Testing for unit roots with breaks: evidence on the great crash and the unit root hypothesis reconsidered
Article Abstract:
C.R. Nelson and C.I. Plosser applied the null hypothesis of a generating process with a unit autoregressive root to annual data on 14 macroeconomic time series and found that it was not rejected in 13 of the cases. Another approach was applied to the Nelson-Plosser series, in which a break under the null hypothesis is permitted while factoring in the sequential quality of the test procedure, and empirical evidence collected. Results indicate that there is no strong evidence to bely the unit root theory regarding any of the 13 Nelson-Plosser series.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1997
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Frequency domain tests for residual serial correlation in cointegration regressions
Article Abstract:
Tests that can evaluate the null of no serial correlation in cointegrating regression residuals are introduced and evaluated. Estimates of spectral measures are used to formulate these tests in the frequency domain. The tests are designed mainly to compare two different estimates for the spectral measure. They are shown to have stable size at sample sizes of up to 50 or 100 and are applied empirically in the foreign exchange market.
Publication Name: Oxford Bulletin of Economics & Statistics
Subject: Economics
ISSN: 0305-9049
Year: 1997
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