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1
Sayin, Ipek. "Modelling Electricity Demand In Turkey For 1998-2011". Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615515/index.pdf.
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This thesis estimates the quarterly electricity demand of Turkey. First of all proper seasonal time series model are found for the variables: electricity demand, temperature, gross domestic product and electricity price. After the right seasonal time series model are found Hylleberg, Engle, Granger and Yoo (1990) test is applied to each variable. The results of the test show that seasonal unit roots exist for the electricity price even it cannot be seen at the graph. The other variables have no seasonal unit roots when the proper seasonal time series model is chosen. Later, the cointegration is tested by looking at the vector autoregressive model. As the cointegration is seen vector error correction model is found. There is long-run equilibrium when the price is the dependent variable and independent variable is gross domestic product. Temperature is taken as exogenous variable and demand is not statistically significant.
2
Wei, Jianxin. "On Bootstrap Evaluation of Tests for Unit Root and Cointegration". Doctoral thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-233885.
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This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series. The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. The small sample correction proposed by Johansen (2004) and bootstrap are two effective methods to improve the performance of the test. In this paper we compare these two methods as well as analyse the effect of bias-adjusting through a simulation study. We consider AR(1) and AR(2) models and both size and power properties are investigated. The second paper studies the asymptotic refinement of the bootstrap cointegration rank test. We expand the test statistic of a simplified VECM model and a Monte Carlo simulation was carried out to verify that the bootstrap test gives asymptotic refinement. The third paper focuses on the number of bootstrap replicates in bootstrap Dickey-Fuller unit root test. Through a simulation study, we find that a small number of bootstrap replicates are sufficient for a precise size, but, with too small number of replicates, we will lose power when the null hypothesis is not true. The fourth and last paper of the thesis concerns unit root test in panel setting focusing on the test proposed by Palm, Smeekes and Urbain (2011). In the fourth paper, we study the robustness of the PSU test with comparison with two representative tests from the second generation panel unit root tests. In the last paper, we generalise the PSU test to the model with deterministic terms. Two different methods are proposed to deal with the deterministic terms, and the asymptotic validity of the bootstrap procedure is theoretically checked. The small sample properties are studied by simulations and the paper is concluded by an empirical example.Ogiltigt ISBN: 978-91-554-9069-0
3
Neumann, Cornelia. "Purchasing Power Parity in the European Union A panel unit root test /". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05604160001/$FILE/05604160001.pdf.
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Uysal, Ela. "Application Of Nonlinear Unit Root Tests And Threshold Autoregressive Models". Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614878/index.pdf.
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Popularity of nonlinear threshold models and unit root tests has increased after the recent empirical studies concerning the effects of business cycles on macroeconomic data. These studies have shown that an economic variable may react differently in response to downturns and recoveries in a business cycle. Inspiring from empirical results, this thesis investigates dynamics of Turkish key macroeconomic data, namely capacity utilization rate, growth of import and export volume indices, growth of gross domestic product, interest rate for cash loans in Turkish Liras and growth of industrial production index. Estimation results imply that capacity utilization rate and growth of industrial production index show M-TAR type nonlinear stationary behavior according to the unit root test proposed by Enders and Granger (1998).
5
Shin, Sukha. "Covariate unit root test under structural change and its application to the relation between income and consumption". Connect to resource, 2002. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1261245043.
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Hamadeh, Lina. "Periodically integrated models : estimation, simulation, inference and data analysis". Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/periodically-integrated-models-estimation-simulation-inference-and-data-analysis(f7b345e9-bad7-424a-9746-bfe771d7ba8c).html.
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Periodically correlated time series generally exist in several fields including hydrology, climatology, economics and finance, and are commonly modelled using periodic autoregressive (PAR) model. For a time series with stochastic periodic trend, for which a unit root is expected, a periodically integrated autoregressive PIAR model with periodic and/or seasonal unit root has been shown to be a satisfactory model. The existing theory used the multivariate methodology to study PIAR models. However, this theory is convoluted, majority of it only developed for quarterly time series and its generalisation to time series with larger number of periods is quite cumbersome. This thesis studies the existing theory and highlights its restrictions and flaws. It provides a coherent presentation of the steps for analysing PAR and PIAR models for different number of periods. It presents the different unit roots representations and compares the performance of different unit root tests available in literature. The restrictions of existing studies gave us the impetus to develop a unified theory that gives a clear understanding of the integration and unit roots in the periodic models. This theory is based on the spectral information of the multi-companion matrix of the periodic models. It is more general than the existing theory, since it can be applied to any number of periods whereas the existing methods are developed for quarterly time series. Using the multi-companion method, we specify and estimate the periodic models without the need to extract complicated restrictions on the model parameters corresponding to the unit roots, as required by NLS method. The multi-companion estimation method performed well and its performance is equivalent to the NLS estimation method that has been used in the literature. Analysing integrated multivariate models is a problematic issue in time series. The multi-companion theory provides a more general approach than the error correction method that is commonly used to analyse such time series. A modified state state representation for the seasonal periodically integrated autoregressive (SPIAR) model with periodic and seasonal unit roots is presented. Also an alternative state space representations from which the state space representations of PAR, PIAR and the seasonal periodic autoregressive (SPAR) models can be directly obtained is proposed. The seasons of the parameters in these representations have been clearly specified, which guarantees correct estimated parameters. Kalman filter have been used to estimate the parameters of these models and better estimation results are obtained when the initial values were estimated rather than when they were given.
