Log in

Relevant bibliographies by topics / Augmented Dickey Fuller test / Journal articles

To see the other types of publications on this topic, follow the link: Augmented Dickey Fuller test.

Journal articles on the topic 'Augmented Dickey Fuller test'

Author: Grafiati

Published: 2 June 2025

Last updated: 31 July 2025

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the top 50 journal articles for your research on the topic 'Augmented Dickey Fuller test.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Browse journal articles on a wide variety of disciplines and organise your bibliography correctly.

1

Guo, Zhichao. "Research on the Augmented Dickey-Fuller Test for Predicting Stock Prices and Returns." Advances in Economics, Management and Political Sciences 44, no. 1 (2023): 101–6. http://dx.doi.org/10.54254/2754-1169/44/20232198.

Full text

Abstract:

With the continuous accumulation of theoretical knowledge and progressive applied research, analyzing financial time series data gradually becomes everlasting research in modern days. The simpler Dickey-Fuller originally is a test commonly used in econo-metrics and finance to test the stationarity of financial time series data. Thereafter, simpler Dickey-Fuller is eventually extended to the augmented Dickey-Fuller test to examine the stationarity of financial time series data such as stock prices, returns, and so on. This paper mainly focuses on the utilization of the augment Dickey-Fuller tes

APA, Harvard, Vancouver, ISO, and other styles

2

Islam, Masudul, Afroza Akhtar, Sirajum Munira, Md Salauddin Khan, and Md Monzur Murshed. "Optimized Dickey-Fuller Test Refines Sign and Boundary Problems Compare to Traditional Dickey-Fuller Test." International Journal of Statistics and Probability 7, no. 5 (2018): 19. http://dx.doi.org/10.5539/ijsp.v7n5p19.

Full text

Abstract:

Impede nonstationarity is vigorous to study performance of time series data and removes long-term components to expose any regular short-term regularity. So, we find miscellaneous unit root tests for instance Dickey-Fuller test, Augmented Dickey-Fuller plus DF-GLS Tests and identify that almost all unit root tests with the estimated model suffer from sign and boundary problems of the parameters to smooth the progress of the non-stationarity problem. In this paper, we usage Dickey-Fuller test and impose some limits on the parameter. Our proposed optimized DF test based on error sum of square (E

APA, Harvard, Vancouver, ISO, and other styles

3

Krämer, Walter. "Fractional integration and the augmented Dickey–Fuller Test." Economics Letters 61, no. 3 (1998): 269–72. http://dx.doi.org/10.1016/s0165-1765(98)00194-3.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Acharya, Durga. "Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models." Journal of Risk and Financial Management 17, no. 2 (2024): 59. http://dx.doi.org/10.3390/jrfm17020059.

Full text

Abstract:

Stock bubbles are characterized by unpredictable price surges and subsequent declines, causing significant losses for investors. This study investigates the effectiveness of the Generalized Sup Augmented Dickey–Fuller (GSADF) test in identifying mild explosive patterns and speculative bubbles within individual S&P 500 stocks, as compared to the Sup Augmented Dickey–Fuller (SADF) test. Utilizing real-time monitoring data, this research examines unit roots, stationarity, and the ability to detect multiple structural breaks. The GSADF test consistently outperforms the SADF test in rejecting t

APA, Harvard, Vancouver, ISO, and other styles

5

Bodhgire, Nandkumar Baburao. "Augmented Dickey - Fuller Unit Root Test for Household Saving." Asian Journal of Research in Banking and Finance 5, no. 8 (2015): 64. http://dx.doi.org/10.5958/2249-7323.2015.00101.7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Sephton, Peter S. "Critical values of the augmented fractional Dickey–Fuller test." Empirical Economics 35, no. 3 (2008): 437–50. http://dx.doi.org/10.1007/s00181-007-0171-0.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Deng, Lu. "Augmented Dickey-Fuller Test and the Lag Length Selection Problem." Applied Mechanics and Materials 130-134 (October 2011): 3019–22. http://dx.doi.org/10.4028/www.scientific.net/amm.130-134.3019.

Full text

Abstract:

Many studies indicated that ADF test is very sensitive to different leg length selection models. Based on Hall, and Ng, Perron’s works, this article simulates a more general ARIMA(0,1,q) process and compares the influence of different selection methods to the size and power of the ADF test. Finally, it is proved that the Modified Information Criteria always shows a more proper size and the General to Special Criteria has more robust ADF test properties.

