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Journal articles on the topic 'Augmented Dickey Fuller'

Author: Grafiati

Published: 4 June 2025

Last updated: 15 July 2025

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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.

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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

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2

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.

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3

Demmler, Michael, and Amilcar Orlian Fernández Dominguez. "Speculative bubble tendencies in time series of Bitcoin market prices." Cuadernos de Economía 41, no. 86 (2022): 159–83. http://dx.doi.org/10.15446/cuad.econ.v41n86.85391.

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This article explores the concepts of cryptocurrencies and speculative bubbles, as Bitcoin’s price behaviour shares characteristics with speculative bubbles that have occurred in recent years. Using a quantitative research design, the study examines daily market prices for the period between 2013 and 2019. Statistical moments, return stationarity, TARCH-type model estimations and Supremum Augmented Dickey-Fuller and Generalised Supremum Augmented Dickey-Fuller tests are analysed. We find evidence for multiple speculative bubble tendencies in Bitcoin prices caused by speculation, which reached

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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.

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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

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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.

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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

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6

Putri, Nadya Risna, Hazmira Yozza, and Dodi Devianto. "Hubungan Kausalitas Nilai Tukar Rupiah terhadap Dolar Amerika Serikat, Jumlah Uang Beredar, dan Tingkat Inflasi." Jurnal Matematika UNAND 8, no. 1 (2019): 232. http://dx.doi.org/10.25077/jmu.8.1.232-241.2019.

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Penelitian ini dilakukan untuk mengetahui hubungan kausalitas antara nilai tukar (kurs) rupiah terhadap dolar Amerika Serikat, jumlah uang beredar dan tingkat inflasi. Metode penelitian yang digunakan yaitu uji kausalitas Granger. Kemudian untuk mendapatkan hasil estimasi, dilakukan pengujian stasioneritas dengan menggunakan uji Augmented Dickey-Fuller (ADF) dan transformasi Box-Cox. Data yang digunakan pada penelitian ini yaitu data runtun waktu dari tahun 2003 sampai dengan tahun 2018. Hasil penelitian ini menunjukan bahwa: (1)terdapat hubungan kausalitas satu arah pada jumlah uang beredar d

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7

Olulu-Briggs, Omiete Victoria, and Daniel Dornubari Sunday. "Testing for Multiple Bubbles in the Nigerian Stock Exchange." Saudi Journal of Economics and Finance 7, no. 03 (2023): 166–73. http://dx.doi.org/10.36348/sjef.2023.v07i03.006.

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Monthly All Share Index data from 1985M01-2021M12 was sourced from the Central Bank of Nigeria and the Central Securities Clearing System of the Nigerian Stock Exchange; to analyze multiple bubble periods. The supremum Augmented Dickey Fuller (SADF) and Generalized supremum Augmented Dickey Fuller (GSADF) quantitative model with 1000 repetitions along with a window size of 42 was selected to carry out the Monte Carlo simulation at the 95% confidence level. From the Backward SADF estimation, three periods of explosive pricing and collapses were detected. The study therefore recommends that mark

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8

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.

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9

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.

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10

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.

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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

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11

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.

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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

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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.

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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

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13

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.

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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.

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14

Fox, Kevin J. "White noise and other experiments on augmented Dickey-Fuller tests." Applied Economics Letters 4, no. 11 (1997): 689–94. http://dx.doi.org/10.1080/758530650.

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15

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.

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16

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.

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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

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17

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.

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<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

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18

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.

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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

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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.

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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

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20

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.

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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

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21

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.

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22

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.

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23

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.

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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

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24

Özdemir, Onur. "Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic." Ekonomika 101, no. 1 (2022): 142–61. http://dx.doi.org/10.15388/ekon.2022.101.1.8.

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This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over January 2, 2015 to February 12, 2021. It can be identified from the Supremum Augmented Dickey–Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) tests statistics that there is a high degree of evidence of bubble activity which characterizes all five exchange rates both in the full

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25

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.

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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

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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.

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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

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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.

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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

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28

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.

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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

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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.

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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

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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.

