scholarly journals Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test

2018 ◽  
Vol 7 (5) ◽  
pp. 19
Author(s):  
Masudul Islam ◽  
Afroza Akhtar ◽  
Sirajum Munira ◽  
Md. Salauddin Khan ◽  
Md Monzur Murshed
Keyword(s):  
Unit Root ◽  
Time Series Data ◽  
Simulation Method ◽  
Unit Root Tests ◽  
Series Data ◽  
Boundary Problems ◽  
Related Data ◽  
Augmented Dickey Fuller ◽  
Almost All

Impede nonstationarity is vigorous to study performance of time series data and removes long-term components to expose any regular short-term regularity. So, we find miscellaneous unit root tests for instance Dickey-Fuller test, Augmented Dickey-Fuller plus DF-GLS Tests and identify that almost all unit root tests with the estimated model suffer from sign and boundary problems of the parameters to smooth the progress of the non-stationarity problem. In this paper, we usage Dickey-Fuller test and impose some limits on the parameter. Our proposed optimized DF test based on error sum of square (ESS). Monto Carlo simulation method is used to generate simulated critical values for different sample size. Our proposed optimized DF test gives better result than the ordinary DF test with effectiveness, uniformity and power properties. Also, optimized DF improves the sign and boundary problems through imposing some limit on error sum of squares and capture more nonstationarity of time related data.

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.

Investigation of the price linkage between Asian LNG spot and Far East Asian LNG prices and its implications

2018 ◽  
Vol 1 (1) ◽  
pp. 52-65
Author(s):  
Muhammad Anas Pradipta
Keyword(s):  
Natural Gas ◽  
Unit Root ◽  
East Asian ◽  
Far East ◽  
Unit Root Tests ◽  
Spot Prices ◽  
South Korean ◽  
Natural Gas Prices ◽  
Augmented Dickey Fuller

For so many times, Far East Asian liquid natural gas (LNG) buyers have been using price linked to crude oil-indexed, now they need to find another alternative pricing formula for their crucial energy supply as a better price structure that could reflect the market is needed. LNG spot price is expected to be the pillar for the future LNG trading, especially for Far East Asia Market. As less and less long-term contracts are signed in the Far East Asia Market, this creates an additional demand for the LNG in the spot market, while it raises some issues about the presence of different LNG pricing mechanisms. Most of the LNG spot prices in Asia are indexed to the relatively low natural gas prices in Atlantic Basin. Furthermore, the advancement of drilling technology in the US drives down its natural gas prices, resulting in price discrepancies between Asian LNG spot and East Asian LNG prices. This study investigates whether there is a price linkage between Asian LNG spot and East Asian LNG prices. This study comprehends 91 observations collected from January 2010 to July 2017. Johansen co-integration tests were carried out to examine the existence of long-run relationship on the spot, Japanese and South Korean LNG prices. The Augmented Dickey-Fuller (ADF), Phillip-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests were conducted first before proceeding to the co-integration tests. The results showed that Asian LNG spot prices did not have price linkage for monthly averages of Japanese and South Korean LNG prices. The analyses also indicated that Taiwan LNG markets move together with Asian LNG spot markets. As a conclusion, the results inferred that supply dependency on LNG spot cargoes governed the price linkage among these Asian LNG markets. The use of gas indexed LNG price mechanism did not reflect the economic fundamentals in Asia-Pacific Basin. JEL Classification: Q41Keywords: Price linkage, Johansen co-integration, augmented Dickey-Fuller, Phillip-Perron, and Kwiatkowski-Phillips-Schmidt-Shin, unit root tests, Far East Asian LNG spot prices, LNG spot and short-term cargoes, long-term contracts, spot prices, energy: demand and supply, prices

scholarly journals A box-jenkins sarima analysis of dysentery cases in children aged below five at a provincial hospital in Zimbabwe

2020 ◽  
Vol 3 (7) ◽  
pp. 33-38
Author(s):  
Dr. Smartson. P. Nyon ◽  
Mr. Thabani Nyoni
Keyword(s):  
Unit Root ◽  
Catchment Area ◽  
Time Series Data ◽  
Unit Root Tests ◽  
Series Data ◽  
Policy Recommendation ◽  
Sample Period ◽  
Policy Makers ◽  
Provincial Hospital ◽  
Out Of Sample

This piece of work uses monthly time series data on new dysentery cases at Gweru Provincial Hospital (GPH) from Janaury 2010 to December 2018, to predict dysentery cases over the period January 2019 to December 2020. As confirmed by unit root tests, the series under consideration is basically an I (1) variable. The study applied the Box-Jenkins “catch all” model. Residual analysis of this model indicates that the model is stable and thus suitable for predicting dysentery cases at GPH over the out-of-sample period. The results of the study reveal that dysentery cases will be on the rise at GPH over the out-of-sample period; characterized by seasonal repeats in December each year. The study offers a two-fold policy recommendation in order to help policy makers in the fight against dysentery in children under five years of age within the GPH catchment area.