APA, Harvard, Vancouver, ISO, and other styles

8

Harris, R. I. D. "Testing for unit roots using the augmented Dickey-Fuller test." Economics Letters 38, no. 4 (1992): 381–86. http://dx.doi.org/10.1016/0165-1765(92)90022-q.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Akbar, Shahid, Maria Idrees, and Mubasher Ali. "Identifying Bubbles in Electricity Prices during COVID-19: A Case Study of Italian Electricity Prices." Journal of Social Sciences and Economics 3, no. 2 (2024): 259–67. https://doi.org/10.61363/ex92qk79.

Full text

Abstract:

The main objective of this study is to identify whether there exists explosive behavior in Italian electricity prices or not by considering the data from January 2020 to December 2021. To achieve this, three econometric methods have been utilized which are developed to detect bubbles. These methods are: right tail Augmented Dickey Fuller (ADF) test, Sequential Augmented Dickey Fuller (SADF) test and generalized sup Augmented Dickey Fuller (GSADF) test. ADF test detected no explosive behavior in Italian electricity prices while both SADF and GSADF tests have revealed presence of explosive behav

APA, Harvard, Vancouver, ISO, and other styles

10

Anggraini, Try Beta, and Yefriza Yefriza. "NILAI TUKAR RUPIAH DAN NET EKSPOR INDONESIA 2000 – 2017 (GRANGER CAUSALITY TEST)." Convergence: The Journal of Economic Development 1, no. 1 (2020): 9–24. http://dx.doi.org/10.33369/convergence-jep.v1i1.10854.

Full text

Abstract:

The aims of this research is to find out the relationship of rupiah exchange rate and net export Indonesia. This research covers the periode for 2000.Q1-2017.Q4, used secondary data which were analyzed using Granger Causality Test and Augmented Dickey Fuller (ADF) and existing data processed by using computer program of Eviews 9.0. The stationary properties of the time series data are examined by using Augmented Dickey-Fuller (ADF) test. Granger Causality test is applied to find out long-run relationship along with causality among the variables. The result of the data analysis show that there

APA, Harvard, Vancouver, ISO, and other styles

11

Malik, Shahzad Shabbir. "The Impact of Financial Development on Economy of Pakistan." American Based Research Journal 5, no. 3 (2016): 01–11. https://doi.org/10.5281/zenodo.3441708.

Full text

Abstract:

<em>This study aims to examine the impact of financial development on economy sector of Pakistan. Regional economic growth and financial development cycles can trace major global and unobserved factors evolved overtime. However, economic growth and financial development are explaining the fluctuations in the economy, which plays an important role for development of any economic sector. Whereas, Augmented Dickey Fuller Test (ADF) and Phillips Perron (PP) test are used to check the individual stationarity of each variable. Augmented Dickey Fuller test is used to estimate the unit root test. John

APA, Harvard, Vancouver, ISO, and other styles

12

Akcan, Ahmet Tayfur, Muhammad Shahbaz, Cuneyt Kılıç, and Hasan Kazak. "How Economic and Monetary Policy Uncertainty Affect Climate Policy Uncertainty in the United States?" Problemy Ekorozwoju 20, no. 1 (2025): 190–207. https://doi.org/10.35784/preko.6635.

Full text

Abstract:

Policy uncertainties can directly affect the outcomes of policies to be implemented and other related policies. Therefore, it is important to reduce policy uncertainties. Identifying policy uncertainties and related factors is important in this regard. This study examines the impact of economic and monetary policy uncertainty on climate policy uncertainty in the United States. The relationship between the variables is examined asymmetrically using monthly data for 1988-2022. First, the “Augmented Dickey-Fuller Unit Root Test” and the “Fractional Frequency Fourier Augmented Dickey-Fuller Unit R

APA, Harvard, Vancouver, ISO, and other styles

13

Cheung, Yin-Wong, and Kon S. Lai. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test." Journal of Business & Economic Statistics 13, no. 3 (1995): 277. http://dx.doi.org/10.2307/1392187.

Full text

APA, Harvard, Vancouver, ISO, and other styles

14

Cheung, Yin-Wong, and Kon S. Lai. "Lag Order and Critical Values of the Augmented Dickey–Fuller Test." Journal of Business & Economic Statistics 13, no. 3 (1995): 277–80. http://dx.doi.org/10.1080/07350015.1995.10524601.

Full text

APA, Harvard, Vancouver, ISO, and other styles

15

Maitra, Somak, and Dimitris N. Politis. "Prepivoted Augmented Dickey-Fuller Test with Bootstrap-Assisted Lag Length Selection." Stats 7, no. 4 (2024): 1226–44. http://dx.doi.org/10.3390/stats7040072.

