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 considers tests for a unit root when the innovations follow a near-integrated GARCH process. We compare the asymptotic properties of the likelihood ratio statistic with that of the leastsquares based Dickey-Fuller statistic. We first use asymptotics where the GARCH variance process is stationary with fixed parameters, and then consider parameter sequences such that the GARCH process ...

generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...

We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di)erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...

This paper establishes an invariance principle applicable for the asymptotic analysis of sieve bootstrap in time series+ The sieve bootstrap is based on the approximation of a linear process by a finite autoregressive process of order increasing with the sample size, and resampling from the approximated autoregression+ In this context, we prove an invariance principle for the bootstrap samples ...

This study examines the Granger causality between electricity consumption and Gross Domestic Product (GDP) for Pakistan using annual data covering the period 1971 to 2007. Augmented Dickey-Fuller test and Phillips-Perron test reveal that both the series, after logarithmic transformation, are non-stationary and individually integrated at order one. Engle and Granger Cointegration test exhibits t...

This paper provides a theoretical functional representation of the density function related to the DickeyFuller random variable. The approach is extended to cover the multivariate case in two special frameworks: the independence and the perfect correlation of the series. key words: Dickey-Fuller distribution, unit root JEL codes: C12, C16, C22

In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under null hypothesis of random walk with drift. The method implemented in considerably more precise than corresponding case conventional augmented Dickey–Fuller test, can be inaccurate when true value drift term small relative standard deviation innovations. also has an opt...