UNIT ROOT TESTS IN THE PRESENCE OF MULTIPLE BREAKS IN VARIANCE

2017 ◽  
Vol 62 (02) ◽  
pp. 345-361
Author(s):  
SOO-BIN JEONG ◽  
BONG-HWAN KIM ◽  
TAE-HWAN KIM ◽  
HYUNG-HO MOON
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Time Series Data ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Series Data ◽  
Simulation Experiments ◽  
Innovation Variance ◽  
Multiple Breaks

Spurious rejections of the standard Dickey–Fuller (DF) test caused by a single variance break have been reported and some solutions to correct the problem have been proposed in the literature. Kim et al. (2002) put forward a correctly-sized unit root test robust to a single variance break, called the KLN test. However, there can be more than one break in variance in time series data as documented in Zhou and Perron (2008), so allowing only one break can be too restrictive. In this paper, we show that multiple breaks in variance can generate spurious rejections not only by the standard DF test but also by the KLN test. We then propose a bootstrap-based unit root test that is correctly-sized in the presence of multiple breaks in variance. Simulation experiments demonstrate that the proposed test performs well regardless of the number of breaks and the location of the breaks in innovation variance.

scholarly journals A Simple Integration Order Test: An Alternative to Unit Root Testing

2021 ◽  
Vol 2 (3) ◽  
pp. 77-85
Author(s):  
C. G. Amaefula
Keyword(s):  
Unit Root ◽  
Time Series Data ◽  
Test Procedure ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Stationary Time Series ◽  
Series Data ◽  
Unit Root Testing ◽  
Integration Test ◽  
Integration Order

The paper introduces order of integration test (OIT) which serves as a simple alternative to unit root test built generally using auxiliary autoregressive AAR(3) model. The parametric boundary conditions necessary and sufficient for testing the null hypothesis that the non-stationary variable under test is integrated order zero I(0) were estimated via generalized least squares (GLS). The decision on the hypothesis is evaluated using t-statistic. The test procedure was applied to a simulated non-stationary series (y1) of sample size n = 2000 and a known non-stationary time series data (y2) with two unit roots. The results showed that y1 is integrated order one (I(1)) and y2 is I(2). These results were confirmed by Augmented Dickey Fuller (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, and Shin (KPSS); Elliot, Rothenberg, and Stock Point Optimal (ERS) and Ng and Perron (NP) unit root tests. For logarithm transformed variable, the divergent opinions of other unit root tests in clear-cut solution of the integrated order of such variable makes the new test procedure a better alternative. Nevertheless, the simplicity and aptness of the integration order test give it leverage over conventional methods of unit root test.

scholarly journals Are the non-stationarities in global market shares of top automotive nations of the world same?

2021 ◽  
Vol 244 ◽  
pp. 08016
Author(s):  
Huu Tran Aí ◽  
Muhammad Imtiaz Subhani ◽  
Sommaya Prachyangprecha
Keyword(s):  
Automotive Industry ◽  
Time Series Data ◽  
Stationary Process ◽  
Unit Root Test ◽  
Global Market ◽  
Series Data ◽  
Automotive Market ◽  
Market Shares ◽  
Augmented Dickey Fuller ◽  
Almost All

This paper is an attempt to investigate the non-stationary process in the global market shares of automotive industry of top 26 automotive producing nations. The time series data of global automotive market shares of top 26 automotive producing nations were collected from data stream Eikon for the period from 2002 to 2014. Augmented Dickey Fuller Unit root test (ADF URT) is used to investigate the non-stationarities or shocks in the outlined series of global automotive market shares. Findings confirmed the presence of shocks or non-stationarity (absence of stationary process) in global market shares of almost all top automotive producing nations except of Australia, India, Malaysia and South Africa for2002 to 2014. Findings further revealed that the non-stationarities got fixed at 2nd difference in all outlined series of global market shares of automotive for the period from 2002 to 2014. It is also revealed that there are the same shocking patterns in the global market shares of all top automotive producing nations with few exception.

scholarly journals Is the Labour Force Participation Rate Non-Stationary in Romania?

2015 ◽  
Vol 14 (4) ◽  
pp. 411-426
Author(s):  
Aviral Kumar Tiwari ◽  
Mihai Mutascu
Keyword(s):  
Unemployment Rate ◽  
Unit Root ◽  
Time Series Data ◽  
Labour Force ◽  
Participation Rate ◽  
Labour Force Participation ◽  
Nonlinear Process ◽  
Series Data ◽  
Labour Force Participation Rate

Abstract The purpose of this paper is to test hysteresis of the Romanian labour force participation rate, by using time series data, with quarterly frequency, covering the period 1999Q1-2013Q4. The main results reveal that the Romanian labour force participation rate is a nonlinear process and has a partial unit root (i.e. it is stationary in the first regime and non-stationary in the second one), the main breaking point being registered around year 2005. In this context, the value of using unemployment rate as an indicator for capturing joblessness in this country is debatable. Starting from 2005, the participation rate has not followed long-term changes in unemployment rate, the disturbances having permanent effects on labour force participation rate.