Full text

Abstract:

We investigate the application of prepivoting in conjunction with lag length selection to correct the size and power performance of the Augmented Dickey-Fuller test for a unit root. The bootstrap methodology used to perform the prepivoting is a residual based AR bootstrap that ensures that bootstrap replicate time series are created under the null irrespective of whether the originally observed series obeys the null hypothesis or not. Simulation studies wherein we examine the performance of our proposed method are given; we evaluate our method’s performance on ARMA(1,1) models with varying con

APA, Harvard, Vancouver, ISO, and other styles

16

Faroque, Akhter, and Stanley A. Koren. "Diagnosing Housing Bubbles across Rich Countries." International Journal of Economics and Finance 10, no. 4 (2018): 179. http://dx.doi.org/10.5539/ijef.v10n4p179.

Full text

Abstract:

This paper addresses an empirical puzzle in the housing bubble literature: models of market fundamentals perform poorly in explaining investor exuberance in housing even though, individually, many fundamentals have strong ability to predict explosive growth in real house prices. We explore two plausible sources for the poor performance: missing fundamentals and missing bubble dynamics. To shed light on the relative importance of these sources, we conduct a detailed two-step investigation of the housing markets in ten rich countries using models, methodologies and datasets that are similar to t

APA, Harvard, Vancouver, ISO, and other styles

17

Buhaerah, Pihri. "Pembangunan Keuangan dan Pertumbuhan Ekonomi: Studi Kasus Indonesia." Kajian Ekonomi dan Keuangan 1, no. 2 (2017): 165–80. http://dx.doi.org/10.31685/kek.v1i2.203.

Full text

Abstract:

AbstractThis paper examines empirically the linkage of financial development and economic growth in Indonesia by using time series analysis for the period of 2001Q4-2016Q2. To achieve the objective of this study, data was collected from secondary sources and employed various time series econometric procedures such as Dickey Fuller-Generalized Least Square (DF-GLS) test, Granger Causality test, Engle Granger-Augmented Dickey Fuller (EG-ADF) cointegration test, and Error-Correction Method (ECM). The cointegration test shows that there is a long run relationship cointegrated between selected fina

APA, Harvard, Vancouver, ISO, and other styles

18

FURUOKA, Fumitaka. "MEAN REVERSION IN UNEMPLOYMENT: NEW FINDINGS FROM THE BALTIC TIGERS." Technological and Economic Development of Economy 23, no. 3 (2015): 462–82. http://dx.doi.org/10.3846/20294913.2015.1070769.

Full text

Abstract:

The tendency of the unemployment rate to revert to the mean value or the natural rate of unemployment has been one of the most discussed topics in macroeconomics. This study focused on three Baltic countries – Estonia, Latvia and Lithuania – as case studies to investigate unemployment dynamics. Three unit root tests were performed for this purpose: 1) the Augmented DickeyFuller (ADF) test, 2) the Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) test and 3) the Fourier Augmented Dickey-Fuller (FADF) test. The null hypothesis was that unemployment in the Baltic countries is a uni

APA, Harvard, Vancouver, ISO, and other styles

19

Bannikov, Valentyn, Maryna Akuliushyna, Svitlana Breus, Snizhana Sukachova, and Valeriy Tytarenko. "Analysis of the implementation of blockchain technologies in management to ensure transparency, efficiency and sustainability." Periodicals of Engineering and Natural Sciences (PEN) 13, no. 1 (2025): 249–62. https://doi.org/10.21533/pen.v13.i1.304.

Full text

Abstract:

This paper tackles the critical problem of how blockchain technology can boost management practices' transparency, efficiency and sustainability in a transitional economy like Ukraine. The focus is to systematically evaluate blockchain's impact on this outcome by analysing the roles of blockchain implementation, digital security, decentralisation, and innovation in Ukraine from 2008q1 to 2023q4. All the variables are stationary at the first difference revealed from the unit root test of Augmented Dickey-Fuller. The series cointegration is confirmed using the bound test of Augmented Dickey-Full

APA, Harvard, Vancouver, ISO, and other styles

20

Mantalos, P., and A. Karagrigoriou. "Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC." Journal of Statistical Computation and Simulation 82, no. 3 (2012): 431–43. http://dx.doi.org/10.1080/00949655.2010.539219.

Full text

APA, Harvard, Vancouver, ISO, and other styles

21

Tam, Pui Sun. "Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization." Applied Economics 45, no. 24 (2013): 3495–511. http://dx.doi.org/10.1080/00036846.2012.724159.

Full text

APA, Harvard, Vancouver, ISO, and other styles

22

Cheung, Yin-Wong, and Kon S. Lai. "Power of the augmented dickey-fuller test with information-based lag selection." Journal of Statistical Computation and Simulation 60, no. 1 (1998): 57–65. http://dx.doi.org/10.1080/00949659808811871.

