860 research outputs found
Unit root testing
No full textThe occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey and Fuller (1979). Reviewing this test and variants thereof we focus on the importance of modelling the deterministic component. In particular, we survey the growing literature on tests accounting for structural shifts. Finally, further applied aspects are addressed how to get the size correct and obtain good power at the same time. --Dickey-Fuller,size and power,deterministic components,structural breaks
Markov regime switching and unit root tests
No full textWe investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find previously documented size distortions in Dickey-Fuller type tests caused by a single break in trend growth rate or variance do not generalize to most parameterizations of Markov switching in trend or variance. However, Markov switching in variance can lead to overrejection in tests allowing for a single break in the level of trend.Time-series analysis ; Business cycles
Unit Root Tests in Three-Regime SETAR Models.
No full textThis paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper regimes. We establish that when threshold parameters are known, the suggested Wald test has a well-defined asymptotic null distribution free of nuisance parameters. In the general case where threshold parameters are unknown a priori, we consider the three most commonly used summary statistics - average, exponential average and supremum. Assuming that the grid set for thresholds can be selected such that the corridor regime be of finite width both under the null and under the alternative, we can establish both stochastic equicontinuity and uniform convergence of the aforementioned summary statistics. Monte Carlo evidence clearly indicates that the proposed tests are more powerful than the Dickey-Fuller test that ignores the threshold nature under the alternative. We illustrate the usefulness of our proposed tests by examining stationarity of bilateral real exchange rates for the G7 countries.Self-exciting Threshold Autoregressive Models, Unit Roots, Globally Stationary Processes, Threshold Cointegration, Monte Carlo Simulations, Real Exchange Rates, Transactions Costs, Dread of Depreciation
PPP May not Hold for Agricultural Commodities
No full textWe use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in the panel, are used. Properties of unit roots and panel tests are analyzed by Monte Carlo simulation. Summarizing, our results show that during the post-Bretton-Woods period of flexible exchange rates, PPP does not hold for agricultural commodities.Key words : Purchasing Power Parity, Agricultural Commodities, Monte Carlo, Unit Root tests, Panel unit root tests.
Fundumental One-Dimensional Analysis of Photo-Diodes
No full textTitle: Fundumental One-Dimensional Analysis of Photo-Diodes, Author: T.B. Remple, Location: Thodethe program developed by A.M. Start, in his paper, Fundamental One-Dimentional Analysis of Transistors, Philips Research Report Supplements, #4, 1976, has been modified to handle high voltage, reversed biased p-i-n photo-diodes. The physical involved in the development of stark;s model is summarized and three different p-i-n diodes are analyzed. A Schottky barrier is also analyzed by assuming the metal contact is a very highly doped semiconductor material. A listing of the program is given in the appendices, as well as a description of the program and a user's guide. Te program is written in Fortran, was run on a CDC 6400 in double precision (giving 29 digits accuracy), requiring 45 k of memory and 300 to 1000 seconds run time.ThesisMaster of Engineering (ME
Variation in the root mass of ryegrass types and its ecological consequences.
No full textThe shoot:root ratio of Italian ryegrass and perennial ryegrass cv. in the vegetative phase was constant under constant conditions. With intermittent N supply, root mass and shoot:root ratio of ryegrass in monoculture varied widely. Both relatively and absolutely, root mass was larger than with constant N supply. Short periods of low N were sufficient for a marked increase in root growth. Under constant environmental conditions root mass was closely related to defoliation frequency. Considerable genetic variation in root mass existed between perennial ryegrass clones. Differences were largest under conditions of max. root growth. Root mass was positively related to competitive ability. (Abstract retrieved from CAB Abstracts by CABI’s permission
AN EMPIRICAL INVESTIGATION ON THE SUSTAINABILITY OF BALANCING ITEM OF BALANCE OF PAYMENT ACCOUNTS FOR OIC MEMBER COUNTRIES
No full textThis study aims to examine the sustainability of balancing item (???net errors and omissions') of balance of payment accounts for OIC (Organisation of the Islamic Conference) member countries. The series specific panel unit root test (SURADF unit root tests) suggest that 9 out of 23 sampled OIC member countries have their balancing item sustainable - Albania, Coted???Ivoire, Indonesia, Kuwait, Malaysia, Mozambique, Pakistan, Tunisia, and Uganda.Balancing Item (Net Errors and Omissions); Organisation of the Islamic Conference (OIC); Sustainability
Are Fruit and Vegetable Prices Non-linear Stationary? Evidence from Smooth Transition Autoregressive Models
No full textOver the last decade, there has been a growing interest in investigating agricultural commodity prices. We apply two more powerful smooth transition autoregressive models of the non-linear unit-root test - namely, the ESTAR model of Kapetanios et al. [Journal of Econometrics (2003)] and the LSTAR model of Leybourne, et a . [Journal of Time Series Analysis (1998)] - with a view to investigating non-linear stationarity for the retail prices of 8 major kinds of fruit and 18 major kinds of vegetable in Taiwan. The empirical evidence clearly finds that the Kapetanios et al. model provides solid, substantive evidence in favor of a non-linear mean-reverting adjustment for the individual price of 4 kinds of fruit and 5 kinds of vegetable. However, when we employ the Leybourne et al. model, we find that any such similar evidence of non-linear stationarity is considerably weaker. Finally, compared with the traditional linear unit root tests, it is important to note here that, all in all, the non-linear unit root tests do indeed provide much more evidence of the stationarity, albeit to varying degrees. This paper offers some policy implications.Smooth transition autoregressive model; Non-linear stationary; Fruit price; Vegetable price; Taiwan
CHAINels: Journal
No full textA group of three students worked a couple of months at CHAINels for their computer science bachelor project. In these months a recommendation algorithm was designed and implemented in CHAINels. The recommendation algorithm recommends posts to a company and those posts are shown in the Journal which was also made during this project. In this report, every step of the design and implementation of the Journal and recommendation algorithm is explained.Software TechnologyElectrical Engineering, Mathematics and Computer Scienc
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