Will initiatives to promote hydroelectricity consumption be effective? Evidence from univariate and panel LM unit root tests with structural breaks

Energy Policy ◽  
2014 ◽  
Vol 68 ◽  
pp. 102-115 ◽  
Author(s):  
Hooi Hooi Lean ◽  
Russell Smyth
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Unit Root Tests

Survey on structural breaks and unit root tests

2020 ◽  
Vol 58 ◽  
pp. 96-141
Author(s):  
A. Skrobotov ◽  
◽  
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Unit Root Tests

A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?

2021 ◽  
Vol 3 (2) ◽  
pp. 80-92
Author(s):  
Sara Muhammadullah ◽  
Amena Urooj ◽  
Faridoon Khan
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Structural Break ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Gdp Growth ◽  
Macroeconomic Indicators

The study investigates the query of structural break or unit root considering four macroeconomic indicators; unemployment rate, interest rate, GDP growth, and inflation rate of Pakistan. The previous studies create ambiguity regarding the stationarity and non-stationarity of these variables. We employ Zivot & Andrews (1992) unit root test and Step Indicator Saturation (SIS) method for multiple break detection in mean. GDP growth and inflation rate are stationary at level whereas unit root tests fail to reject the null hypothesis of the unemployment rate and interest rate at level. However, Zivot and Andrew unit root test with a single endogenous break indicates that the unemployment rate and interest rate are stationary at level with a single endogenous break. On the other hand, the SIS method reveals that the series are stationary with multiple structural breaks. It is inferred that it is inappropriate to take the first difference of the unemployment rate and interest rate to attain stationarity. The results of this study confirmed that there exist multiple breaks in the macroeconomic variables considered in the context of Pakistan.

scholarly journals Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020

2021 ◽  
Vol 15 (1) ◽  
pp. 72-84
Author(s):  
Vicente Esteve ◽  
Maria A. Prats
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Structural Breaks ◽  
House Prices ◽  
Unit Root Tests ◽  
Annual Data ◽  
Bubble Behavior ◽  
Long Period ◽  
Long Run ◽  
Long Time

Abstract In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870–2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it offers more powerful econometric results. To detect episodes of potential explosive behavior in house prices over this long period, we use the recursive unit root tests for explosiveness proposed by Phillips et al. (2011), (2015a,b). According to the results, there is a clear speculative bubble behavior in real house prices between 1997 and 2020, speculative process that has not yet been adjusted.

scholarly journals STUDY OF TESTS FOR TREND IN TIME SERIES

2021 ◽  
Vol 39 (2) ◽  
pp. 311-333
Author(s):  
Denise de Assis PAIVA ◽  
Thelma SÁFADI
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Structural Breaks ◽  
Consumer Price Index ◽  
Unit Root Tests ◽  
Metropolitan Region ◽  
Maximum Temperature ◽  
Pettitt Test ◽  
Using Data ◽  
Time Series Methodology

The time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in the Metropolitan Region of S~ao Paulo (RMSP), the Broad Consumer Price Index (IPCA) and the nominal Gross Domestic Product (GDP) of Brazil. It was found that the unit root tests showed similar results in relation to the presence of the stochastic trend for all series. Furthermore, the turning point of the Pettitt test diverged from all the structural breaks found through the Zivot and Andrews test, except for the GDP series. Therefore, it was found that the trend tests diverged, obtaining similar results only in relation to the unemployment series.

scholarly journals Smooth Break Detection and De-Trending in Unit Root Testing

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 371
Author(s):  
Furkan Emirmahmutoglu ◽  
Tolga Omay ◽  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Tests ◽  
Smooth Transition ◽  
Unit Root Testing ◽  
Augmented Dickey Fuller ◽  
Power Comparisons ◽  
Fourier Function ◽  
Unexpected Outcomes

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

Sign in / Sign up

Export Citation Format

Share Document