Full text

APA, Harvard, Vancouver, ISO, and other styles

23

Oumarou, Issoufou, and Ousseini A. Maiga. "A Causal Relationship Between Trade, Foreign Direct Investment and Economic Growth in Niger." Journal of Social and Economic Statistics 8, no. 2 (2019): 24–38. http://dx.doi.org/10.2478/jses-2019-0003.

Full text

Abstract:

Abstract Foreign direct investment and Trade were regarded as an important elements in enhancing economic development. This study used some time series econometric tests including the Augmented Dickey – Fuller (ADF) unit root test developed by Dickey – Fuller, stationary test developed by Kwiatkowski-Philips-Schmidt-Shin (KPSS), Johansen co-integration test and Granger causality test to analyse the connection between foreign direct investment, trade and economic growth in Niger. The tests results showed a bilateral relationship between trade and economic growth and a unidirectional causal rela

APA, Harvard, Vancouver, ISO, and other styles

24

Chaudhry, Ali Farhan, Mian Muhammd Hanif, Sameera Hassan, and Muhammad Irfan Chani. "Efficiency of the Black Foreign Exchange Market." International Journal of Economics and Finance 11, no. 2 (2019): 165. http://dx.doi.org/10.5539/ijef.v11n2p165.

Full text

Abstract:

This empirical study is first of its nature to examine the weak-form of efficiency for unofficial foreign exchange market of Pakistan proxied by Japanese Yen (JPY/PKR), Swiss Franc (CHF/PKR), British Pound (GBP/PKR), and US Dollar (USD/PKR) exchange rates. For this we have employed Ljung Box Q-test, unit root tests including Dickey-Fuller (Dickey 1979), Augmented Dickey-Fuller (Dickey 1981) tests and Phillips and Perron (1988) test, Durbin Watson test, Runs-test, and Variance ratio test by using unofficial foreign exchange rate time series of Yen/PKR, CHF/PKR, GBP/PKR and USD/PKR from 1994M07

APA, Harvard, Vancouver, ISO, and other styles

25

Pervaiz, Javed, Teng Jian-Zhou, and Junaid Masih. "Long Run Relationship between Selected Macroeconomic Indicators and Banking Sector in Pakistan." International Journal of Economics and Finance 10, no. 2 (2018): 67. http://dx.doi.org/10.5539/ijef.v10n2p67.

Full text

Abstract:

The study investigated the long run relationship between selected macroeconomic indicators and banking sector index in Pakistan. The selected macroeconomic indicators are Exports, Industrial Production, CPI, and KIBOR as short-term interest rate, Money Supply (M0), Nominal Exchange Rate between Pakistan and United States of America (USA), Oil Prices and the Interest rate on Pakistan Government bond ten years, as the long-term interest rate. Monthly time series was used from January 2009 to August 2015. The study applied Augmented Dickey-Fuller test to determine the stationarity levels for the

APA, Harvard, Vancouver, ISO, and other styles

26

Agunloye, Oluokun Kasali, Dahud Kehinde Shangodoyin, and Raghunath Arnab. "Lag length specification in Engle-Granger cointegration test: a modified Koyck mean lag approach based on partial correlation." Statistics in Transition new series 15, no. 4 (2014): 559–72. http://dx.doi.org/10.59170/stattrans-2014-037.

Full text

Abstract:

The Engle-Granger cointegration test is highly sensitive to the choice of lag length and the poor performance of conventional lag selection criteria such as standard information criteria in selecting appropriate optimal lag length for the implementation of the Engle-Granger cointegration test is well-established in the statistical literature. Testing for cointegration within the framework of the residual-based Engle-Granger cointegration methodology is the same as testing for the stationarity of the residual series via the augmented Dickey-Fuller test which is well known to be sensitive to the

APA, Harvard, Vancouver, ISO, and other styles

27

Kulaksizoglu, Tamer. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test: A Replication." Journal of Applied Econometrics 30, no. 6 (2015): 1010. http://dx.doi.org/10.1002/jae.2458.

Full text

APA, Harvard, Vancouver, ISO, and other styles

28

Sekkal Ilhem Farida, Ilhem Farida, and Mohammed Benbouziane. "The Efficiency of the Maghreb Financial Markets: Tests of the Weak Form." Finance and Business Economies Review 5, no. 1 (2021): 313–29. http://dx.doi.org/10.58205/fber.v5i1.619.

