نتایج جستجو برای: keywords unit root test

تعداد نتایج: 3087081  

Journal: :European Journal of Mathematics and Statistics 2021

The paper introduces order of integration test (OIT) which serves as a simple alternative to unit root built generally using auxiliary autoregressive AAR(3) model. parametric boundary conditions necessary and sufficient for testing the null hypothesis that non-stationary variable under is integrated zero I(0) were estimated via generalized least squares (GLS). decision on evaluated t-statistic....

Journal: :Communications for Statistical Applications and Methods 2002

Journal: :Communications in Statistics - Simulation and Computation 2019

Journal: :Communications for Statistical Applications and Methods 2010

2010
Yong Li Jun Yu

A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li (1999, Journal of Business and Economic Statistics) in the two important ways. First, a numerically more stable algorithm is introduced to compute Bayes factors, taking into account the special stru...

2007
Mario Cerrato Christian Nicholas Sarantis

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...

Journal: :Statistics, Optimization & Information Computing 2020

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