7
Arvidsson, Mattias. "An empirical examination of the Fisher hypothesis in Sweden". Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-25883.
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Guo, Yuanxiang. "Chinese wheat price analysis - with application of cointegration and Granger causality test". Thesis, Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/52978.
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Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.
9
Mendonça, Francisco António Teixeira. "Double unit tests in the presence of structural breaks". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14894.
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Mestrado em Econometria Aplicada e PrevisãoApresentam-se dois testes estatísticos que permitem averiguar a existência de duas raízes unitárias numa série temporal univariada que contenha um quebra estrutural na função determinística. Os testes foram aplicados a várias séries económicas, e encontrou-se evidência estatística que suporta a hipótese nula.
We present two statistical tests that to verify the existence of two unit roots in a univariate time series that contains a structural break in the deterministic function. The tests were applied to several economic series, and statistical evidence supporting the null hypothesis was found.
info:eu-repo/semantics/publishedVersion
10
Göhler, Andreas. "Einheitswurzeltests : (A)DF-versus Cauchyverfahren ; ein Gütevergleich unter Berücksichtigung verschiedener Trendbereinigungsverfahren /". Aachen : Shaker, 2006. http://www.gbv.de/dms/zbw/509082149.pdf.
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AIDOO, ERIC. "MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS". Thesis, Högskolan Dalarna, Statistik, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:du-4828.
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Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates in Ghana. Using monthly inflation data from July 1991 to December 2009, we find that ARIMA (1,1,1)(0,0,1)12 can represent the data behavior of inflation rate in Ghana well. Based on the selected model, we forecast seven (7) months inflation rates of Ghana outside the sample period (i.e. from January 2010 to July 2010). The observed inflation rate from January to April which was published by Ghana Statistical Service Department fall within the 95% confidence interval obtained from the designed model. The forecasted results show a decreasing pattern and a turning point of Ghana inflation in the month of July.
12
TIAN, Xi. "Competition and market integration : the case of China's auto industry". Digital Commons @ Lingnan University, 2007. https://commons.ln.edu.hk/econ_etd/11.
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The “special treatments” of automobile industry in China, especially in the forms of local protectionism, have been criticized as evidences of domestic market fragmentation for long. Whether these “special treatments” have stunted the integration of a national auto market in China remains a question.
This paper seeks to examine the degree of market integration in the automobile markets in China by using tests of cointegration between prices of spatial markets. Several econometric approaches for spatial price analysis, including the ADF unit root test, Maddala-Wu’s Fisher type panel unit root test and more restrictive Dufour-Torres panel unit root test are applied to monthly average retail prices for the main models sold across 36 cities from 1994-2006. Besides the above conventional linear methods, the author also applies the newly developed nonlinear unit root method proposed by Kapetanios et al. (2003).
Test results indicate that the nonlinear test support convergence more often than the conventional linear unit root tests. Moreover, they also reveal that price convergence and hence market integration hold for majority of models and markets. The paper also investigates possible explanatory factors in price disparities of auto markets among cities. As the evidence shows, the geographic distance between markets, difference of per capital income, and the existence of local production play important roles in the absolute price differentials as well as the volatility of price differentials among cities.
13
Awasom, Nde-Asaa. "An analysis of the OPEC Reference Basket with regards to African Pricing and Spread to the WTI and Brent". Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31406.
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This study aims at analysing how African oil benchmarks within the OPEC Reference Basket relative to the WTI and Brent benchmarks which are considered as global pricing benchmarks for the period starting from 1997-2008. The Nigerian Bonny Light and Algerian Saharan blend were the two benchmarks used for this study. A time series analysis was applied to the weekly price data series set and with the aid of a breakpoint unit root test and Cusum of Squared test to determine if there was a change in the persistence of the spread of each African benchmark relative to the global benchmarks. The results for from the unit root test indicated the presence of a structural break in the price spread in 2004 for the Bonny Light benchmark and in 2005 for the Saharan blend relative to both global benchmarks. The Cusum Squared test for the four benchmark pairings indicated a change in persistence of the price spreads. The null hypothesis was rejected for the alternative hypothesis of the price spread process having a relatively high persistence value after a while. The Cusum Test results showed a change in persistence for both African benchmarks relative to the WTI benchmark and no change in persistence relative to the Brent benchmark. The results of from the Time series analysis indicated the competitive nature of African benchmarks relative to global benchmarks and this could benefit exporting countries by virtue of setting up derivative markets. The derivative markets would allow for the trade of benchmark spreads, futures contracts, options and other financial instruments for African oil producers.
