Although non-stationarity in the level of a time series is always tested (and there variety tests for this purpose), variance sometimes neglected applied research. In work, consequences neglecting economic series, and conceptual difference between conditional are discussed. An ad hoc method testing correcting suggested. It shown that presence leads to misspecified univariate ARIMA models it, nu...

An I~0! process is commonly defined as a process that satisfies a functional central limit theorem, i+e+, whose scaled partial sums converge weakly to a Wiener process, and an I~1! process as a process whose first differences are I~0!+ This paper establishes that with this definition, it is impossible to consistently discriminate between I~0! and I~1! processes+ At the same time, on a more cons...

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or non-stationarity tests) is one of the first attempts at putting the salesmarketing mix analysis within a multiv...

In this paper, we estimate a health care demand function for 18 OECD countries for the period 1972-1995. We consider a demand side approach where health expenditure depend on per capita GDP and the relative price of health care. We use panel data unit root and stationarity tests to characterize our data. Then, we test cointegration between our variables with Kao[16] panel data cointegration tes...

In this paper we test several risk management models for computing expected shortfall for one-period hedge errors of hedged derivatives positions. Contrary to value-at-risk, expected shortfall cannot be tested using the standard binomial test, since we need information of the distribution in the tail. As derivatives positions change characteristics and thereby the size of risk exposures over ti...