scholarly journals On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

2004 ◽  
Author(s):  
Paulo M.M. Rodrigues ◽  
Antonio Rubia
Keyword(s):  
Maximum Likelihood ◽  
Interest Rates ◽  
Unit Root ◽  
Small Sample ◽  
Unit Root Tests ◽  
Short Term ◽  
Small Sample Properties

scholarly journals TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME

2002 ◽  
Vol 18 (2) ◽  
pp. 313-348 ◽  
Author(s):  
Pentti Saikkonen ◽  
Helmut Lütkepohl
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Small Sample ◽  
Unit Root Tests ◽  
Nuisance Parameters ◽  
Level Shift ◽  
Generation Process ◽  
Data Generation ◽  
Level Shifts ◽  
Small Sample Properties

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have the same limiting distributions as for the case of a known break date. Simulations are performed to investigate the small sample properties of the tests, and empirical examples are discussed to illustrate the procedure.

scholarly journals Estimating logit models with small samples

2021 ◽  
pp. 1-16
Author(s):  
Carlisle Rainey ◽  
Kelly McCaskey
Keyword(s):  
Maximum Likelihood ◽  
American Political Science Review ◽  
Substantial Improvement ◽  
Small Sample ◽  
Small Samples ◽  
Noticeable Improvement ◽  
Small Sample Properties ◽  
Substantial Bias ◽  
Ml Estimator ◽  
American Political Science

Abstract In small samples, maximum likelihood (ML) estimates of logit model coefficients have substantial bias away from zero. As a solution, we remind political scientists of Firth's (1993, Biometrika, 80, 27–38) penalized maximum likelihood (PML) estimator. Prior research has described and used PML, especially in the context of separation, but its small sample properties remain under-appreciated. The PML estimator eliminates most of the bias and, perhaps more importantly, greatly reduces the variance of the usual ML estimator. Thus, researchers do not face a bias-variance tradeoff when choosing between the ML and PML estimators—the PML estimator has a smaller bias and a smaller variance. We use Monte Carlo simulations and a re-analysis of George and Epstein (1992, American Political Science Review, 86, 323–337) to show that the PML estimator offers a substantial improvement in small samples (e.g., 50 observations) and noticeable improvement even in larger samples (e.g., 1000 observations).

The Issue of Logistics and Its Correlation to Economic Growth in Turkey

2021 ◽  
Vol 11 (1) ◽  
pp. 66-80
Author(s):  
Berrak Erkumru Can ◽  
Dilek Temiz Dinç ◽  
Aytaç Gökmen
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Unit Root Tests ◽  
Short Term ◽  
Turkish Republic ◽  
Goods And Services ◽  
Augmented Dickey Fuller

Logistics is a considerable issue for the development of a state and its economy. Logistics is involved the forward and backward flows of goods and services from the point of production and point of consumption, and it is considerable for the development of the economy of a country. Yet, the aim of this paper is to review the correlation between the logistics sector of the Turkish Republic and its correlation to economic growth by employing Augmented Dickey Fuller-ADF, Phillips-Perron (PP), Kwiatkowski, Phillips, Schmidt, Shin (KPSS), Elliott, Rothenberg and Stock Point Optimal, and Ng-Perron unit root tests. As a result, there is a bidirectional positive causality between logistics sector and economic growth in the long-term, but there is no causality for short term. Moreover, the novelty of this paper is that it is the most up-to-date study to research logistics and its correlation to economics in Turkey.

Testing the Validity of Taylor's Rule on Developing Countries for Effective Financial Marketing

2020 ◽  
pp. 450-470
Author(s):  
Ali Doğdu ◽  
Gökçe Kurucu ◽  
İhsan Erdem Kayral
Keyword(s):  
Central Bank ◽  
Interest Rates ◽  
Response Function ◽  
Unit Root ◽  
Policy Response ◽  
Short Term ◽  
Monetary Policies ◽  
Inflation Rates ◽  
Augmented Dickey Fuller ◽  
Causality Relationship

This chapter examines whether the central bank policy behaviors of E-7 countries are valid by using a Taylor type monetary policy response function. In this context, the policy response function of banks is analyzed by using monthly data for the 2008-2018 period. Then, unit root tests of ADF (Augmented Dickey Fuller), PP (Philips Perron), IPS (Im Peseran Shin) and LLC (Levin Lin Chu) were performed and analyzed by using Dumitrescu-Hurlin methodology. As a result of the analyses conducted using inflationary data, it was observed that short-term interest rates of the central bank affect price stability by causing inflation, but inflation rates did not cause an increase or decrease in short-term interest rates. According to the findings, although inflation does not cause interest rates to change in E7 countries, a causality relationship has emerged from interest rates to inflation rates. These results indicate that the monetary policies implemented in these countries are not carried out in accordance with the Taylor rule.

Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates

1998 ◽  
Vol 16 (3) ◽  
pp. 304 ◽  
Author(s):  
Walter Enders ◽  
C. W. J. Granger
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Unit Root ◽  
Unit Root Tests ◽  
Asymmetric Adjustment

UNIT ROOT TESTS BASED ON ADAPTIVE MAXIMUM LIKELIHOOD ESTIMATION

1999 ◽  
Vol 15 (01) ◽  
Author(s):  
Dong Wan Shin ◽  
Beong Soo So
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Unit Root ◽  
Likelihood Estimation ◽  
Unit Root Tests
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