14
Melinder, Johanna y Katja Melnikova. "Housing prices, stock prices and interest rates: a cointegration analyses of the Stockholm region". Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-295656.
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This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. This study contributes to the literature by examining eleven years of monthly data for the housing prices in the Stockholm region. We find evidence of a long-run relationship between housing prices, stock prices and the interest rate. There is a negative relationship between housing prices and the interest rate as well as between stock prices and the interest rate, but a positive relationship between housing prices and stock prices. However, the results are somewhat sensitive to model specification and therefore further studies on the topic are encouraged.
15
Castro, Marcelo Augusto Farias de. "Co-integration in the real estate industry funds Brazil". Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=8929.
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nÃo hÃThe real estate investment (REI) is a newly created investment vehicle and still under constant development. Introduces, as basic characteristic, a property used for rental as the main asset. Governed by federal laws and regulations of the CVM instruction, regulatory frameworks help to give credibility to this investment vehicle. The REIs have tax benefits and remunerate its shareholders with regular income through rents. In addition, we present a third types of gain, which is the value of the shares of real estate funds. The current characteristics have a debonding between the equity and value of your shares, setting its recovery from supply and demand in the market. The study of this factor recovery was used to study development. Featuring a conservative perspective while being traded at BOVESPA, the question to be answered is whether the REI have a conservative characteristic when compared with other market indicators, such as IMOB, IBOVESPA, CDI, the IGP and INCC. And especially if there is a tendency over time with these same indicators, allowing to verify long-term behavior. With a stochastic characteristic non-stationary, the REI are cointegrated with the market indicators. The presentation of this tendency implies on a similar behavior over time, making it understandable with what market indicator the real estate investment presents tendency. Thus, the REI can be considered conservative investments, which have two returns (valuation of shares and payment of monthly rent), have characteristics of present value above the market benchmarks, low total and systemic risks and can be used as protection for stock investors, as a hedging tool.
O fundo de investimento imobiliÃrio (FII) à um instrumento de investimento recentemente criado e ainda em constante desenvolvimento. Apresenta como caracterÃstica bÃsica, possuir como o ativo principal um imÃvel utilizado para locaÃÃo. Regidos por leis federais e por instruÃÃes normativas da CVM, os marcos regulatÃrios ajudam a dar credibilidade a este instrumento de investimento. Os FII apresentam benefÃcios tributÃrios e remuneram seus cotistas atravÃs de receitas periÃdicas com aluguÃis. AlÃm destes, à apresentada uma terceira tipologias de ganho, que à a valorizaÃÃo das cotas dos fundos imobiliÃrios. As caracterÃsticas atuais apresentam um descolamento entre o patrimÃnio lÃquido e o valor das suas cotas, configurando uma valorizaÃÃo proveniente da oferta e procura pelas mesmas no mercado. O estudo desta valorizaÃÃo foi o elemento utilizado para o desenvolvimento do estudo. Apresentando uma perspectiva conservadora embora sendo negociado na BOVESPA, a pergunta a ser respondida à se os FII apresentam uma caracterÃstica conservadora comparado com outros indicadores de mercado, tais como o IMOB, o IBOVESPA, o CDI, o IGPM e o INCC. E principalmente se existe tendÃncia ao longo do tempo com estes mesmo indicadores, possibilitando verificar comportamento de longo prazo. Com uma caracterÃstica estocÃstica nÃo estacionÃria, os FII sÃo co-integrados com os indicadores de mercado. A apresentaÃÃo desta tendÃncia determina comportamento semelhante ao longo do tempo, fazendo com que possa ser entendido com qual indicador de mercado o fundo imobiliÃrio apresenta tendÃncia. Desta forma, os FII podem ser considerados investimentos conservadores, que apresentam duas rentabilidades (valorizaÃÃo das cotas e pagamento mensal de aluguel), possuem caracterÃsticas de apresentarem valorizaÃÃo acima dos benchmarks de mercado, apresentam baixo risco total e sistÃmico e podem ser utilizados como proteÃÃo para quem investe em aÃÃes, como uma ferramenta de hedge.
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Kucukbahar, Duygu. "Modeling Monthly Electricity Demand In Turkey For 1990-2006". Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/12609318/index.pdf.
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Factors such as economical development, rapid increase in population and climate change increased electricity demand in Turkey as well as in other countries. Thus, using the correct methods to estimate short, medium and long term electricity demand forms a basis for the countries to develop their energy strategy. In this study, monthly electricity demand of Turkey is estimated. First, the effect of natural gas price and
consumption to electricity demand and elasticities are searched with a simple regression model. Although, natural gas is known as a substitute of electricity, natural
gas consumption and natural gas over electricity price ratio are found to be nearly inelastic. Second part includes two models and cointegration relation is investigated
in nonstationary industry production index, electricity consumption per capita and electricity prices series in the first one. An error correction model is then formed with
an additional average temperature variable and 12 months electricity demand is forecasted. In the second one, heating degree-days and cooling degree-days are used instead of the average temperature variable and a new error correction model is formed. The first model performs better than the second one, indicating the seasonality of electricity consumption during a year. The results of both models are
also compared with previous studies to investigate the effect of different weather variables.
