Augmented Dickey Fuller Test

Mushtaq, Rizwan

doi:10.2139/ssrn.1911068

Cited by 159 publications

(70 citation statements)

References 6 publications

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“…Prior to conducting the analysis, the Augmented Dickey-Fuller (ADF) test was used to test the variables for stationarity or unit root. The use of non-stationary data may result in "spurious" results implying that results may be misleading (Mushtaq, 2011). If the observed variables are found to be stationary, then the VAR model in Equations 2 to 4 is estimated.…”

Section: Model Specificationmentioning

confidence: 99%

The Effect of Exchange Rate Movements and Economic Growth on Job Creation

Chipeta

Meyer

Muzindutsi

2017

Studia Universitatis Babes-Bolyai Oeconomica

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Abstract:Job creation is at the centre of economic development and remains a source of sustenance for social and human relations. The creation of a job-enabling economic environment is imperative in promoting social and economic cohesiveness in the macro and microeconomic environment. Any shocks to the economy, particularly those of exchange rate shocks and changes in economic growth, may negatively affect the labour market and job creation. This study made use of quarterly observations, from the first quarter of 1995 to the fourth quarter of 2015, to investigate the effect of the real exchange rate and economic growth on South Africa's employment status. South Africa, a developing country, was selected as a case study due to its high unemployment rate that is still increasing. The Vector Autoregressive (VAR) model and multivariate co-integration techniques were used in assessing the impact and responsiveness of employment to the real exchange rate and real economic growth in South Africa. Findings of this study revealed that employment responds positively to economic growth and negatively to the real exchange rate in the long-run. The short-run displays a positive relationship between real economic growth and employment, while the relationship between employment and the real exchange rate is also negative. However, the effect of economic growth in creating jobs is not significant enough in stimulating job creation in South Africa, as indicated by results in variance decomposition. Movements in the exchange rate exerted a significant short and long-run negative effect on employment dynamics; implying that a depreciation of the rand against the U.S. dollar is associated with decrease in overall employment. Exchange rate stability is thus important for economic growth and job creation in South Africa. The study provided further recommendations on promoting job creation in South Africa and other developing countries.JEL classification: E65, O11, O55

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Section: Model Specificationmentioning

confidence: 99%

The Effect of Exchange Rate Movements and Economic Growth on Job Creation

Chipeta

Meyer

Muzindutsi

2017

Studia Universitatis Babes-Bolyai Oeconomica

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“…It is crucial to determine future movement in price of palm oil as it is a basis for Jatropha curcas oil price. For price prediction, ARIMA (AutoRegressive Integrated Moving Average) and Augmented Dickey Fuller test (ADF) were used [66,67]. ARIMA models are used for time-series forecasting.…”

Section: Methodsmentioning

confidence: 99%

Using Biofuels for Highly Renewable Electricity Systems: A Case Study of the Jatropha curcas

2019

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Recent movements for the decarbonization of the electricity sector have become a priority for many countries around the world and will inevitably lead to the sharp decline of fossil-fuel-based energy. Energy from fossil fuels is to be replaced by renewable energy sources (RES), although the transition will neither be cheap nor smooth. One sustainable and environmentally friendly alternative to fossil fuels and which will take a considerable share in the increasing supply of renewable energy resources is biofuels. There are various types of biofuels used in practice; however, biodiesels represent one of the most popular and widespread ones. This paper focuses as a case study on the byproducts of Jatropha curcas, a crop and a plant that is already used for biofuel production and which is subsequently employed in electricity generation in Jatropha curcas producing regions. This paper identifies the limitations and prospects of Jatropha curcas utilization. Also, Jatropha curcas is compared to other materials suitable for biomass generation. An economic analysis for a 2 MW biofuel powerplant was conducted incorporating various market-related risks. The study shows that at current prices, net profitability can be achieved using Jatropha curcas byproducts for producing electricity.

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“…Usually, Augmented Dickey-Fuller (ADF) is applied for the unit root test. The hypothesis tested is: H 0 : ρ = 0 H 1 : ρ < 0 also see Mushtaq (2011) and Moroke (2014) respectively. Makatjane and Moroke (2016) have accentuated that the ADF test which was derived by Dickey and Fuller (1979) is used for linear time series models and the test follows some sort of linear regression as: ADF equation with no intercept and no trend:…”

Section: Development Of the Modelmentioning

confidence: 99%

The Analysis of the 2008 US Financial Crisis: An Intervention Approach

Makatjane¹,

Molefe

Wyk

2018

JEBS

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The current study investigates the impact of the 2008 US financial crises on the real exchange rate in South Africa. The data used in this empirical analysis is for the period from January 2000 to June 2017. The Seasonal autoregressive integrated moving average (SARIMA) intervention charter was used to carry out the analysis. Results revealed that the financial crises period in South Africa occurred in March 2008 and significantly affected the exchange rate. Hence, the impact pattern was abrupt. Using the SARIMA model as a benchmark, four error metrics; to be precise mean absolute error (MAE), mean absolute percentage error (MAPE), mean error (ME) and Mean percentage error (MPE) was used to assess the performance of the intervention model and SARIMA model. The results of the SARIMA intervention model produced better forecasts as compared to that one of SARIMA model.

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Augmented Dickey Fuller Test

Cited by 159 publications

References 6 publications

The Effect of Exchange Rate Movements and Economic Growth on Job Creation

The Effect of Exchange Rate Movements and Economic Growth on Job Creation

Using Biofuels for Highly Renewable Electricity Systems: A Case Study of the Jatropha curcas

The Analysis of the 2008 US Financial Crisis: An Intervention Approach

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