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Search Results: 1 - 10 of 7283 matches for " near unit root "
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Choques transitórios em variáveis econ?micas
Figueirêdo, Erik Alencar de;Leite Filho, Paulo Amilton Maia;
Economia Aplicada , 2005, DOI: 10.1590/S1413-80502005000400006
Abstract: this study aims to test the existence of near unit roots and local persistence in several important variables of economic models (product market, ccapm and black-scholes' formula). it is argued that the rejection of the unit root hypothesis will not necessarily imply in accepting a stationary and ergodic behavior for the time series. in order to do that, the near unit root model developed by phillips, moon and xiao (2001) was selected and an estimation strategy was used. such strategy is described as follows: a) the df-gls test, suggested by elliott, rothenberg and stock (1996); b) optimal selection of lags used by ng and perron (2001); c) the non parametric correction for terms of perturbation non i.i.d., from the kernel smoothing. the empirical results show, for some series, a characterization of the dgp from the local persistence.
Unbalanced Regressions and Spurious Inference  [PDF]
Daniel Ventosa-Santaularia
Open Journal of Statistics (OJS) , 2012, DOI: 10.4236/ojs.2012.23035
Abstract: Spurious regression has been extensively studied in time series econometrics since Granger and Newbold’s seminal paper. Recently, it has been advanced that this phenomenon is due to a mistreatment of short-range autocorrelation in the residuals of the regression when at least one of the variables in a bivariate regression is stationary. HAC errors, feasible GLS and Cochrane-Orcutt-type procedures are then proposed to draw correct inference. Such a proposal should be cautiously considered, since nonsense inference might also be due to deterministic trend mechanisms, structural breaks, and long range dependence. In these cases, standard autocorrelation correction procedures would not solve the problem of spurious regression. We aim to make the later argument clear.
Convergence of Energy Intensity in OECD Countries  [PDF]
Cem Canel, Selahattin Guris, Burak Guris, Begüm ?ktem, Recep Oktem
Modern Economy (ME) , 2017, DOI: 10.4236/me.2017.87066
Abstract: This paper investigates whether there is energy intensity convergence in the Organization for Economic Cooperation and Development (OECD) countries or not by using annual data from the 1980-2011 period. OECD countries are Australia, Austria, Belgium, Canada, Chile, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, North Korea, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, Turkey, UK, and USA. Energy intensity is measured by the ratio of total energy consumption to total output. Energy intensity measures the energy consumption of an economy and its overall energy efficiency. We used linear and nonlinear unit root tests from the recent literature to accomplish this goal. An analysis of the test results shows that there is no convergence in Chile, Finland, Greece, Ireland, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Portugal, Spain, Sweden, Switzerland, and the UK. These countries should start implementing changes to their energy policies to achieve effective energy use.
Detection of Photoacoustic Signals from Blood in Dental Pulp  [PDF]
Azusa Yamada, Satoko Kakino, Yuji Matsuura
Optics and Photonics Journal (OPJ) , 2016, DOI: 10.4236/opj.2016.69024
Abstract: Photoacoustic waves from hemoglobin solutions in dental roots are detected by using a 1064-nm laser and an ultrasonic soft probe based on a composite transducer on the tooth surface. The high-frequency ultrasonic waves are detected from a tooth with a hemoglobin solution in the pulp cavity due to the large heat transfer coefficient and absorption coefficient of hemoglobin. The spectral intensities of frequency components higher than 1 MHz show good correlation with the hemoglobin solution concentrations, and maps of frequency spectra calculated by taking short-time Fourier transforms clearly exhibit the effect of absorbance in dental pulp.
Sobre la existencia de una raíz unitaria en la serie de tiempo mensual del precio de la electricidad en Colombia
Casta?o,Elkin; Sierra,Jorge;
Lecturas de Economía , 2012,
Abstract: usually, the time series of electricity prices in different markets show structural changes due to economic conditions related to supply, demand or specific market rules. while some of the proposals for modeling these series are based on mean reversion models inspired by the financial literature (philipovic, 1998), its jumps and structural changes have evidenced the existence of regimes with different means and variances (huisman, 2003). in colombia, these series seem to show an overall growing pattern. this article seeks to find evidence of whether this growing pattern is due to the presence of a purely deterministic trend; or if there is a unit root, implying the existence of a stochastic trend; or if the series is generated by a stationary process around various changes of level, which could have been caused by various exogenous events such as the weather phenomena of el ni?o and la ni?a and the resolutions of the comisión de regulación de energía y gas in the country. the results are in favor of a stationary process around multiple level changes, and highlight the importance of having information about the events that occurred in the evolution of the process.
Testing the Long Run Neutrality of Money in Developing Economies: Evidence from EMCCA  [PDF]
Jean-Jacques Tony Ekomie
Modern Economy (ME) , 2013, DOI: 10.4236/me.2013.41006