17
Park, Sungwook. "Three essays on long run movements of real exchange rates". Columbus, Ohio : Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1180465881.
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Kalaitzis, Angelos. "Bitcoin - Monero analysis: Pearson and Spearman correlation coefficients of cryptocurrencies". Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-41402.
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In this thesis, an analysis of Bitcoin, Monero price and volatility is conducted with respect to S&P500 and the VIX index. Moreover using Python, we computed correlation coefficients of nine cryptocurrencies with two different approaches: Pearson and Spearman from July 2016 -July 2018. Moreover the Pearson correlation coefficient was computed for each year from July2016 - July 2017 - July 2018. It has been concluded that in 2016 the correlation between the selected cryptocurrencies was very weak - almost none, but in 2017 the correlation increased and became moderate positive. In 2018, almost all of the cryptocurrencies were highly correlated. For example, from January until July of 2018, the Bitcoin - Monero correlation was 0.86 and Bitcoin - Ethereum was 0.82.
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Basoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market". Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.
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In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.
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Kekec, Ibrahim. "The Relationship Between Foreign Direct Investment And The Macro Economy". Thesis, University of North Texas, 2011. https://digital.library.unt.edu/ark:/67531/metadc103343/.
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In this thesis, I first investigate the relation between the aggregate unemployment rate and foreign direct investment (FDI) inflows and outflows. To study this relationship, I use a panel data set that contains 45 (developed and developing) countries observed from 1987 through 2008, and I employ Arellano and Bonds generalized methods of moments (ABGMM) estimation method for dynamic panel data. My results show that FDI inflows and outflows are not determinants of the aggregate unemployment rate. In addition, in line with macroeconomic theory, the previous level of aggregate unemployment has a positive impact on the current level of aggregate unemployment. Again, as macroeconomic theory suggests, my results show that per capita real gross domestic product (RGDP) has a negative effect on the current level of aggregate unemployment. Second, I study the long-run relationship between exports and per capita gross domestic product (instrumented by total population) using a panel data set of 51 countries from 1970 through 2008. To study this relationship, I employ the dynamic ordinary least squares (DOLS) estimation method. I find that the percentage of exports in nominal gross domestic products (GDP) is sensitive to changes in the populations of host countries and, hence, to the changes in their GDP. In addition, my results show that the agreement on trade related investment measures increased the percentage of exports in the nominal GDP of developed host countries more than it did in developing host countries.
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Pecka, Marek. "Gravitační model zahraničního obchodu s alkoholickými nápoji ve vybraných zemích EU". Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193154.
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Panel data analysis is the modern approach of statistical and econometric modeling. The aim of the thesis is to estimate the gravity model of international trade in alcoholic beverages in the form of bilateral trade flow depending on the gross domestic product and other associated variables that facilitate trading. The data have a panel structure. Based on the results of panel unit root tests the stationarity of variables in the panel and the expected long-term relationship between the analyzed variables are tested. Gravity model is assuming the existence of long-term relationships built through various methods, such as pooling OLS estimate, fixed and random effects models, cointegrated regression DOLS and FMOLS. Cointegration relationship is verified by Pedroni panel test.
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Fedorová, Darina. "Vybrané testy jednotkových kořenů v časových řadách". Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-202124.
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The emphasis of this diploma thesis is placed on the verification of stationarity in time series using the Unit Root Tests and their most common modifications that are introduced in the theoretical part of this paper. Tests mainly by Dickey and Fuller, Phillips and Perron, and KPSS test are introduced as well as their modifications in the form of ERS, Ng and Perron, and Leybourne and McCabe tests. Moreover the HEGY test for testing stationarity in the seasonal Time series and Perron test of structural breaks for Time series with shocks are described. There is also outlined the process of testing multiple Unit Roots. The empirical part of this paper consists of simulations of AR(1) time series generated using the software R, their testing for stationarity by selected Unit Root tests and the comparison of power of these tests. The conclusion includes recommendations which tests and under what conditions are the most suitable for testing Time series for the presence of Unit Root.
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BARBIERI, LAURA. "Un modello econometrico regionale "globale" per il mercato del lavoro italiano". Doctoral thesis, Università Cattolica del Sacro Cuore, 2008. http://hdl.handle.net/10280/231.