Full text

Abstract:

The concept of efficient financial markets implies that the prices of financial assets correctly and fully reflect all available information. There are three forms of efficiency (weak, semi strong and strong). In this work, we present an empirical analysis of the weak form over a period of 10 years from 01/01/2010 to 12/31/2019 of the Maghreb financial markets (Moroccan, Tunisian and Algerian) through the monthly returns of their respective index (Masi, Tunindex and Dzairindex). For this, we used random walk tests (correlation tests, runs, stationarity and variance ratio). The advanced results

APA, Harvard, Vancouver, ISO, and other styles

29

Baum, Christopher F., and Jesús Otero. "Unit-root tests for explosive behavior." Stata Journal: Promoting communications on statistics and Stata 21, no. 4 (2021): 999–1020. http://dx.doi.org/10.1177/1536867x211063405.

Full text

Abstract:

We present a new command, radf, that tests for explosive behavior in time series. The command computes the right-tail augmented Dickey and Fuller (1979, Journal of the American Statistical Association 74: 427–431) unitroot test and its further developments based on supremum statistics derived from augmented Dickey–Fuller-type regressions estimated using recursive windows (Phillips, Wu, and Yu, 2011, International Economic Review 52: 201–226) and recursive flexible windows (Phillips, Shi, and Yu, 2015, International Economic Review 56: 1043–1078). It allows for the lag length in the test regres

APA, Harvard, Vancouver, ISO, and other styles

30

Ahmad, Manzur, Md Sulaiman, and Md Abu Sayem. "THE CASUAL RELATIONSHIP BETWEEN GROSS DOMESTIC SAVINGS AND ECONOMIC GROWTH IN BANGLADESH." Journal of Science and Technology 21, no. 2 (2024): 51–61. http://dx.doi.org/10.59125/jst.21206.

Full text

Abstract:

Bangladesh has undergone a significant upswing in various macroeconomic factors over its 50-year economic journey. The purpose of this paper is to examine long run causal relationship between gross domestic savings and economic growth in the country. Annual time series data have been used as sample from the period of 1971 to 2020. Data of the Bangladeshi Gross Domestic Savings (GDS) and Gross Domestic Product(GDP) have been collected from World Bank at current dollar value. For econometric analysis we used in this study Unit Root test for checking data stationarity, Johansen Cointegration test

APA, Harvard, Vancouver, ISO, and other styles

31

Pandey, Bhanu Bhakta, and Priyanka Poudel. "A Test of the Ricardian Equivalence Hypothesis for Nepal." JMC Research Journal 9, no. 1 (2020): 59–68. http://dx.doi.org/10.3126/jmcrj.v9i1.49384.

Full text

Abstract:

This study is undertaken to verify the application of Ricardian Equivalence Hypothesis (REH) for Nepal by using annual time-series data covering from 1975 to 2019. The study employs Augmented Dickey–Fuller unit root test, Engel Granger causality test, the long run multiple regression model, Error correction model (ECM) in estimating the systems equations to examine the objectives of the study. From the perspective of this study, the empirical findings demonstrated that the Ricardian Equivalence Hypothesis (REH) doesn’t hold for Nepal invalidating the proposition of the Ricardian Hypothesis.

APA, Harvard, Vancouver, ISO, and other styles

32

Maijama'a, Rabiu, and Kabiru Saidu Musa. "Crude Oil Price, Interest Rate and Unemployment Nexus in Nigeria: An Application of Toda and Yamamoto Long-Run Causality Procedure." Marketing and Branding Research 8, no. 1 (2021): 1–16. https://doi.org/10.33844/mbr.2021.60326.

Full text

Abstract:

This study aims to examine the relationship between crude oil price, interest rate and the uemployment rate in Nigeria using times series data for the 1991-2019 periods. The stationarity property of the series was examined using Augmented Dickey and Fuller (1979) and Elliot, Rothenberg and Stock’s (1996) unit root test. The outcomes of Augmented Dickey and Fuller indicated a mixture of an order of integration among the series while Elliot et al.’s (1996) unit root test revealed that all the series are stationary at the first difference and therefore are said to integrate of order o

APA, Harvard, Vancouver, ISO, and other styles

33

Wulan, Suryandani,. "ANALISIS HUBUNGAN INTEGRASI PASAR MODAL KAWASAN ASEAN-5." BBM (Buletin Bisnis & Manajemen) 4, no. 1 (2018): 15. https://doi.org/10.47686/bbm.v4i1.147.

