Rank test of unit‐root hypothesis with AR‐GARCH errors

Liao, Guili; Liu, Qimeng; Zhang, Rongmao; Zhang, Shifang

doi:10.1111/jtsa.12635

Cited by 4 publications

(2 citation statements)

References 42 publications

(59 reference statements)

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“…We checked the stationarity of the time series data by conducting unit root tests, utilizing the Augmented Dickey-Fuller, and Phillips-Perron tests, which are standard tools in time series analysis (Liao et al, 2021). The results, presented in Table 4 for the ADF test and PP test, consistently showed p-values below 0.05 (see Table 4).…”

Section: Analysis and Discussionmentioning

confidence: 99%

Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

Sahu

2024

TAJ

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Este estudio investiga los efectos del día de la semana en el mercado digital, con un enfoque en bitcoin y ethereum, abarcando desde el 1º de julio de 2020 hasta el 31 de diciembre de 2023, en el período posterior al COVID-19. Empleando pruebas paramétricas y no paramétricas junto con el modelo GARCH (1,1), se analizó la dinámica del mercado. Los hallazgos indican un efecto significativo del día de la semana en ethereum, caracterizado por notables variaciones de rendimiento entre diferentes días, mientras que itcoin no muestra anomalías de calendario discernibles, lo que sugiere una mayor eficiencia del mercado. La susceptibilidad de ethereum a estos efectos subraya las complejidades actuales del mercado. Las disparidades en las anomalías del calendario surgen de la evolución de la dinámica del mercado, las diferencias metodológicas y la naturaleza especulativa del comercio de criptomonedas. Además, el mercado descentralizado y global complica la identificación precisa de los efectos en todo el mercado. Este estudio proporciona evidencia empírica sobre los efectos del día de la semana en el mercado de criptomonedas, lo que facilita a los inversionistas refinar las estrategias comerciales y la gestión de riesgos. Se justifica realizar más investigaciones para explorar los mecanismos subyacentes y monitorear los desarrollos regulatorios y tecnológicos para obtener información de los inversionistas.

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Section: Analysis and Discussionmentioning

confidence: 99%

Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

Sahu

2024

TAJ

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“…If the time series data is non-stationary, the modelling could lead to spurious result and as such, testing for stationarity and co-integration analysis are very important (Li & Chau, 2016;Vijay, 2021). However, it is necessary to undertake unit root tests before the co-integration analysis (Arltová & Fedorová, 2016;Liao et al, 2022) and the formal method to test the stationarity of the series is the unit root test. To test the time series data using unit root, Augmented Dickey Fuller (ADF) test, Philips-Perron (PP) tests, etc can be applied though this current study adopted the ADF.…”

Section: 30 Econometric Methodsmentioning

confidence: 99%

Evaluating the Influence of Foreign Exchange Policy Regime on the Construction Sector in Nigeria

Saka

Moyanga

2023

INTREST

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In developing economies, foreign exchange policy regime (FEPR) play a critical role in the viability of all sectors of the economy. In Nigeria, the economy is dependent on foreign inputs from contracting services, technology, materials, expatriates, etc. Therefore, this study investigated the impact of FEPR on the performance of the construction sector in Nigeria. To achieve this goal, time series data was extracted from United Nations Statistics Division (UNSD) on the construction sector, gross domestic product (GDP) and FEPR for 50 years spanning from 1970 to 2019. The study uses econometric approach including tests of stationarity and co-integration as well as the generalized method of moment (GMM) to model the relationships between the variables. The study reveals that the 1986 FEPR reform had significant and negative effect on the construction sector output in Nigeria. This implies that the performance of the construction sector is affected by the state of the economy and government policy. This study proves that the foreign exchange policy regime does not significantly influence the construction industry during the period of review. It also ascertained that the development of the construction sector depends more on previous construction outputs and only altered due to oil export shock. Hence, this study recommends that sustainable construction development strategies should be implemented to eliminate construction sector challenges and reduce the effect of foreign exchange rate volatility on the construction sector. Finally, monetary and fiscal policies that can engender sustainable growth and development of the construction sector should be implemented.

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Does industry 4.0 and environmental quality asymmetrically affect South Africa’s manufacturing sector? A fresh insight from nonlinear autoregressive distributed lag (NARDL) model

Ngepah,

Saba,

Kajewole

2024

Discov Sustain

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Owing to recent developments and implications inspired by fourth industrial revolution (4IR) technologies in the global manufacturing sector through the Industry 4.0 (I4.0) concept, this study was conducted to discover the impacts of I4.0 and environmental quality on the South African manufacturing sector, considering governance quality. To the best of our knowledge, no study has analysed the long-run and short impacts of I4.0, environmental quality and governance quality on the South African manufacturing sector integrating the bound test cointegration, Fully-Modified Ordinary Least Squares (FMOLS) & Dynamic Ordinary Least Squares (DOLS) and nonlinear autoregressive distributed lag (NARDL) estimations techniques. Therefore, this study attempts to bridge this gap using different econometric approaches. The data used spans from 2000Q1 to 2020Q4. The principal component analysis was used to create Industry 4.0 (I4.0) and governance quality components. In this study, utilising the dynamic NARDL, it is seen that the LCO2, representing environmental quality, possesses positive and significant relationship with the LMVA, but when in interaction with the governance quality variables (GOV, INS, POL & ECO), there exists a positive and insignificant relationship with the LMVA showing there exists a dearth of green innovative technologies in the South Africa manufacturing sector respective of its significance. Utilising the FMOLS and DOLS, the GOV, INS, POL & ECO which represents governance quality, mostly possesses negative but significant relationships with the LMVA, even when in interaction with the I4.0 variable proving the I4.0 technologies have not yet started to be impactful to the South African manufacturing industry at large.

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Rank test of unit‐root hypothesis with AR‐GARCH errors

Cited by 4 publications

References 42 publications

Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

Eficiencia del mercado y anomalías de calendario pos-COVID: perspectivas de bitcoin y ethereum

Evaluating the Influence of Foreign Exchange Policy Regime on the Construction Sector in Nigeria

Does industry 4.0 and environmental quality asymmetrically affect South Africa’s manufacturing sector? A fresh insight from nonlinear autoregressive distributed lag (NARDL) model

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