We examine the long run neutrality of money, (LMN, hereafter), in the Economic and Monetary Community of Central Africa (EMCCA) countries, applying Fisher and Seater (1993) Autoregressive Integrated Moving Average (ARIMA) methodology, using different monetary aggregates, money supply in the strict sense (M1), money supply in the large sense (M2) and domestic credit (credit to private sector) during the period 1978-2008. Tests consistently reject the LMN hypothesis. It is found that monetary aggregates have significant and positive impacts on real Gross Domestic Product (GDP) for all EMCCA countries. The results are robust under various sub-periods and the estimated coefficients are stable under two breakpoints corresponding to the dates of central bank reforms and devaluation of the local currency.

Stability Analysis of Multi-Dimensional Linear Discrete System and Root Distribution Using Sign Criterion with Real Coefficients  [PDF]
Periyasamy Ramesh
Circuits and Systems (CS) , 2016, DOI: 10.4236/cs.2016.73010
Abstract: A new idea was proposed to find out the stability and root location of multi-dimensional linear time invariant discrete system (LTIDS) for real coefficient polynomials. For determining stability the sign criterion is synthesized from the Jury’s method for stability which is derived from the characteristic polynomial coefficients of the discrete system. The number of roots lying inside or outside the unit circle and hence on the unit circle is directly determined from the proposed single modified Jury tabulation and the sign criterion. The proposed scheme is simple and the examples are given to bring out the merits of the proposed scheme which is also applicable for the singular and non-singular cases.
Nikolaos Dritsakis
Tourismos : an International Multidisciplinary Journal of Tourism , 2008,
Abstract: This paper examines the role and factors of seasonality in tourist revenues in the case of Greece. The empirical analysis of the current research is conducted using quarterly data for the period 1960:I– 2005:IV. Osborn et. al. (1998), Miron (1994) and Hylleberg et al. (1990) tests for seasonal unit roots are used to examine deterministic and stochastic seasonality in the various series. The results revealed that tourist revenues in Greece are to some extent seasonal, which implies that most involving parties should extend tourist period aiming at developing tourism of all seasons. Finally, recommendations are provided to deal with the “problem” of seasonality.
The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and Cointegration Analysis  [PDF]
Michael E. Mazur, Miguel D. Ramirez
Modern Economy (ME) , 2013, DOI: 10.4236/me.2013.49066

In an age of globalized finance, Forex market efficiency is particularly relevant as agents engage in arbitrage opportunities across international markets. This study tests the forward exchange rate unbiasedness hypothesis using more powerful tests such as the Zivot-Andrews single-break unit root and the KPSS stationarity (no unit root) tests to confirm that the USD/EUR spot and three-month forward rates are I(1) in nature. The study successfully employs the Engle-Granger cointegration analysis which identifies a stable long-run relationship between the spot and forward rates and generates an ECM model that is used to forecast the in-sample (historical) data. The study’s findings refute past conclusions that fail to identify the data’s I(1) nature and suggest that market efficiency is present in the long run but not necessarily in the short run.

Profit persistence in Brazil: a panel data study
Resende, Marcelo;
Estudos Econ?micos (S?o Paulo) , 2006, DOI: 10.1590/S0101-41612006000100005
Abstract: the paper investigates the persistence of profits for industrial firms in brazil during the periods 1986-98 and 1994-1/1999-3. a simple theoretical framework justifies an autoregressive formulation for excess profits. a strong form of persistence can then be related to the presence of a unit root. recently developed panel data unit tests enable the consideration of short time periods. the results thus obtained for two different measures of excess profitability mostly favour the presence of a unit root. therefore, despite an apparently more competitive environment in the brazilian economy one can still observe extremely persistent profits.
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