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Partendo dalla constatazione della sempre maggiore complessità del contesto economico e sociale nazionale ed internazionale, imputabile da un lato al processo di integrazione economico e monetario europeo, e dall'altro alla progressiva decentralizzazione dei poteri a livello regionale, la tesi intende proporsi come uno strumento analitico di supporto al decisore. A tal fine, in base a dati annui di fonte ISTAT-SVIMEZ per il periodo 1970-2003, viene sviluppato un modello econometrico regionale 'globale' per il mercato del lavoro italiano, estendendo un precedente modello mono-regionale proposto da Baussola (2003), ad un contesto pluri-regionale. Il modello conduce non solo a rappresentare soddisfacentemente i mercati regionali italiani, ma opera altresì efficacemente nel ricostruire i valori delle variabili a livello nazionale. Il modello si conferma robusto ed efficace nel rappresentare le realtà regionali, anche nell'ottica di analisi propria dell'econometria delle serie storiche.The starting point of this thesis is the remark that recent decades have been characterized by a rising complexity in the economic and political context both at the national and international level. This is due both to the European economic and monetary integration process and to the regional decentralisation process. With the aim of providing a useful tool of analysis for the decision-maker,. a 'global' regional model for the Italian labour market has been constructed on the basis of annual data from ISTAT-SVIMEZ over the 1970-2003 period. This model could be viewed as an extension to a multi-regional framework of the previous one-region model developed by Baussola (2003). The model shows good performance not only in representing regional labour market specificities, but also in reproducing national variable values. It is also robust and effective in a time-series context.
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Alves, Gonçalo Filipe Rodrigues. "Testing the random walk hypothesis with technical trading rules". Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10939.
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Mestrado em FinançasNeste trabalho são testadas as hipóteses de passeio aleatório ao mercado acionista português, examinando as dezoito ações e o índice PSI-20. Considerando cotações diárias e mensais durante o período de 1999-2015. Foram utilizados os testes Augmented Dickey-Fuller (ADF), os testes de rácio de variância automático assim como os rácios de variâncias individuais e múltiplos propostos por Lo e Mackinlay, e Chow e Denning, respetivamente. Os vários testes utilizados para confirmar a hipótese de passeio aleatório das dezoito ações assim como do índice PSI-20, obtiveram resultados mistos contra a hipótese testada. Enquanto o teste Augmented Dickey-Fuller (ADF) rejeitou a hipótese de raiz unitária para todas as ações e também para o índice PSI-20 confirmando assim um passeio aleatório. Por outro lado, os testes de rácios de variâncias, rejeitam a hipótese testada para algumas das ações consideradas assim como para o índice PSI-20, contudo tende esse número de ações tende a diminuir quando se utiliza as cotações mensais.
This paper investigates the efficiency of the eighteen stocks that constitute the main Portuguese stock index, the PSI-20 of the Lisbon Stock Exchange. Tools used for the investigation were daily and monthly data from January 1999 to May of 2015, using the Augmented Dickey-Fuller (ADF) test, the automatic variance ratio by Choi and the individual and multiple variance ratios, by Lo and Mackinlay, and, Chow and Denning, which test the efficiency of the eighteen stocks and PSI-20 index. The Augmented Dickey-Fuller (ADF) tests the null hypothesis that the series has a unit root, while the variance ratio tests the random walk hypothesis. Based on these tests, the results provide mixed evidence against the random walk hypothesis. The results for the unit root tests do not reject the efficient market hypothesis for the entire sample, while the results from the variance ratio tests do, but tend to decrease in monthly data.
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Proïa, Frédéric. "Autocorrélation et stationnarité dans le processus autorégressif". Phd thesis, Université Sciences et Technologies - Bordeaux I, 2013. http://tel.archives-ouvertes.fr/tel-00903542.
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Cette thèse est dévolue à l'étude de certaines propriétés asymptotiques du processus autorégressif d'ordre p. Ce dernier qualifie communément une suite aléatoire $(Y_{n})$ définie sur $\dN$ ou $\dZ$ et entièrement décrite par une combinaison linéaire de ses $p$ valeurs passées, perturbée par un bruit blanc $(\veps_{n})$. Tout au long de ce mémoire, nous traitons deux problématiques majeures de l'étude de tels processus : l'\textit{autocorrélation résiduelle} et la \textit{stationnarité}. Nous proposons en guise d'introduction un survol nécessaire des propriétés usuelles du processus autorégressif. Les deux chapitres suivants sont consacrés aux conséquences inférentielles induites par la présence d'une autorégression significative dans la perturbation $(\veps_{n})$ pour $p=1$ tout d'abord, puis pour une valeur quelconque de $p$, dans un cadre de stabilité. Ces résultats nous permettent d'apposer un regard nouveau et plus rigoureux sur certaines procédures statistiques bien connues sous la dénomination de \textit{test de Durbin-Watson} et de \textit{H-test}. Dans ce contexte de bruit autocorrélé, nous complétons cette étude par un ensemble de principes de déviations modérées liées à nos estimateurs. Nous abordons ensuite un équivalent en temps continu du processus autorégressif. Ce dernier est décrit par une équation différentielle stochastique et sa solution est plus connue sous le nom de \textit{processus d'Ornstein-Uhlenbeck}. Lorsque le processus d'Ornstein-Uhlenbeck est lui-même engendré par une diffusion similaire, cela nous permet de traiter la problématique de l'autocorrélation résiduelle dans le processus à temps continu. Nous inférons dès lors quelques propriétés statistiques de tels modèles, gardant pour objectif le parallèle avec le cas discret étudié dans les chapitres précédents. Enfin, le dernier chapitre est entièrement dévolu à la problématique de la stationnarité. Nous nous plaçons dans le cadre très général où le processus autorégressif possède une tendance polynomiale d'ordre $r$ tout en étant engendré par une marche aléatoire intégrée d'ordre $d$. Les résultats de convergence que nous obtenons dans un contexte d'instabilité généralisent le \textit{test de Leybourne et McCabe} et certains aspects du \textit{test KPSS}. De nombreux graphes obtenus en simulations viennent conforter les résultats que nous établissons tout au long de notre étude.
