Unit root test in the presence of a single additive outlier small sample case

2001 ◽  
Vol 21 (2) ◽  
pp. 89
Author(s):  
Hocine Fellag
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Small Sample ◽  
Additive Outlier ◽  
Sample Case

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

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.

scholarly journals Is per capita energy use stationary? Time series evidence for the EMU countries

2016 ◽  
Vol 35 (1) ◽  
pp. 24-32 ◽  
Author(s):  
Cosimo Magazzino
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Energy Use ◽  
Unit Root Test ◽  
Stationary Time Series ◽  
Annual Data ◽  
Significance Level ◽  
Additive Outlier ◽  
Per Capita ◽  
Almost All

This study examines the stationary properties of per capita energy use in the 19 Eurozone member countries by using annual data over 1960–2013 period. We utilize the Clemente et al. unit root test that determines structural breaks. Empirical results show that most of the country series does not reject the unit root null hypothesis at the 5% significance level, both in the case of additive outlier and of innovative outlier. Therefore, our empirical findings provide significant evidence that energy use is nonstationary in almost all Eurozone countries. For the policy makers, it is necessary to pay attention to energy use series.

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