This paper proposes a simple testing procedure to detect the presence of nonlinear but global stationary logistic smooth transition autoregressive processes. This testing procedure nests the one developed by Kapetanios et al. (2003) that accommodates specifically the alternative of a global stationary ESTAR process. The present work makes a threefold contribution to the literature. First, it de...

The main objective of this study is to determine the relationship between carbon dioxide emissions with other variables such as economic growth, energy consumption, population and gross capital formation in case Philippines set during period 1976 2014. This paper employs various econometric techniques: Augmented Dickey-Fuller unit root test, Johansen Cointegration Ordinary Least Squares (OLS) e...

The paper assesses the effect of interest rate on stock prices, with emphases Ghana Stock Exchange; using monthly time series data from July 2007 to December 2019. Augmented Dickey-Fuller (ADF) test was employed establish stationarity properties or otherwise. Using Ordinary Least Squares (OLS) estimation technique Multiple Regression, results (? = – 0.891, p < 0.05) revealed an indirect asso...

the purpose of present paper was to examine the relationship between central bank independence and inflation rate in iran over 1960-2008. first, central bank independence has been accomplished through three indices including legal and real cbi indices and turnover rate of central bank governor index. then, augmented dickey-fuller test for model stationary of variables has been done by applying ...

This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using Autoregressive Integrated Moving Average (ARIMA) and Generalized Conditional Heteroscedasticity (GARCH) for period January, 1981 to December, 2021. The data study was obtained from Central Bank Nigeria 2021 Statistical Bulletin. time plot, Augmented Dickey Fuller (ADF) Phillip’s Perron (PP) ...

The Sarima model is used in this study to forecast the monthly temperature Ghana's northern region. researchers data from January 1990 December 2020. was found be stationary using Augmented Dickey Fuller (ADF) test. ACF and PACF plots proposed six SARIMA models: (1,0,0) (12), (2,0,0) (1,0,1) (0,0,1) (12). best chosen based on lowest Akaike Information Criteria (AICs) Bayesian (BIC) values. Ljun...

The conceptual inception of Purchasing Power Parity (PPP) dates back to XVI century Spain. Approximately five hundred years afterwards, economists are just beginning to arrive to a partial consensus in regard to this complex theory; hence giving way to what economist Kenneth Rogoff defined in his 1996 paper as the “Purchasing Power Parity Puzzle”. My project is based on a paper written by Angel...

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the "true" random walk is in the logs. 1 Research supported by Deutsche Forschungsgemeinschaft via SFB 475; we are grateful to Werner Ploberger for h...

This paper examines the weak-form market efficiency of Asian equity markets. Daily returns for ten emerging (China, India, Indonesia, Korea, Malaysia, Pakistan, the Philippines, Sri Lanka, Taiwan and Thailand) and five developed markets (Australia, Hong Kong, Japan, New Zealand and Singapore) are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Ful...