Joint application of the Dickey-Fuller and KPSS tests

Charemza, Wojciech; Syczewska, Ewa Marta

doi:10.1016/s0165-1765(98)00149-9

Cited by 37 publications

(25 citation statements)

References 4 publications

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“…Table 5 shows the results of testing of the ÿrst-step unit root hypothesis jointly by the augmented DF max (Leybourne, 1995) and the KPSS (Kwiatkowski et al, 1992) tests. Since these tests have been applied jointly, the critical values used here are these of Charemza and Syczewska (1998) which are appropriate for such joint testing. The second and ÿfth columns indicate whether the statistic is signiÿcant ('0' means no signiÿcance; '+', '++' and '+++' denote respectively that is belongs to appropriate 90%, 95% and 99% critical regions).…”

Section: Empirical Evidencementioning

confidence: 99%

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

Charemza

Lifshits

Makarova

2005

Journal of Economic Dynamics and Control

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This paper introduces a t-ratio type test for detecting bilinearity in a stochastic unit root process. It appears that such a process is a realistic approximation for many economic and ÿnancial time series. It is shown that, under the null of no bilinearity, the test statistics are asymptotically normally distributed. Proofs of these asymptotic normality results require the Gihman and Skorohod theory for multivariate di usion processes. Finite sample results describe speed of convergence, power of the tests and possible distortions to unit root testing which might appear due to the presence of bilinearity. It is concluded that the two-step testing procedure suggested here (the ÿrst step for the linear unit root and the second step for its bilinearity) is consistent in the sense that the size of the step one test is not a ected by the possible detection of bilinearity at step two. The empirical part of the paper describes testing unit root bilinearity for 65 GARCH-adjusted stock market indices from mature and emerging markets. It is shown that for at least 70% of these markets, the hypothesis of no unit root bilinearity has to be rejected. ? 2004 Elsevier B.V. All rights reserved. JEL classiÿcation: C12; C22; G15

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Section: Empirical Evidencementioning

confidence: 99%

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

Charemza

Lifshits

Makarova

2005

Journal of Economic Dynamics and Control

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“…Para la prueba KPSS H 0 k indica que la estacionaliedad es verdadera y en H 1 K la existencia de raíz unitaria es falsa. Los valores críticos de la prueba Dickey-Fuller y KPSS a 5% de significancia para Z D > (-5.74 , 0) y Z K < (0 , 0.66) (Charemza y Syczewska, 1998:20 (Maddala y Kim, 1998;Charemza y Syczewska, 1998). De manera adicional, se estimó la prueba conjunta de Dickey-Fuller y KPSS para hacer más preciso nuestro análisis (Charemza y Syczewska, 1998).…”

Section: Vol 36 Núm 141 Abril-junio / 2005unclassified

“…Los valores críticos de la prueba Dickey-Fuller y KPSS a 5% de significancia para Z D > (-5.74 , 0) y Z K < (0 , 0.66) (Charemza y Syczewska, 1998:20 (Maddala y Kim, 1998;Charemza y Syczewska, 1998). De manera adicional, se estimó la prueba conjunta de Dickey-Fuller y KPSS para hacer más preciso nuestro análisis (Charemza y Syczewska, 1998). Los resultados de las pruebas ADF, PP y la conjunta ADF-KPSS muestran que el producto tiene un orden de integración I(1), mientras la KPSS señala que es estacionaria, con excepción del caso en el cual se incluye una tendencia determinística.…”

Section: Vol 36 Núm 141 Abril-junio / 2005unclassified

Relación entre el crecimiento económico y las economías externas de aglomeración en México

Semerena¹,

Olmos²

2009

RPD

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Se intenta explicar un comportamiento nacional de rendimientos crecientes en la escala productiva. El objetivo del trabajo consiste en estudiar y medir el impacto de la urbanización en el crecimiento económico de país. Se usaron, como principales líneas teóricas, las aportaciones del crecimiento endógeno, al cual, además de los principales factores de producción, capital y trabajo, se añade el elemento de externalidad. La principal aportación científica del texto se localiza en los estudios de economías de aglomeración, que explican la naturaleza y medición de las externalidades por medio de diferentes técnicas econométricas. Los datos usados en series de tiempo, para el caso de México, proporcionan una opción metodológica para realizar análisis de externalidades de forma agregada que no se habían llevado a cabo en las comunidades económicas nacional e internacional.

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“…Two agreement outcomes 4 This kind of joint inference is valid only when the two tests engaged are independent. Otherwise, inference needs to be made based on critical values from joint confirmation hypothesis as shown in Charemza and Syczewska (1998). Throughout the paper, however, inference is drawn from respective marginal critical values of two tests instead of joint confirmation hypothesis, not merely because it is technically challenging to form joint confirmation hypothesis for every possible combination of two panel tests but because the two approaches may produce little difference in inference.…”

Section: Confirmatory Analysismentioning

confidence: 99%

Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff

Choi

2004

Journal of International Money and Finance

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Joint application of the Dickey-Fuller and KPSS tests

Cited by 37 publications

References 4 publications

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

Relación entre el crecimiento económico y las economías externas de aglomeración en México

Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff

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