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44 results for “Unit root”
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Research ArticleOpen accessPhrase in the titleRevisiting the Unit Root Hypothesis and Structural Break: Asia and Emerging Economies Foreign Exchange MarketsChristopher Gan, Sirimon Treepongkaruna, Hue Hwa Au YongThis study examines the stationary of ten Asian and for emerging Foreign Exchange (FX) rates during the 1990s. The paper employs the Augmented Dickey-Fuller (ADF) unit root test to the following FX rates: Hong Kong Dollar (HKD) Japanese Yen (JPY), South Korean won (KRW) new Taiwan dollar (TWN), Chinese Renminbl (CHR), Indonesia Rupiah (IDR), Malaysian Ringgit (MYR), Singapore Dollar (SGD), … …American Journal of Applied Sciences, Vol. 1, Issue 1 · 31 Mar 2004 · 6,952 accessesView PDFCite
Research ArticleOpen accessPhrase in the titleLAG SELECTION OF THE AUGMENTED KAPETANIOS-SHIN-SNELL NONLINEAR UNIT ROOT TESTJen-Je Su, Adrian Wai-Kong Cheung, Eduardo RocaWe provide simulation evidence that shed light on several size and power issues in relation to lag selection of the augmented (nonlinear) KSS test. Two lag selection approaches are considered-the Modified AIC (MAIC) approach and a sequential General to Specific (GS) testing approach Either one of these approaches can be used to select the optimal lag based on either the … …Journal of Mathematics and Statistics, Vol. 9, Issue 2 · 4 May 2013 · 7,872 accessesView PDFCite
Case ReportOpen accessIn the keywordsEvaluation of Seasonal Autoregressive Integrated Moving Average Models for River Flow ForecastingKassahun Birhanu Tadesse, Megersa Olumana Dinka, Tena Alamirew, Semu Ayalew MogesReservoir operation policies cannot be functional in instant decision making without forecasting the future reservoir inflows. For forecasting inflows into reservoirs with only hydrological data is available like Koga irrigation dam, multivariate forecasting models cannot be used to generate accurate river flow information. As a result, an evaluation of univariate Seasonal Autoregressive Integrated Moving Average (SARIMA) models was done for … …American Journal of Environmental Sciences, Vol. 13, Issue 5 · 28 Sep 2017 · 7,885 accessesView PDFCite
Research ArticleOpen accessIn the keywordsCredit Market Development and Economic Growth an Empirical Analysis for United KingdomAthanasios Vazakidis, Antonios AdamopoulosProblem statement: This study investigated the causal relationship between credit market development and economic growth for UK for the period 1975-2007 using a Vector Error Correction Model (VECM). Questions were raised whether economic growth spurs credit market development taking into account the negative effect of inflation rate on credit market development. This study aimed to investigate the short-run and the … …American Journal of Economics and Business Administration, Vol. 3, Issue 3 · 29 Nov 2011 · 7,238 accessesView PDFCite
Research ArticleOpen accessIn the keywordsCredit Market Development and Economic Growth an Empirical Analysis for GreeceAthanasios Vazakidis, Antonios AdamopoulosProblem statement: This study investigated the relationship between credit market development and economic growth for Greece for the period 1979-2007 using a Vector Error Correction Model (VECM). Questions were raised whether economic growth spurs credit market development taking into account the negative effect of inflation rate on credit market development. This study aimed to investigate the short-run and the long-run … …American Journal of Applied Sciences, Vol. 8, Issue 6 · 13 Jun 2011 · 6,881 accessesView PDFCite
Research ArticleOpen accessIn the keywordsA Causal Relationship between Financial Market Development and Economic GrowthAthanasios Vazakidis, Antonios AdamopoulosProblem statement: This study investigated the causal relationship between financial market development and economic growth for United Kingdom for the period 1965-2007 using a Vector Error Correction Model (VECM). Questions were raised whether financial market development causes economic growth or reversely taking into account the negative effect of interest rate. The objective of this study was to examine the causal … …American Journal of Applied Sciences, Vol. 7, Issue 4 · 30 Apr 2010 · 7,678 accessesView PDFCite
Research ArticleOpen accessIn the keywordsThe Relationship between Credit Market Development and Economic GrowthAntonios AdamopoulosProblem statement: This study investigated the relationship between credit market development and economic growth for Spain for the period 1976-2007 using a Vector Error Correction Model (VECM). Questions were raised whether economic growth spurs credit market development taking into account the negative effect of inflation rate and investments on credit market development. This study aimed to investigate the short-run and … …American Journal of Applied Sciences, Vol. 7, Issue 4 · 30 Apr 2010 · 7,697 accessesView PDFCite
Research ArticleOpen accessIn the keywordsA Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural BreakChin Wen CheongWe investigated the weak-form market efficiency of nine daily sectoral indices of Malaysian stock market between 1996 and 2006. The structural break unit root tests evidenced most of the price indices characterized by mean-reverting process that violated the random walk process. These empirical results were in sharp contrast with the traditional unit-root test which ignored the economic crisis and currency … …American Journal of Applied Sciences, Vol. 5, Issue 10 · 31 Oct 2008 · 7,286 accessesView PDFCite
Research ArticleOpen accessIn the keywordsTrade-GDP Nexus in Iran: An Application of the Autoregressive Distributed Lag (ARDL) ModelMosayeb Pahlavani, Ed Wilson, Andrew C. WorthingtonThis study employed annual time series data (1960-2003) and unit root tests with multiple breaks to determine the most likely times of structural breaks in major factors impacting on the trade-GDP nexus in Iran We found, inter alia, that the endogenously determined structural breaks coincided with important events in the Iranian economy, including the 1979 Islamic revolution and the outbreak … …American Journal of Applied Sciences, Vol. 2, Issue 7 · 31 Jul 2005 · 8,516 accessesView PDFCite
Research ArticleOpen accessIn the keywordsThe Finite-Sample Bias of the Autoregressive Parameter Under Rank-based EstimationSteven CookMonte Carlo simulation is employed to examine the finite-sample properties of the estimated autoregressive parameter associated with the Dickey-Fuller and rank-based Dickey-Fuller unit root tests. While the downward bias associated with estimator under the Dickey-Fuller test has long been noted in the literature, the corresponding properties for the rank-based test have not been considered previously. The results presented show that … …Journal of Mathematics and Statistics, Vol. 1, Issue 1 · 31 Mar 2005 · 6,239 accessesView PDFCite