Full text

Abstract:

ASEAN is an intergovernmental organization in Shouteast Asia, working together on economic and political issues. With the establishment of economic relations, one of them in the field of capital market will give effect to the movement of capital market indices in each country in the ASEAN region. Knowing the integration of capital market in ASEAN region can help investors in determining which capital markets will be used to form international diversification so that it can give potential benefits. In this study analyzed the level of capital market integration between ASEAN-5 capital markets fr

APA, Harvard, Vancouver, ISO, and other styles

34

Ahead Alfarkh, Aya, та Prof Ahmad Ibrahim Malawi. "أثر التحرير المالي على الاحتياطيات الأجنبية في الأردن". Jordan journal of applied sciences-Humanities Science Series 33, № 1 (2022): 15. http://dx.doi.org/10.35192/jjoas-h.v33i1.370.

Full text

Abstract:

This study aimed to investigate the impact of financial liberalization on foreign reserves in Jordan over the period (1998-2018). Several diagnostic tests have been applied, such as Augmented Dickey- Fuller (ADF) and Phillips-Perron (PP) test for Stationarity. The results have shown that all of the time series are not stationary in their levels, where are their first differences are stationaryaccording to Dickey- Fuller test (ADF), but the results have shown that some of the time series are stationary in their levels and some of them are stationary in the first difference according to Ph

APA, Harvard, Vancouver, ISO, and other styles

35

Mathlouthi, Majid, and Fethi Lebdi. "Estimation of dry events duration in Northern Tunisia – Analysis of extremes trends." Proceedings of the International Association of Hydrological Sciences 384 (November 16, 2021): 195–201. http://dx.doi.org/10.5194/piahs-384-195-2021.

Full text

Abstract:

Abstract. Modeling of extremes dry spells in Northern Tunisia, in order to detect the severity of the phenomenon, is carried out. Dry events are considered as a sequence of dry days (below a threshold) separated by rainfall events from each other. The maximum dry event duration follows the Generalized Extreme Value distribution. The data series adherence to the probability distribution was verified by the Anderson-Darling test. The positive trend and non-stationarity of dry spells was verified respectively by the Mann–Kendall test and Dickey–Fuller and augmented Dickey–Fuller tests. The irregu

APA, Harvard, Vancouver, ISO, and other styles

36

Nipa, Mondol, Akhter Roksana, Bhowmik Dipti, and Binta Hasan Sabiha. "An Auto Regressive Distributed Lag (ARDL) Approach to Understanding the Impact of Agriculture, Industry, and the Service Sector on GDP in Bangladesh." International Journal of Social Science and Human Research 07, no. 05 (2024): 3328–37. https://doi.org/10.5281/zenodo.11379568.

Full text

Abstract:

The agriculture, industry, and service sectors are the three main sectors of Bangladesh's economy. Using the ARDL model, this study experimentally investigated the short-term and long-term effects of these three sectors on Bangladesh's GDP from 2005 to 2022. This study based on secondary data collected from World Development Indicator, World Bank. The intended results have been determined by applying a variety of econometric time series analysis techniques, such as the Augmented Dickey-Fuller test, the Autoregressive Distributed Lag (ARDL) bound test and the Granger Causality test. The Augment

APA, Harvard, Vancouver, ISO, and other styles

37

Lu, Zhiping, Ming Li, and Wei Zhao. "Stationarity Testing of Accumulated Ethernet Traffic." Mathematical Problems in Engineering 2013 (2013): 1–8. http://dx.doi.org/10.1155/2013/217213.

Full text

Abstract:

We investigate the stationarity property of the accumulated Ethernet traffic series. We applied several widely used stationarity and unit root tests, such as Dickey-Fuller test and its augmented version, Phillips-Perron test, as well as the Kwiatkowski-Phillips-Schmidt-Shin test and some of its generalizations, to the assessment of the stationarity of the traffic traces at the different time scales. The quantitative results in this research provide evidence that when the time scale increases, the accumulated traffic series are more stationary.

APA, Harvard, Vancouver, ISO, and other styles

38

Ikezam, Nwonodi Daniel. "Money Supply and Inflation: Disaggregated Time Series Evidence from Nigeria." American Finance & Banking Review 2, no. 1 (2018): 52–61. http://dx.doi.org/10.46281/amfbr.v2i1.129.

Full text

Abstract:

This paper examined money supply and inflation in Nigeria. The objective was to examine the extent to which components of money supply affect Nigerian inflation rate. Time series data was sourced from Central Bank of Nigeria (CBN) statistical bulletin and Stock Exchange Factbook. Nigerian Real Inflation Rate was proxy for dependent (INFR) variables while Currency in Circulation (CR), Demand Deposit (DD), Time Deposit (TD), Savings Deposit (SD) and Net Foreign Asset (NFA) were used as independent variables. The Ordinary Least Square (OLS) method of cointegration, Augmented Dickey Fuller Unit Ro

APA, Harvard, Vancouver, ISO, and other styles

39

T. O., Oguntola, Adesina O. A., Oke S. A., and Oladimeji L. A. "Modeling the Accessibility to Electricity in Nigeria using Time Series Technique." African Journal of Mathematics and Statistics Studies 7, no. 2 (2024): 183–91. http://dx.doi.org/10.52589/ajmss-jywhchdq.

