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   Articles with "unit root" as a keyword



Forecast performance of noncausal autoregressions and the importance of unit root pretesting

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recommendations! Published in 2024 at "Journal of Forecasting"

DOI: 10.1002/for.3172

Abstract: Based on a large simulation study, this paper investigates which strategy to adopt in order to choose the most accurate forecasting model for mixed causal‐noncausal autoregressions (MAR) data generating processes: always differencing (D), never differencing… read more here.

Keywords: unit; noncausal autoregressions; forecast performance; unit root ... See more keywords

Evaluating the efficiency of nuclear energy policies: an empirical examination for 26 countries

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recommendations! Published in 2017 at "Environmental Science and Pollution Research"

DOI: 10.1007/s11356-017-9486-3

Abstract: The decarbonization of the global economy is an urgent concern. As a potential solution, it can be important to understand the efficiency of nuclear energy policies. For this purpose, the paper analyzes whether there is… read more here.

Keywords: efficiency nuclear; energy policies; energy; nuclear energy ... See more keywords
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On the asymptotic distribution of the quadratic GMM estimator of a dynamic panel data model under a unit root

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recommendations! Published in 2020 at "Economics Letters"

DOI: 10.1016/j.econlet.2020.109605

Abstract: Abstract This paper considers the GMM estimator, α ˆ , of the autoregressive parameter in linear dynamic panel data models with fixed effects when the data-generating process has a unit root. Previous literature has established… read more here.

Keywords: panel data; gmm estimator; dynamic panel; unit root ... See more keywords

Unit root quantile autoregression testing with smooth structural changes

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recommendations! Published in 2017 at "Finance Research Letters"

DOI: 10.1016/j.frl.2017.10.008

Abstract: Abstract By incorporating the flexible Fourier form into quantile autoregression model, this paper proposes three new unit root test statistics, which are robust to both non-Gaussian condition and structural changes. Since their limiting distributions are… read more here.

Keywords: structural changes; root quantile; unit root; quantile autoregression ... See more keywords
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Portmanteau-type tests for unit-root and cointegration

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recommendations! Published in 2018 at "Journal of Econometrics"

DOI: 10.1016/j.jeconom.2018.08.004

Abstract: This paper proposes a new portmanteau-type statistic by combining several lags of the sample autocorrelations to test for the presence of a unit-root of an autoregressive model. The proposed method is nonparametric in nature, which… read more here.

Keywords: type tests; tests unit; cointegration; unit root ... See more keywords
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Analysing the ecological footprint in EU-5 countries under a scenario of carbon neutrality: Evidence from newly developed sharp and smooth structural breaks in unit root testing.

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recommendations! Published in 2021 at "Journal of environmental management"

DOI: 10.1016/j.jenvman.2021.113155

Abstract: This paper examines the resistance to shocks (economic, political, outbreaks etc.) of the ecological footprint in EU-5 countries over the period 1961-2016. The aim of the study is to determine whether the ecological footprint tends… read more here.

Keywords: carbon neutrality; ecological footprint; unit root; footprint ... See more keywords

Re-testing Prebisch–Singer hypothesis: new evidence using Fourier quantile unit root test

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recommendations! Published in 2018 at "Applied Economics"

DOI: 10.1080/00036846.2017.1332751

Abstract: ABSTRACT The Prebisch–Singer hypothesis in economics asserts that over time the relative price of primary goods relative to manufactured goods should experience a downward trend. To test the hypothesis, we must first establish the unit… read more here.

Keywords: test; unit root; prebisch singer; hypothesis ... See more keywords

Stochastic convergence behaviour in carbon dioxide emissions: Fourier panel unit root approach

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recommendations! Published in 2025 at "Applied Economics"

DOI: 10.1080/00036846.2025.2450385

Abstract: ABSTRACT This study examines the convergence of per capita carbon dioxide emissions using two Fourier-based panel unit root tests allowing for smooth transitions. Additional panel unit root tests without structural breaks and with sharp shifts… read more here.

Keywords: carbon dioxide; panel unit; convergence; unit root ... See more keywords

Testing for a unit root with nonstationary nonlinear heteroskedasticity

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recommendations! Published in 2020 at "Econometric Reviews"

DOI: 10.1080/07474938.2020.1721833

Abstract: Abstract We provide a large sample theory for the Dickey-Fuller unit root test when the volatility process is driven by a nonlinear transformation of nonstationary time series. Our theory allows the dynamics of future volatilities… read more here.

Keywords: testing unit; unit; heteroskedasticity; unit root ... See more keywords
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Testing the long-run PPP for Turkey: new evidence from the Fourier quantile unit root test

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recommendations! Published in 2019 at "Applied Economics Letters"

DOI: 10.1080/13504851.2019.1644435

Abstract: ABSTRACT This study analyses the long-run validity of the purchasing power parity (PPP) between Turkey and its major trading partners (China, Euro Area, Russia, United Kingdom, and United States) by using the Fourier quantile unit… read more here.

Keywords: unit; quantile unit; root test; fourier quantile ... See more keywords

Are real interest rates stationary? New evidence from the multivariate ARDL unit root test

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recommendations! Published in 2024 at "Applied Economics Letters"

DOI: 10.1080/13504851.2024.2332520

Abstract: ABSTRACT The stationarity of real interest rates of 29 open Asian economies is investigated using a recently developed multivariate ARDL unit root test with better size properties and higher power than conventional univariate unit root… read more here.

Keywords: real interest; test; interest rates; unit root ... See more keywords