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Near Unit Root in the Spatial Autoregressive Model
Spatial autoregressive model Spatial unit root Near unit root Two stage least square Quasi-maximum likelihood estimatio
2016/1/19
This paper studies the spatial autoregressive (SAR) model for cross sectional data when the true spatial e¤ect parameter is near unity. We decompose the data generating process into an unstable compon...
Unified theoretical framework for unit root and fractional unit root
First autoregression fractional integration explosive processes unit root fractional unit
2012/11/22
To distinguish between purely fractionally integrated (FI) processes, we propose in this article an appropriate fractional Dickey-Fuller test (F-DF). This extends the familiar Dickey-Fuller (1979) typ...
International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?
labour force participation rates gender fractional integration structural breaks
2012/10/22
This paper examines the possibility of unit roots in the presence of endogenously determined multiple structural breaks in the total, female and male labour force participation rates (LFPR) for Austra...
Parameter estimation in a spatial unit root autoregressive model
Spatial autoregressive processes unit root models
2011/3/23
Spatial autoregressive model $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\gamma X_{k-1,\ell-1}+\epsilon_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the b...
Parameter estimation in a spatial unit root autoregressive model
Spatial autoregressive processes unit root models
2011/3/22
Spatial autoregressive model $X_{k,\ell}=\alpha X_{k-1,\ell}+\beta X_{k,\ell-1}+\gamma X_{k-1,\ell-1}+\epsilon_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the b...
On unit root formulas for toric exponential sums
Exponential sum A-hypergeometric function
2011/1/19
Starting from a classical generating series for Bessel functions due to Schl¨omilch[4], we use Dwork’s relative dual theory to broadly generalize unit-root results of Dwork[3] on Kloosterman sums and ...
On Perron's unit root tests in the presence of an innovation variance break
Unit Root Trend Break Innovation Break Break Date
2010/9/14
The unit root tests of Perron (1989, Econometrica) were designed to have power against the stationary alternative characterized by a break in the trend function. We show that all versions of Perron’s ...
The Discontinuous Trend Unit Root Test with a Break Interval
unit-root test discontinuous-trend break-interval
2009/5/7
Dickey and Fuller proposed tests for the unit root hypotheses in a uni-variate time series. Perron (1989) extended the t-ratio type unit-root tests so that they allow for a break in the deterministic...
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric sho...
Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases
Nonstationarity panel data PPP real exchange rate stationarity
2010/9/7
In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is th...
主讲人
Chor-yiu Sin
Xiamen University
题目
Capturing cross-sectional correlation with time series: with an application to unit root test
时间
2007年5月9日（星期三）下午14:00-----15:30
地点
北京大学中国经济研究中心万众楼大教室
工作语言
英文
联系电...
The Discontinuous Trend Unit Root Test with a Break Interval
unit-root test discontinuous-trend break-interval
2010/12/7
Dickey and Fuller proposed tests for the unit root hypotheses in a uni-variate time series. Perron (1989) extended the t-ratio type unit-root tests so that they allow for a break in the deterministic ...
THE CONVERGENCE OF MULTIVARIATE ‘UNIT ROOT’ DISTRIBUTIONS TO THEIR ASYMPTOTIC LIMITS The Case of Money-Income Causality
MULTIVARIATE UNIT ROOT DISTRIBUTIONS THEIR ASYMPTOTIC LIMITS Money-Income Causality
2014/3/18
We examine the quality of recently developed asymptotic approximations to the sampling distributions of various statistics in levels regressions when the regressors have unit ro...