The power problems of unit root test in time series with autoregressive errors

DeJong, David N.; Nankervis, John C.; Savin, N. E.; Whiteman, Charles H.

doi:10.1016/0304-4076(92)90090-e

Cited by 342 publications

(157 citation statements)

References 16 publications

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“…However, the method presented above has very low power if the alternative is an AR process with the roots close to the unit circle (Campbell and Perron, 1991;DeJong et al, 1992), but also if they are of a fractional form (Diebold and Rudebusch, 1991;Hassler and Wolters, 1994;Lee and Schmidt, 1996). 4 Hence, we also use as a measure of persistence the fractional differencing parameter d, as described in Section 2.…”

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confidence: 99%

New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data

García-del-Barrio¹,

Gil-Alana²

2009

Applied Economics

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This article aims to re-examine the persistence of unemployment in Spain. For this purpose, we use time-series and cross-section analysis. From a time-series viewpoint we disaggregate unemployment by regions, and use unit root tests, AR coefficients and fractional differencing parameters as indicators of persistence. For the cross-section approach, we first estimate mean regressions of regional unemployment rates. Then, using a panel of 114 periods and 50 provinces, we estimate pooled, fixed and random effects models. Finally, following some recent developments, we implement several panel data unit root tests. Previous studies had already shown the strong persistence of Spanish unemployment. Our disaggregated analysis extends the finding to reveal that the persistence is greater in the most industrialized regions. The results also suggest that a structural break took place in 1994, implying a decline in the unemployment persistence since then.

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confidence: 99%

New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data

García-del-Barrio¹,

Gil-Alana²

2009

Applied Economics

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“…In each of these models, the smallest value of the Akaike information criterion and the Schwarz criterion point to the optimal lag length. The Akaike information criterion and the Schwarz criterion are introduced to make the choice (DeJong et al, 1992, Grasa, 1989, Gujarati, 2003, Maddala and Kim, 1998. Using VAR estimates, the optimal lag length can be determined by comparing the Akaike information criterion (AIC) and the Schwarz criterion (SC) (Grasa, 1989).…”

Section: Selecting Optimal Lag Length Using Vector Autoregression Modelmentioning

confidence: 99%

Granger Causality Among House Price and Macroeconomic Variables in Victoria

Luo

Liu

Picken

2007

Pacific Rim Property Research Journal

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“…Moreover, the PP and ADF tests have low power when AR root is close to 1 (Cochrane 1991). Thus, the alternative hypothesis could not accept when the sample size is small (DeJong et al 1992). In addition, when trend adds to the regression in these unit root tests, the power of such tests reduces, therefore including only the constant in the regression has more power than a test that includes both an intercept and a trend.…”

Section: Methodsmentioning

confidence: 99%

Foreign Bank Penetration and the Domestic Banking System: Empirical Evidence from Turkey Based on the Var Approach

Kırıkkaleli¹

2016

Acta Oeconomica

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I seek to investigate the relationship, if exits, between foreign bank penetration (FBP) and the determinants of bank performance, namely domestic bank assets (DB), domestic credit (CREDIT), and banking profi tability (PRO) in Turkey using quarterly data from 1994Q1 to 2009Q4, while controlling for GDP and the event of the 2001 fi nancial crisis. Using the Granger causality, impulse response function and variance decomposition, the short run dynamics are examined. The outcome of the Granger causality test indicates that there is unilateral causality, which runs from domestic bank assets to FBP at the 10% level. Moreover, I also fi nd feedback causality between FBP and CREDIT at the 5% level. By employing impulse response functions, my fi ndings reveal that rising foreign bank assets in Turkey tend to increase domestic bank assets and credit availability in short run, and vice versa. Surprisingly, no signifi cant impact of FBP on profi tability in the banking sector is observed.

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The power problems of unit root test in time series with autoregressive errors

Cited by 342 publications

References 16 publications

New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data

New revelations about unemployment persistence in Spain: time-series and panel data approaches using regional data

Granger Causality Among House Price and Macroeconomic Variables in Victoria

Foreign Bank Penetration and the Domestic Banking System: Empirical Evidence from Turkey Based on the Var Approach

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