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Plašil, Miroslav. "Empirické ověření nové Keynesiánské Philipsovy křivky v ČR". Doctoral thesis, Vysoká škola ekonomická v Praze, 2003. http://www.nusl.cz/ntk/nusl-77088.
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New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.
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Chun, Winston Seung Hyun. "Estrutura a termo de taxa de juros brasileira: investigando a presença de não linearidade". reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8585.
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Esta dissertação tem com objetivo avaliar uma das implicações da hipótese de expectativas para a estrutura a termo de taxa de juros brasileira. Utilizando testes lineares tradicionais e através da reprodução de testes não lineares TAR de Enders e Granger (1998) e ESTAR Kapetanios e Shin (2003) conclui-se que a hipótese de expectativas não é totalmente válida para a ETTJ do Brasil, além disso, são encontradas evidências de não linearidade nas séries de spreads que demandam mais pesquisa sobre o assunto.
This dissertation has the aim to evaluate one of the implications of expectation hypothesis in Brazilian term structure of interests. Using traditional linear tests and through the reproduction of nonlinear Threshold Autoregressive (TAR) tests of Enders and Granger (1998) and Exponential Smooth Transition Autoregressive (ESTAR) of Kapetanios and Shin (2003) the conclusion is that expectation hypothesis is not totally valid for Brazil, besides that, some evidences of non-linearity in spreads series were found then more research is needed on the subject.
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Niang, Abdou-Aziz. "Croissance et convergence des pays de la zone CFA : une étude par les données de panel non stationnaires". Phd thesis, Université de Bourgogne, 2011. http://tel.archives-ouvertes.fr/tel-00834421.
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Les pays africains de la zone CFA ont connu ces dernières années de multiples transformations économiques d'une part à travers les mesures initiées par les bailleurs de fonds bilatéraux et multilatéraux et d'autre part à travers les politiques d'intégration économique et monétaire. Ainsi, en partant de l'hypothèse selon laquelle du fait de ces nombreuses interventions, ces systèmes économiques incorporent divers phénomènes tels que les changements structurels et les dépendances inter-économies, nous avons étudié leurs principales implications sur la croissance, la convergence et la prévisibilité du taux de croissance. L'accent est d'abord mis sur les traits majeurs des politiques d'intégration dans le cadre d'une union monétaire tout en soulignant les éventuelles incidences de telles politiques sur la dynamique économique des pays membres principalement en termes de modélisation économétrique de la croissance et de la convergence. Les différentes études réalisées sur la base d'outils économétriques adaptés ont permis d'aboutir à des résultats nouveaux relatifs au processus de croissance et de convergence de ces économies comparativement à ceux basés sur les outils classiques de modélisation économétrique. Il ressort également de cette étude que la présence de facteurs communs et de ruptures structurelles est fortement liée aux politiques d'intégration mises en oeuvre au sein de la zone CFA. Ces résultats révèlent aussi que les chocs produisent des effets hétérogènes et ont généralement des dates d'occurrence différentes selon les pays et qu'il est nécessaire de faire varier les réponses de politique économique d'un pays à l'autre pour une croissance durable et mieux partagée.
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Zhang, Qianyi. "Seasonal unit root tests a comparison /". 2007. http://www.lib.ncsu.edu/theses/available/etd-07072008-143453/unrestricted/etd.pdf.
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Yu, Chiu Huei y 邱惠玉. "Panel Unit Root Test". Thesis, 1999. http://ndltd.ncl.edu.tw/handle/27220738010700425810.
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JUANG, YI-JUNG y 莊頤中. "Review of Rank-Based Unit Root Test". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/69891275304657080939.
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碩士輔仁大學
經濟學系碩士班
101
Hallin, Akker and Werker (2011) proposed a class of rank-based unit root tests. The tests are based on the rank of innovations. Unlike traditional unit root tests , however, the rank-based unit root tests do not require preliminary estimation of parameters. A Monte Carlo experiment indicates that the power of the rank-based unit root tests performs well when underlying density is Cauchy distribution. In this thesis, We do simulations of the rank-based unit root tests for six models, which are first order difference process with drift, process with serial correlation, process with quardratic trend, process with autoregression conditional heteroskedastiity, process with t innovations and process with structural change. Our Monte Carlo experiment show that when process with serial correlation, both rank-based test and ADF test tend to overrejecting the null hypothesis. When process with quardratic trend, both rank-based test and DF test have high power. When process with ARCH , both rank-based test and Df test have low power. When process with structural change, both rank-based test and DF test have severe size distortion. When process with t innovations, both rankbased test and DF test except t innovations with degree of freedom 1 (Namely, Cauchy distribution), When process with drift, the power of rank-based test increases as the drift parameter increases, and the power of DF test decreases as the drift parameter increases. Overall, the rank-based test can apply to process with the innovations drawing from Cauchy distribution ,and process with quardratic trend and drift.