Full text

Abstract:

Access to electricity in Nigeria has been a major issue for the country for many years. With a rapidly growing population and an increasing demand for electricity, the country has struggled to provide a reliable and sustainable source of power. This work focuses on modeling access to electricity in Nigeria spanning 1990 to 2020 extracted from the World Bank database. The data was subjected to Augmented Dickey-fuller test and the Box-Jenkins ARIMA time series methodology was used for analysis. The time plot showed a continuous fluctuation of access to electricity in an upward trend direction an

APA, Harvard, Vancouver, ISO, and other styles

40

Bisaglia, Luisa, and Isabella Procidano. "On the power of the Augmented Dickey–Fuller test against fractional alternatives using bootstrap." Economics Letters 77, no. 3 (2002): 343–47. http://dx.doi.org/10.1016/s0165-1765(02)00146-5.

Full text

APA, Harvard, Vancouver, ISO, and other styles

41

Anjali and K. T. Thomachan. "A LONG RUN RELATIONSHIP BETWEEN GOLD PRICE AND INFLATION- EVIDENCE FROM THE INDIAN EXPERIENCE." International Journal of Research -GRANTHAALAYAH 3, no. 6 (2015): 100–107. http://dx.doi.org/10.29121/granthaalayah.v3.i6.2015.3005.

Full text

Abstract:

The study examines the long run relationship between gold price and inflation from the Indian experience. The main objective of the study is to identify whether there is long run relationship between the gold price and inflation. For the investigation three year monthly data from July 2011 to June 2014. The study is conducted by Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test and Granger Causality Test and finally came to the conclusion that there is no long run relationship between gold price and inflation.

APA, Harvard, Vancouver, ISO, and other styles

42

A., Anjali, and T. Thomachan K. "A LONG RUN RELATIONSHIP BETWEEN GOLD PRICE AND INFLATION- EVIDENCE FROM THE INDIAN EXPERIENCE." International Journal of Research -GRANTHAALAYAH 3, no. 6 (2017): 100–107. https://doi.org/10.5281/zenodo.838908.

Full text

Abstract:

The study examines the long run relationship between gold price and inflation from the Indian experience. The main objective of the study is to identify whether there is long run relationship between the gold price and inflation. For the investigation three year monthly data from July 2011 to June 2014. The study is conducted by Augmented Dickey Fuller Unit Root Test, Johansen Co-integration Test and Granger Causality Test and finally came to the conclusion that there is no long run relationship between gold price and inflation.

APA, Harvard, Vancouver, ISO, and other styles

43

Narayan, Parab, and Y. V. Reddy. "Exploring the Causal Relationship Between Stock Returns, Volume, and Turnover across Sectoral Indices in Indian Stock Market." Metamorphosis: A Journal of Management Research 16, no. 2 (2017): 122–40. http://dx.doi.org/10.1177/0972622517730140.

Full text

Abstract:

The traditional saying “Market Discounts Everything” is applicable to stock returns, trading volume, and turnover as well. The present study is an analytical attempt to examine the causal relationship between stock returns, trading volume, and turnover across 10 sectoral indices of National Stock Exchange (NSE) for the period 2006–2016. To critically examine this relation, the study uses various statistical techniques such as descriptive statistics, correlation analysis, regression analysis, and econometric tests such as Granger causality test and augmented Dickey–Fuller test. The required ana

APA, Harvard, Vancouver, ISO, and other styles

44

Bashir, Furrukh, Imran Sharif Chaudhry, Rashid Ahmad, and Fiza Habib. "An Econometric Investigation of Sectoral Output and Environmental Degradation in Pakistan." Review of Education, Administration & LAW 3, no. 3 (2020): 443–56. http://dx.doi.org/10.47067/real.v3i3.90.

Full text

Abstract:

This study examines effect of sectoral output (agriculture, industry and services) on environmental degradation in Pakistan ranging from period 1972 to 2017. This study makes use of Augmented Dickey Fuller test (ADF) followed by Autoregressive distributed lag model (ARDL). The empirical results show that Co2 emission in Pakistan is increased by Industrial sector output, population and energy consumption while agriculture sector output, services sector output and exports are reducing carbon dioxide emission.

