Robust and Powerful Tests for Nonlinear Deterministic Components

Astill, Sam; Harvey, David I.; Leybourne, Stephen J.; Taylor, Robert

doi:10.1111/obes.12079

Cited by 6 publications

(9 citation statements)

References 13 publications

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“…This formulation is particularly useful as a small number of low-frequency components from a Fourier approximation can capture the essential characteristics of a series containing structural breaks. This has been demonstrated in the recent studies put forward by Astill et al (2015) and Rodrigues and Taylor (2012), among others. The key issue here is that the Flexible Fourier can mimic the nature of the breaks by being completely agnostic of the size, location, and number of the break dates.…”

Section: Econometric Modelsupporting

confidence: 55%

The Impact of a People's Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks

Ghoshray

Pundit

2016

SSRN Journal

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Cataloging-In-Publication Data Asian Development Bank. The Impact of a People's Republic of China slowdown on commodity prices and detecting the asymmetric responses of economic activity in Asian countries to commodity price shocks. Mandaluyong City, Philippines: Asian Development Bank, 2016. 1. Commodity prices. 2. Economic growth. 3. Flexible fourier form. 4. Impulse response analysis. 5. PRC slowdown. I. Asian Development Bank. The views expressed in this publication are those of the authors and do not necessarily reflect the views and policies of the Asian Development Bank (ADB) or its Board of Governors or the governments they represent. ADB does not guarantee the accuracy of the data included in this publication and accepts no responsibility for any consequence of their use. The mention of specific companies or products of manufacturers does not imply that they are endorsed or recommended by ADB in preference to others of a similar nature that are not mentioned. By making any designation of or reference to a particular territory or geographic area, or by using the term "country" in this document, ADB does not intend to make any judgments as to the legal or other status of any territory or area.

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Section: Econometric Modelsupporting

confidence: 55%

The Impact of a People's Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks

Ghoshray

Pundit

2016

SSRN Journal

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“… ASW denotes the test of Astill et al . (); FGLS (median unbiased) is the

W_{\overset{false^}{italicγ}}

test with τ 0.5 ; FGLS (upper biased) is the

W_{\overset{false^}{italicγ}}

test with τ 0.85 . The data are generated by: y t = u t = ϕu t −1 + e t + θe t −1 . …”

Section: Monte Carlo Experimentsmentioning

confidence: 99%

“… ASW denotes the test of Astill et al . (); FGLS (UB) (sig5), resp. FGLS (UB) (sig1), are the

W_{\overset{false^}{italicγ}}

test with τ 0.85 and a 5%, resp.…”

Section: Monte Carlo Experimentsmentioning

confidence: 99%

“… ASW denotes the test of Astill et al . (); FGLS(UB, sig5) is the W γ test with τ 0.85 and a 5% test for the sequential procedure to select the number of frequencies. The models are described in the section ‘Robustness of Fourier tests against various trend functions’. …”

Section: Monte Carlo Experimentsmentioning

confidence: 99%

“…Astill et al . (, hereafter AHLT) suggest instead an adjustment to the critical values using a similar auxiliary statistic. AHLT show that their procedure is also robust to I (0) and I (1) errors, yet dominates the HLX method in terms of local asymptotic and finite sample power.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component

2017

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This paper proposes a new test for the presence of a nonlinear deterministic trend approximated by a Fourier expansion in a univariate time series for which there is no prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. Our approach builds on the work of Perron and Yabu () and is based on a Feasible Generalized Least Squares procedure that uses a super‐efficient estimator of the sum of the autoregressive coefficients α when α = 1. The resulting Wald test statistic asymptotically follows a chi‐square distribution in both the I(0) and I(1) cases. To improve the finite sample properties of the test, we use a bias‐corrected version of the OLS estimator of α proposed by Roy and Fuller (). We show that our procedure is substantially more powerful than currently available alternatives. We illustrate the usefulness of our method via an application to modelling the trend of global and hemispheric temperatures.

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Economic growth in China and its impact on international commodity prices

Ghoshray

Pundit²

2020

Int. J Fin Econ

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Since the turn of the century, China has experienced economic growth that has called for rapid industrialisation, infrastructure growth and urbanisation, making China highly dependent on primary commodities. The resource intensive growth path followed by a slowdown in recent years has raised the question to what extent her demand for commodities can affect international commodity prices. To this end, recent studies have analysed the link between economic growth or slowdown on commodity prices using linear multivariate models. However, a problem is that commodity prices are known to be highly variable and characterised by multiple structural changes. With such characteristics of the data, it is likely to be the case one may obtain mis‐specified inferences from a linear multivariate framework. Accordingly, we make use of novel Flexible Fourier Form (FFF) econometric procedures to account for multiple breaks in the economic variables, which have better power and size properties over the standard linear models. We find that the persistence of economic variables employed in this study and their causal link are better approximated by such nonlinear FFF procedures. Our results show that there is evidence of short run predictability between selected commodity prices and economic growth in China. Further, the responses of different commodity prices to shocks in economic growth are quite profound especially for those cases where we find causal links with economic growth in China. While we find a significant impact of economic growth of China on commodity prices, the response varies for different commodities.

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Robust and Powerful Tests for Nonlinear Deterministic Components

Cited by 6 publications

References 13 publications

The Impact of a People's Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks

The Impact of a People's Republic of China Slowdown on Commodity Prices and Detecting the Asymmetric Responses of Economic Activity in Asian Countries to Commodity Price Shocks

Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component

Economic growth in China and its impact on international commodity prices

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