The dynamics of metal prices are highly significant for worldwide economic activity due to metals being key intermediate inputs industrial production and construction treated as investment assets. In that sense, this study investigates the efficient market hypothesis, i.e., predictability price patterns, several non-renewable resources, namely copper, lead, tin, nickel, zinc, aluminum, gold, pl...

Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested. Email: [email protected], [email protected] Keyword: Measurement error, cointegrating vector, filter...

Copula model has applied in various hydrologic studies, however, most analyses conducted does not considering the non-stationary conditions that may exist time series. To investigate dependence structure between two rainfall stations at Johor Bahru, methods have been applied. The first method considers condition exists data, while second assumes stationarity series data. Through goodness-off-fi...

In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.

There is a close analogy between empirical distributions of i.i.d. random variables and normalized spectral distributions of widesense stationary processes. Herein we make use of this analogy to develop nonparametric comparisons of two spectral distributions and nonparametric tests of stationarity versus change-point alternatives via spectral analysis of a time series. © 2006 Elsevier B.V. All ...

We develop a test for stationarity of a time series against the alternative of a time-varying covariance structure. Using localized versions of the periodogram, we obtain empirical versions of a reasonable notion of a time-varying spectral density. Coeecients w.r.t. a Haar wavelet series expansion of such a time-varying periodogram are an indicator whether there is some deviation from covarianc...

The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a seasonal time series, such a use is rarely noted in the relevant studies on this topic. Recently, the ...