APA, Harvard, Vancouver, ISO, and other styles

45

Castro, Tomás del Barrio, Paulo M. M. Rodrigues, and A. M. Robert Taylor. "THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS." Econometric Theory 29, no. 6 (2013): 1289–313. http://dx.doi.org/10.1017/s0266466613000066.

Full text

Abstract:

In this paper we investigate the impact of persistent (nonstationary or near nonstationary) cycles on the asymptotic and finite-sample properties of standard unit root tests. Results are presented for the augmented Dickey–Fuller (ADF) normalized bias and t-ratio-based tests (Dickey and Fuller, 1979, Journal of the American Statistical Association 745, 427–431; Said and Dickey, 1984; Biometrika 71, 599–607). the variance ratio unit root test of Breitung (2002, Journal of Econometrics 108, 343–363), and the M class of unit-root tests introduced by Stock (1999, in Engle and White (eds.), A Festsc

APA, Harvard, Vancouver, ISO, and other styles

46

Dorta, Miguel, and Gustavo Sanchez. "Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command." Stata Journal: Promoting communications on statistics and Stata 21, no. 1 (2021): 39–50. http://dx.doi.org/10.1177/1536867x211000003.

Full text

Abstract:

In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under the null hypothesis of random walk with drift. The method implemented in this command is considerably more precise than the corresponding case of the conventional augmented Dickey–Fuller test, which can be inaccurate when the true value of the drift term is small relative to the standard deviation of the innovations. The command also has an option to account for deterministic linear trend and another option to perform bootstrap unit-root tests under the null hypothesi

APA, Harvard, Vancouver, ISO, and other styles

47

Seo, Myung Hwan. "UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP." Econometric Theory 24, no. 6 (2008): 1699–716. http://dx.doi.org/10.1017/s0266466608080663.

Full text

Abstract:

This paper develops a test of the unit root null hypothesis against a stationary threshold process. This testing problem is nonstandard and complicated because a parameter is unidentified and the process is nonstationary under the null hypothesis. We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions. A residual-based block bootstrap is proposed to calculate the asymptoticp-values. The asymptotic validity of the bootstrap is established, and a set of Monte Carlo simulations demonstrates its finite-sample performance. In particular, the test exh

APA, Harvard, Vancouver, ISO, and other styles

48

Castro, Tomás del Barrio, Denise R. Osborn, and A. M. Robert Taylor. "ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS." Econometric Theory 28, no. 5 (2012): 1121–43. http://dx.doi.org/10.1017/s0266466612000060.

Full text

Abstract:

In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey (1984, Biometrika 71, 599–607) and Chang and Park (2002, Econometric Reviews 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowing for general linear processes driven by (possibly conditionally heteroskedastic) martingale difference innovations. We show that th

APA, Harvard, Vancouver, ISO, and other styles

49

Agada, J. T., Ugodu, D. P., and Ochoche, C. O. "EFFECT OF TRADE LIBERALIZATION ON OUTPUT OF SELECTED AGRICULTURAL CROPS IN NIGERIA." Journal of Agripreneurship and Sustainable Development 6, no. 4 (2023): 76–85. http://dx.doi.org/10.59331/jasd.v6i4.573.

Full text

Abstract:

The study assessed the effect of trade liberalization on output of selected agricultural crops (rice, wheat, cocoa and cassava) in Nigeria (1986-2020). Data on the variables of the study were collected from the records of Central Bank of Nigeria (CBN), National Bureau of Statistics (NBS) and Food and Agriculture Organization (FAO) and World Bank database. Data were analyzed using Augmented Dickey-Fuller (ADF) unit root test and Vector Error Correction Model (VECM). The result of the Augmented Dickey Fuller (ADF) test for unit root revealed that cassava output, cocoa output, rice output, wheat

APA, Harvard, Vancouver, ISO, and other styles

50

PAIVA, Denise de Assis, and Thelma SÁFADI. "STUDY OF TESTS FOR TREND IN TIME SERIES." REVISTA BRASILEIRA DE BIOMETRIA 39, no. 2 (2021): 311–33. http://dx.doi.org/10.28951/rbb.v39i2.471.

Full text

Abstract:

The time series methodology is an important tool when using data over time. The time series can be composed of the components trend (Tt), seasonality (St) and the random error (at). The aim of this study was to evaluate the tests used to analyze the trend component, which were: Pettitt, Run, Mann-Kendall, Cox-Stuart and the unit root tests (Dickey-Fuller, Dickey-Fuller Augmented and Zivot and Andrews), given that there is a discrepancy between the test results found in the literature. The four series analyzed were the maximum temperature in the Lavras city, MG, Brazil, the unemployment rate in

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!