Economic Turmoil in Islamic Banking Investment

ETIKONOMI ◽  
2020 ◽  
Vol 19 (2) ◽  
Author(s):  
Budiandru Budiandru ◽  
Sari Yuniarti
Keyword(s):  
Interest Rates ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
Islamic Banking ◽  
Vector Error Correction ◽  
Investment Financing ◽  
Vector Error ◽  
Operational Activities

Investment financing is one of the operational activities of Islamic banking to encourage the real sector. This study aims to analyze the effect of economic turmoil on investment financing, analyze the response to investment financing, and analyze each variable's contribution in explaining the diversity of investment financing. This study uses monthly time series data from 2009 to 2020 using the Vector Error Correction Model (VECM) analysis. The results show that the exchange rate, inflation, and interest rates significantly affect Islamic banking investment financing in the long term. The response to investment financing is the fastest to achieve stability when it responds to shocks to the composite stock price index. Inflation is the most significant contribution in explaining diversity in investment financing. Islamic banking should increase the proportion of funding for investment. Customers can have a larger business scale to encourage economic growth, with investment financing increasing.JEL Classification: E22, G11, G24How to Cite:Budiandru., & Yuniarti, S. (2020). Economic Turmoil in Islamic Banking Investment. Etikonomi: Jurnal Ekonomi, 19(2), xx – xx. https://doi.org/10.15408/etk.v19i2.17206.

EMPIRICAL ANALYSIS OF INDIA’S FOREIGN TRADE AND ECONOMIC GROWTH

2020 ◽  
Vol 8 (10) ◽  
pp. 105-111
Author(s):  
Khujan Singh ◽  
Anil Kumar
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Significant Implication ◽  
Causality Test ◽  
First Order ◽  
Long Run ◽  
Directional Relation ◽  
Augmented Dickey Fuller ◽  
Vecm Granger Causality

The present study is an attempt to examine long run relationship among India’s GDP, Exports and Imports for which yearly time series data from 1995 to 2018 has been collected. Data for India’s GDP has been collected from RBI website and India’s export and import data has been collected form Ministry of Commerce and Industry website. The Augmented Dickey-Fuller unit root test for stationarity found that studied variables become stationary at first order of difference. While, Johnson cointegration test revealed long run cointegration between India’s GDP, exports and imports. The results of VECM Granger causality test exhibited bi-directional relationship between India’s GDP and India’s exports, whereas uni-directional relation has been found between India’s GDP and India’s imports. These results have significant implication for India’s export import policy and to achieve a target of $5 trillion economy till 2024-2025.

scholarly journals Assessing Stream-Aquifer Connectivity in a Coastal California Watershed

Water ◽  
2021 ◽  
Vol 13 (4) ◽  
pp. 416
Author(s):  
Bwalya Malama ◽  
Devin Pritchard-Peterson ◽  
John J. Jasbinsek ◽  
Christopher Surfleet
Keyword(s):  
Time Series ◽  
Spectral Analysis ◽  
Water Level ◽  
Time Series Data ◽  
Series Data ◽  
Low Permeability ◽  
Pumping Tests ◽  
Stream Flows ◽  
The Impact

We report the results of field and laboratory investigations of stream-aquifer interactions in a watershed along the California coast to assess the impact of groundwater pumping for irrigation on stream flows. The methods used include subsurface sediment sampling using direct-push drilling, laboratory permeability and particle size analyses of sediment, piezometer installation and instrumentation, stream discharge and stage monitoring, pumping tests for aquifer characterization, resistivity surveys, and long-term passive monitoring of stream stage and groundwater levels. Spectral analysis of long-term water level data was used to assess correlation between stream and groundwater level time series data. The investigations revealed the presence of a thin low permeability silt-clay aquitard unit between the main aquifer and the stream. This suggested a three layer conceptual model of the subsurface comprising unconfined and confined aquifers separated by an aquitard layer. This was broadly confirmed by resistivity surveys and pumping tests, the latter of which indicated the occurrence of leakage across the aquitard. The aquitard was determined to be 2–3 orders of magnitude less permeable than the aquifer, which is indicative of weak stream-aquifer connectivity and was confirmed by spectral analysis of stream-aquifer water level time series. The results illustrate the importance of site-specific investigations and suggest that even in systems where the stream is not in direct hydraulic contact with the producing aquifer, long-term stream depletion can occur due to leakage across low permeability units. This has implications for management of stream flows, groundwater abstraction, and water resources management during prolonged periods of drought.

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