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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

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31

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.

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32

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.

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33

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.

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34

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.

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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

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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.

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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

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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.

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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

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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.

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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

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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.

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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

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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.

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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

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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.

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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.

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Doriyanto, Triatmo. "STABILKAH PERMINTAAN UANG DI INDONESIA SEBELUM DAN SELAMA KRISIS ?" Buletin Ekonomi Moneter dan Perbankan 2, no. 2 (2003): 77–95. http://dx.doi.org/10.21098/bemp.v2i2.197.

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Tulisan ini mencoba mengetahui apakah permintaan uang riil di Indonesia selama periode sebelum krisis (sebelum Agustus 1997) dan saat krisis tetap stabil. Analisis stasioner dan integrasi dengan menggunakan uji Augmented Dickey Fuller serta analisis kointegrasi dengan menggunakan uji Johansen menunjukkan adanya hubungan kointegrasi di antara variabel-variabel : currency riil dan PDB riil. Model permintaan uang riil dinamis dengan menggunakan Error Correction Model (ECM) menunjukkan konsistensi parameter secara signifikan, juga pada saat krisis.

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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.

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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.

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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

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Hạ, Châu Đỗ Nhật, та Trần Thị Tuấn Anh. "Kiểm định sự hiện diện của bong bóng trên thị trường chứng khoán Việt Nam giai đoạn từ 2006 đến 2019". KINH TẾ VÀ QUẢN TRỊ KINH DOANH 15, № 1 (2020): 34–45. http://dx.doi.org/10.46223/hcmcoujs.econ.vi.15.1.250.2020.

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Hiện tượng bong bóng xảy ra trên thị trường tài chính thường dẫn đến một hệ lụy nghiêm trọng về nguy cơ sụp đổ thị trường gây ra nhiều biến động cho nền kinh tế. Vì vậy, nhận diện sự tồn tại bong bóng trên thị trường là một trong những chủ đề nghiên cứu được quan tâm. Bài viết này sử dụng số liệu về giá đóng cửa hàng ngày của chỉ số VN-Index và HNX-Index từ năm 2006 đến cuối 2019 để kiểm định sự hiện diện của bong bong chứng khoán trên cả hai thị trường chứng khoán Thành phố Hồ Chí Minh và Hà Nội. Kết quả áp dụng kiểm định tính dừng phía phải bằng thống kê (SADF - sup augmented Dickey–Fuller t

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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.

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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

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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.

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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

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YALÇIN KAYACAN, Eda. "Examining the Presence of Balloons in Turkey's House Prices." Anadolu Üniversitesi Sosyal Bilimler Dergisi 22, no. 4 (2022): 1255–72. http://dx.doi.org/10.18037/ausbd.1225910.

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Financial bubbles have a significant effect on economic indicators. Bubbles in the housing market may herald the existence of financial crises, especially those arising from the housing market. In this study, it was aimed to test the existence of bubbles in housing price formations by considering the housing price index of Turkey in general and the housing price index of 26 sub- provinces/regions, including Turkey's three big cities. For this purpose, the existence of bubbles in housing prices were examined using the monthly frequency data of 27 housing price indexes for the 2010M1 – 2022M3 pe

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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.

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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

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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.

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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

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Soebagiyo, Daryono. "KAUSALITAS GRANGER PDRB TERHADAP KESEMPATAN KERJA DI PROVINSI DATI I JAWA TENGAH." Jurnal Ekonomi Pembangunan: Kajian Masalah Ekonomi dan Pembangunan 8, no. 2 (2007): 177. http://dx.doi.org/10.23917/jep.v8i2.1040.

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This research conducted to know the relation of causality between Regional Gross Domestic Products (PDRB) and level of employment. Research method which applied is Granger causality test. Then to get estimation result, done testing stationerity, integration degree testing by using ADF (Augmented Dickey Fuller), and testing cointegration by using ADF. Data in the research is time series data from year 1979 up to 2004. Analysis result gives conclusion that found unidirectional causality relation from Regional Gross Domestic Product (PDRB) to employment level.

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