نتایج جستجو برای: nonlinear dickey fuller ndf test
تعداد نتایج: 1025565 فیلتر نتایج به سال:
This study aims to evaluate the link between economic growth and consumer price index (CPI) in Japan for the period of 1980-2014. Initial series were adjusted for stationarity using the Augmented Dickey- Fuller (ADF) test for unit root followed by the application of Johansen Co-integration Test in order to examine the long-run relationship among the variables, while the causalities were evaluat...
The objective of this study is to test the relationship between short-term nominal interest rate and inflation in the context of the Indian financial market. To achieve this objective we perform Augmented Dickey-Fuller unit root test to check for stationarity and thereafter we test for co-integration using the Engle-Granger method and further corroborate the findings of this test with the Johan...
This paper proposes an Augmented Dickey–Fuller (ADF) coefficient test for detecting the presence of a unit root in autoregressive moving average (ARMA) models of unknown order. Although the limit distribution of the coefficient estimate depends on nuisance parameters, a simple transformation can be applied to eliminate the nuisance parameter asymptotically, providing an ADF coefficient test for...
Although market efficiency has been extensively examined in the literature, studies generally focus on conventional stock markets. Since is related to a well-functioning market, it of great importance for efficient allocation resources and also providing sustainable economic growth. Market not only important markets but Islamic as are gaining prominence. An increase scope worldwide creates moti...
This paper proposes an Augmented Dickey–Fuller (ADF) coefficient test for detecting the presence of a unit root in autoregressive moving average (ARMA) models of unknown order. Although the limit distribution of the coefficient estimate depends on nuisance parameters, a simple transformation can be applied to eliminate the nuisance parameter asymptotically, providing an ADF coefficient test for...
In this paper I propose a Likelihood Ratio test for a unit root (LR) with a local-to-unity Autoregressive parameter embedded in ARMA(1,1) models. By dealing explicitly with dependence in a time series through the Moving Average, as opposed to the long Autorregresive lag approximation, the test shows gains in power and has good small-sample properties. The asymptotic distribution of the test is ...
Identifying explosive bubbles under the influence of their periodically collapsing property has long been a concern in bubble testing literature. In this paper, we argue that the sup Augmented Dickey-Fuller (ADF) test (Phillips, Wu and Yu, 2009), which implements a right-tail ADF test and a sup test on a forward expanding sample sequence, is sensitive to the sample starting point when there are...
Previously security market research had been focused mainly on developed economies with no attention paid to the security markets of developing countries of South East Asia. In an attempt to fill this gap in the literature, this paper conducts an empirical investigation of the random walk of security prices in Pakistani stock markets. The Augmented Dickey fuller test, Ljung Box Q test, Variance...
تحقیق حاضر ارتباط بین خصوصیسازی و نقدشوندگی سهام در بورس اوراق بهادار تهران را با استفاده از روش حداقل مربعات معمولی در بازه زمانی ابتدای سال 1382 تا انتهای سال 1387 بطور ماهانه مورد بررسی قرار می دهد. پایایی[1] متغیرهای الگو قبل از برآورد الگو مورد بررسی قرارگرفت که برای این منظور از آزمون ریشه واحد[2] و دیکی-فولر تعمیم یافته[3](ADF) استفاده شده است. نتایج این تحقیق نشان میدهد که رابطه م...
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