Unit Root Test
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Recent papers in Unit Root Test
In this study the production functions (Cobb-Douglas, Zener-Rivanker, and the transcendental production function) have been used to assess the profitability of insurance companies, by reformulating these nonlinear functions based on the... more
We analyze the price behavior of the main precious metals-gold, silver, platinum and palladium-before, during and in the aftermath of the 2007-08 financial crisis. Using the mildly explosive/multiple bubble technology developed by... more
The current study examined the impact of foreign trade on agricultural output in Nigeria based on data sourced from 1981 to 2018 by employing a number of estimation techniques such as Cobb-Douglas, unit root testing, autoregressive... more
This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be... more
In developed and emerging economies, capital markets play a major role in tranforming savings into investment. The high profit expectation of the investors in the capital markets of the emerging economies increase the curiosity about... more
xtfisher combines the p-values from N independent unit root tests, as developed by Maddala and Wu (1999). Based on the p-values of individual unit root tests, Fisher's test assumes that all series are non-stationary under the null... more
The economic liberalisation process has been opened up new dimensions for the Indian economy since 1991. The liberalisation process has achieved new heights and changes in the structure and functioning of the Indian stock market. Foreign... more
Özet Özellikle 1980'li yılların sonlarında Türkiye'de döviz kontrolünün kaldırılmasından sonra, döviz kurlarında aşırı dalgalanmalar gözlemlenmiştir. Son dönemlerde yaşanan döviz kurundaki dalgalanmalar sonucu, döviz kurunu etkileyen... more
This paper proposes unit root tests for dynamic heterogeneous panels based on the mean of individual unit root statistics. In particular it proposes a standardized t-bar test statistic based on the (augmented) Dickey–Fuller statistics... more
Dalam ekonometrika, data time series stasioner merupakan prasyarat penting untuk menghindari terjadinya spurious regression artinya variabel-variabel yang dimodelkan memberikan nilai hububgan diantaranya yang tinggi, namun pada... more
Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a... more
Granger ve Newbold 1974 yılında yazdıkları makalelerinde sahte regresyon (spurious regression) konusuna değinmişlerdir. Yazarlar çalışmalarında makroekonomik verilerin durağan olmadığını bu nedenden düzey verilerle uygulanan regresyonun... more
Enflasyon, başta gelişmekte olan ülkeler olmak üzere tüm ekonomilerde görülen sorunlardan biridir. Olumsuz etkileri azımsanmayacak derecede olan enflasyonun yüksek seyri faiz oranlarının da yüksek seviyelerde oluşmasına yol açmaktadır.... more
An important factor to consider when evaluating wind energy potential is the wind speed persistence. In this study, persistence of the wind speed in Peninsular Malaysia is investigated based on the hourly data available at 10 wind... more
The breakdown of the Bretton Woods system and the adoption of generalised floating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search or economic models... more
Από το καλοκαίρι του 2008 η παγκόσμια οικονομία αντιμετωπίζει μια βαθιά κρίση. Η οικονομική αυτή κρίση, η οποία εκδηλώθηκε αρχικά στην αγορά των ενυπόθηκων στεγαστικών δανείων των Ηνωμένων Πολιτειών Αμερικής (ΗΠΑ) εξελίχθηκε ταχύτατα σε... more
The paper examines the solvency of Turkey regarding its external debts. Recent economic crises Turkey faced in last decade raised concerns on the issue of external debt sustainability. Using the usual intertemporal budget constraint, a... more
This paper aims to identify the main causes of bilateral trade flows in OECD countries. The specific features of the study include the explicit introduction of R&D and FDI as the two important explanatory variables, conduct of unit root... more
The purpose of this study is to reinvestigate the exports-led growth hypothesis in Pakistan after implementing trade reforms ie 1990-2008. The issue how an economy can attain economic growth is widely debated and is one of the crucial... more
Equity investment is assumed to be a good hedge against inflation since long time. This paper examines short run causal relationship between inflation and stock return in emerging BRICS markets. The study covers a comprehensive period of... more
We examined the effect of bank credit on agricultural productivity in Nigeria so as to ascertain the existence of causal relationship between the dual. To achieve this objective, the time frame secondary data used in the study includes:... more