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.

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 THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

scholarly journals Transportation Dynamic Behaviour of Structural Break and Consumer Price Index

2019 ◽  
Vol 8 (2) ◽  
pp. 283-290
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Price Index ◽  
Dynamic Behaviour ◽  
Structural Break ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Peninsular Malaysia ◽  
Cointegration Tests ◽  
Break Points

This paper studies the dynamic behaviour of transportation price in Peninsular Malaysia and Sabah from 2004 to 2015 using disaggregated monthly price data of consumer price index (CPI). For that, unit root tests and cointegration tests with structural breaks are incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the break points occurred in 2008, (ii) the variables cointegrate in the Johansen cointegration test which indicates that there is a long-run relationship and (iii) the Gregory and Hansen test also demonstrated some form of cointegration with structural break(s), especially in 2008. Overall, this study intends to match the structural break points with the comparable critical economic events

The effects of shocks on Turkish tourism demand: Evidence using panel unit root test

2020 ◽  
pp. 135481661989983 ◽  
Author(s):  
Yagmur Saglam ◽  
Apostolos Ampountolas
Keyword(s):  
Empirical Study ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Test ◽  
Transition Process ◽  
Smooth Transition ◽  
Tourism Demand ◽  
Panel Unit Root Test ◽  
Panel Unit Root

This empirical study examines the stationarity of tourism demand in Turkey in response to the effects of structural breaks, which indicate external or internal shocks based on tourist arrivals from 12 Slavic-speaking countries between 2000 and 2016. We employed a panel unit root test based on the Flexible Fourier approach, which Karul enhanced to allow gradual shifts and a smooth transition process; structural break dates come from the Carrion-i-Silvestre unit root test framework. The empirical findings indicate that there are differences in the effects of these structural breaks across the 12 countries in question.

scholarly journals The Analysis of External Debt Sustainability by Periodic Unit Root Test with Structural Break: The Case of Turkey

2015 ◽  
Vol 7 (4) ◽  
pp. 1
Author(s):  
Ozlem Goktas ◽  
Aycan Hepsag
Keyword(s):  
Structural Change ◽  
Unit Root ◽  
Structural Break ◽  
External Debt ◽  
Unit Root Test ◽  
Periodic Process ◽  
Periodic Behavior ◽  
Debt Sustainability ◽  
Empirical Results ◽  
The Third

<p>The aim of this study is to investigate external debt sustainability using the periodic unit root<br />rest with structural break which is introduced by Boswijk and Franses (1995) and then<br />developed by Evans (2006). In order to test the hypothesis, we use quarterly Turkish data<br />measuring the ratio of external debt stock to GDP that covers the period from the first quarter<br />of 1990 to the third quarter of 2012. The empirical results support that the ratio of external<br />debt stock to GDP has the periodic behavior under structural change and follows a<br />nonstationary periodic process with structural break. According to the empirical findings, it is<br />argued that the external debt is unsustainable in Turkey.</p>

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.

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