32
Lo, Chih-Hsien y 羅志賢. "Panel Unit Root Test against ESTAR Alternative". Thesis, 2007. http://ndltd.ncl.edu.tw/handle/15356693054343112111.
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博士國立成功大學
企業管理學系碩博士班
96
This thesis proposes test procedures to detect the presence of nonstationarity in dynamic panels against nonlinear but globally stationary exponential smooth transition autoregressive dynamic panels. The panels are assumed to be cross sectionally independent but each cross section is allowed to have its own short run dynamics and deterministic components. Based on whether the autoregressive parameters and speed of transition are identical or not across individuals, our panel models are classifies as homogeneous or heterogeneous. In homogeneous panels, we pool all cross section data to form a unit root test statistics after some normalization applied to each cross section data to control for the difference in short run dynamics and deterministic components. Whilst in heterogeneous panels, we first apply time series unit tests proposed by Kapetanios, Shin and Snell (2003) or Kapetanios and Shin (2003) to each cross section and then the panel unit root test statistics are formed by some transformation of these individual unit root test statistics. Two forms of transformation are used: one is the simple average of individual test statistics proposed by Im, Pesaran and Shin (2003) and the other is Fisher combined p-values statistics proposed in Maddala and Wu (1999) and Choi (2001). By using sequential limit theory, i.e., first T (the time series dimension) →∞ and then N (the cross section dimension) →∞, our test statistics are shown to converge in probability to a standard normal variate under the null of a common unit root. The finite sample properties of proposed test statistics are examined through Monte Carlo simulations. Overall, the simulation results indicate that our proposed test statistics performs well in terms of size and power. Application of the proposed test statistics to OECD real exchange rate data provides some evidence in favor of PPP hypothesis.
33
Hsieh, Chao-chuan y 謝妱娟. "Unit Root Test and Structure Break--Survey and Application". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/21508079698259862649.
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碩士南華大學
管理經濟學系經濟學碩士班
100
In this paper, we review the five different kinds of unit root test methods, which frequently used in the empirical studying, to test whether the current account satisfy the expected intertemporal balance.The empirical results show that base on the unit root test methods suggested by ADF (1979) and Zivot and Andrews (1992), they support the current account of intertemporal balance in Taiwan case studying. However, according to the unit root test of Phillips and Perron (1988), Lee and Strazicich (2004), and Lee and Strazicich(2003), the current account does not support the intertemporal equilibrium theory; In the case of South Korea, the empirical results show that current account do not support the intertemporal balance theory regardless of the real term or as the ratio of GDP. Why Taiwan and South Korea''s current account does not support the intertemporal balance? We reckon that currently Taiwan and South Korea have large surplus of current account. Because the current account have not yet reached the stage of downward adjustment, they lead to the violation of intertemporal equilibrium.
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Shieh, Tung Ho y 謝東和. "Macroeconomic varibles and unit root test-Taiwanese empirical analysis". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/40931211842867758443.
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Liao, Siang-kai y 廖祥凱. "Bayesian Unit Root Test – Application for Exchange Rate Market". Thesis, 2008. http://ndltd.ncl.edu.tw/handle/gkpf22.
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碩士國立中山大學
經濟學研究所
96
There should be more interpretations which are derived from data, presented by those professional analysts. The empirical rules and knowledge do help as making statistical inference in Econometrics. The approaches from classical statistical analysis make judges simply resulting from historical data. To be frank, the advantage of this analysis is the objectivity, but there is a fatal drawback. That is, it does not pay attention to some logically extra information. This paper is born for the applications of Bayesian, which has the essential characteristic of accepting subjective outlook, applying empirical rules to study unit root test on exchange rate market. Furthermore, the various distributions of data may have direct effect on the classical statistical inference we use, such as Dickey-Fuller and Phillips-Perron test. To take those defects into consideration, this paper tends not to take the assumption of disturbances in normal distribution as granted. For instance, it is quite common for us to confront the heavy-tailed distribution when studying some data of time series related to stocks and targets of investment. Hence, we will apply more generalized model to do research on Bayesian unit root test. Use the model of Schotman and Van Dijk (1991) and assuming disturbance shaped as independent student-t distribution to revise the unit root test, next, applying to exchange rate market. This is the motif of this paper.
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Kurozumi, Eiji y 英司 黒住. "Essays on testing for stationarity possibly with seasonality and a structural change". Thesis, 2000. https://doi.org/10.11501/3185540.
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Hung, Jui-Ping y 洪瑞苹. "Revisiting Mean Reversion in G-7 Stock Prices－Threshold Unit Root Test". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/62928787402696288050.
