantile autoregression estimator and its t-statistic is derived. The asymptotic distribution is not the conventional Dickey-Fuller distribution, but a linear combination of the Dickey-Fuller distribution and the standard normal, with the weig...

This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency componen...