Investigating stationarity in tourist arrivals to India using panel KPSS with sharp drifts and smooth breaks

2018 ◽  
Vol 50 (46) ◽  
pp. 4985-4998 ◽  
Author(s):  
Hong Xie ◽  
Aviral Kumar Tiwari ◽  
Tsangyao Chang
Keyword(s):  
Smooth Breaks

A parametric stationarity test with smooth breaks

2018 ◽  
Vol 23 (2) ◽  
Author(s):  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee ◽  
Li Ju Tsai
Keyword(s):  
Small Sample ◽  
Fourier Component ◽  
Deterministic Trend ◽  
Fisher Hypothesis ◽  
Trend Breaks ◽  
Stationarity Test ◽  
Unknown Form ◽  
Small Sample Sizes ◽  
Parametric Adjustment ◽  
Smooth Breaks

Abstract We propose a test to investigate the stationarity null against the unit-root alternative where a Fourier component is employed to approximate nonlinear deterministic trend of unknown form. A parametric adjustment is also adopted to accommodate possible stationary error. The asymptotic distribution of the test under the null is derived, and the asymptotic critical values are tabulated. We also show that it is a consistent test. Even with small sample sizes often encountered in empirical applications, our parametric stationarity test employing Fourier term has good size and power properties when trend breaks are gradual. The validity of the Fisher hypothesis for 15 OECD countries is investigated to illustrate the usefulness of our test.

Testing for Unit Roots in Dynamic Panels with Smooth Breaks and Cross-Sectionally Dependent Errors

2017 ◽  
Vol 52 (1) ◽  
pp. 167-193 ◽  
Author(s):  
Tolga Omay ◽  
Mübariz Hasanov ◽  
Yongcheol Shin
Keyword(s):  
Unit Roots ◽  
Dynamic Panels ◽  
Smooth Breaks

scholarly journals Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks

2017 ◽  
Vol 6 (2) ◽  
pp. 80-87 ◽  
Author(s):  
Elie Bouri ◽  
Tsangyao Chang ◽  
Rangan Gupta
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Wine Market ◽  
Smooth Breaks

scholarly journals Testing the Efficiency of the Art Market Using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks

2017 ◽  
Vol 86 (4) ◽  
pp. 488-511 ◽  
Author(s):  
Goodness C. Aye ◽  
Tsang Yao Chang ◽  
Wen-Yi Chen ◽  
Rangan Gupta ◽  
Mark Wohar
Keyword(s):  
Unit Root ◽  
Art Market ◽  
Unit Root Tests ◽  
Smooth Breaks
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