Re-examining the Fisher Effect: An Application of Small Sample Distributions of the Covariate Unit Root Test

2012 ◽  
Vol 41 (2) ◽  
pp. 189-207 ◽  
Author(s):  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Small Sample ◽  
Fisher Effect

scholarly journals A wavelet-based variance ratio unit root test for a system of equations

2019 ◽  
Vol 24 (3) ◽  
Author(s):  
Abdul Aziz Ali ◽  
Kristofer Månsson ◽  
Ghazi Shukur
Keyword(s):  
Time Series ◽  
Cross Section ◽  
Unit Root ◽  
Unit Root Test ◽  
Applied Econometrics ◽  
Small Sample ◽  
System Of Equations ◽  
Panel Unit Root Test ◽  
Panel Unit Root ◽  
Cross Section Dependence

AbstractIn this paper, we suggest a unit root test for a system of equations using a spectral variance decomposition method based on the Maximal Overlap Discrete Wavelet Transform. We obtain the limiting distribution of the test statistic and study its small sample properties using Monte Carlo simulations. We find that, for multiple time series of small lengths, the wavelet-based method is robust to size distortions in the presence of cross-sectional dependence. The wavelet-based test is also more powerful than the Cross-sectionally Augmented Im et al. unit root test (Pesaran, M. H. 2007. “A Simple Panel Unit Root Test in the Presence of Cross-section Dependence.” Journal of Applied Econometrics 22 (2): 265–312.) for time series with between 20 and 100 observations, using systems of 5 and 10 equations. We demonstrate the usefulness of the test through an application on evaluating the Purchasing Power Parity theory for the Group of 7 countries and find support for the theory, whereas the test by Pesaran (Pesaran, M. H. 2007. “A Simple Panel Unit Root Test in the Presence of Cross-section Dependence.” Journal of Applied Econometrics 22 (2): 265–312.) finds no such support.

scholarly journals Fractional unit-root tests allowing for a fractional frequency flexible Fourier form trend: predictability of Covid-19

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Tolga Omay ◽  
Dumitru Baleanu
Keyword(s):  
Unit Root ◽  
Fractional Integration ◽  
Structural Break ◽  
Unit Root Test ◽  
Small Sample ◽  
Fractional Difference ◽  
Fractional Frequency ◽  
Small Sample Properties ◽  
Fourier Function ◽  
Fractional Unit

AbstractIn this study we propose a fractional frequency flexible Fourier form fractionally integrated ADF unit-root test, which combines the fractional integration and nonlinear trend as a form of the Fourier function. We provide the asymptotics of the newly proposed test and investigate its small-sample properties. Moreover, we show the best estimators for both fractional frequency and fractional difference operator for our newly proposed test. Finally, an empirical study demonstrates that not considering the structural break and fractional integration simultaneously in the testing process may lead to misleading results about the stochastic behavior of the Covid-19 pandemic.

Unit root test under innovation outlier contamination small sample case

2006 ◽  
Vol 26 (1) ◽  
pp. 5 ◽  
Author(s):  
Lynda Atil ◽  
Hocine Fellag ◽  
Karima Nouali
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Small Sample ◽  
Sample Case

Convergence in per capita carbon footprint and ecological footprint for G7 countries: Evidence from panel Fourier threshold unit root test

2021 ◽  
pp. 0958305X2110114
Author(s):  
Veli Yilanci ◽  
Muhammed Sehid Gorus ◽  
Sakiru Adebola Solarin
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Unit Root Test ◽  
G7 Countries ◽  
Convergence Hypothesis ◽  
International Climate ◽  
Per Capita ◽  
Nonlinear Behaviors ◽  
Nonlinear Unit Root Tests

This paper aims to explore the convergence of per capita carbon and ecological footprints in G7 countries during 1961–2016. For this purpose, we propose a new unit root test in the panel setting–the panel Fourier threshold unit root test. This test takes into consideration both multiple smooth structural changes and nonlinearity. According to the literature, the power of the nonlinear unit root tests is reduced in the case of ignoring structural breaks. Therefore, we expect to get more reliable empirical findings by utilizing this methodology. The empirical results of this paper show that these series have nonlinear behaviors for the period 1961–2016. Furthermore, they demonstrate that the absolute convergence hypothesis is valid in G7 countries for both regimes. Thus, governments can conduct common environmental policies, including international climate summits and agreements, instead of national-based policies to mitigate environmental deterioration in their countries.

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