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碩士逢甲大學
金融碩士在職專班
100
In this study, we use the threshold unit root test proposed by Caner and Hansen (2001) to re-investigate the time-series properties of stock prices for the G-7 stock markets during the 2000.01 to 2009.05 period. The empirical results from our threshold unit test indicate that the null hypothesis of I(1) unit root in stock prices can not be rejected for any of the G-7 countries, with the exception of France. Our results highlight the weak-form efficient market hypothesis does hold in these G-7 stock markets, with the exception of the French market.
38
Wu, Wei-Lun y 吳瑋倫. "Gibbs sampling''s application in censored regression model and unit root test". Thesis, 2005. http://ndltd.ncl.edu.tw/handle/33218187884988553279.
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碩士國立中山大學
經濟學研究所
93
Abstract Generally speaking, when dealing with some data, our analysis will be limited because of the given data was incompletely or hidden. And these kinds of errors in calculation will arrive at a statistics answer. This thesis adopts an analysis based on the Gibbs sampling trying to recover the part of hidden data. Since we found out whether time series is unit root or not, the effects of the simulated series will be similar to the true value. After observing the differences between the hidden data and the recovered data in unit root, we noticed that the hidden data has a bigger size and a weakened power over the recovered data. Finally, as an example, we give the unsecured loans at the Japanese money market to prove our issues by analyzing the data from January, 1999 to July, 2004. Since we found out that the numerical value of loan is zero at several months these past several years. In order to observe the Japanese money market, if we substitute the data of zero loan and use the traditional way to inspect unit root without taking model of average value into account, the result will be I(0). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market without taking model of average value into account, the result will be I(0) also. But if we take model of average value into account, the of the Japanese Money Market will be I(1). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market, the result will be I(I) also.
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Zhang, Jun Xian y 張君賢. "Structural break unit root test with an application to purchasing power parity". Thesis, 1996. http://ndltd.ncl.edu.tw/handle/58378621593470580667.
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Ho, Yi-Lin y 何宜霖. "Income Convergence of China revisited: Evidence from panel unit root test with breaks". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/00082942752025091560.
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碩士淡江大學
產業經濟學系碩士班
98
Since China has rapid growth by the open-door economic reforms of the late 1970s, a number of studies have argued that this outstanding economic growth might cause the unbalanced development with and within regions. In this study, we re-investigate whether provincial-level incomes in China continue to diverge or converge by the newly developed panel LM unit root test, which allows for considering structural breaks endogenously. In order to make a comparison, we also implement conventional methodology without consideration of breaks. The results show that it provides different outcomes when we consider structural breaks endogenously corresponding to, as Perron (1989) suggested, the misleading results if there is no consideration of structural breaks. More importantly, the results suggest that the income convergence should exist among Chinese provinces and that the occurrence of break timing. Furthermore, we apply panel KPSS unit root test, which has an opposite null hypothesis to panel LM unit root test, to examine the main results for providing more powerful and robust test statistics, and the outcomes indicate the consistent results. The result of existence of convergence in China is quite different from the public views. However, this might indicates that the policy of West Development eliminates the difference among provinces.
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Lin, Shi Chang y 林世昌. "Unit Root Test with Structural Change : An Application of Smooth Transition Regression Model". Thesis, 1995. http://ndltd.ncl.edu.tw/handle/69812162095445520289.
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Hu, Hsin-Yu y 胡欣瑜. "Re-examining the Purchasing Power Parity──An Application of the Covariate Fourier Unit Root Test". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/mkbueh.
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碩士國立暨南國際大學
經濟學系
104
After Bretton Woods system collapsed, during the post-1973 flexible exchange rate period , Purchasing Power Parity become important and attracted a lot of attention. Because PPP can be served as a forecasting guideline for future exchange rate movements, many economists develop new unit root test to examine on the issue. This study examines Purchasing Power Parity by employing the Covariate Fourier unit root test proposed by Tsong et al.(2013),the feature of this test includes：(1) using covariates to boost the testing power;(2) employing the Fourier form to accommodate possible trend breaks of unknown number, unknown dates, and unknown form ; (3) considering possible asymmetric STAR adjustments under the alterative;(4) can be suitable for nonlinear variables. The data we adopted between 1973Q1 and 2014Q4 from International Financial Statistics ,includes developed countries and developing countries, for 32 countries. Our empirical results show that the CFF test has higher power than traditional univariate tests, through adding covariate to model, especially taking nominal exchange rate as covariate, the number of countries supports PPP is 15 ,and only 5 countries have mean-reverting real exchange rate.
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Batbayar, Naranbaatar y 納巴. "Real Interest Rate Parity in the Northeast Asian countries:Evidence from the Quantile Unit Root Test". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/8cs7a7.
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碩士中國文化大學
全球商務碩士學位學程碩士班
105
ABSTRACT The main purpose of examining real interest rate parity (RIRP), focus on explore more evidence from the quantile unit root test. This study applies the Quantile unit root test to assess the validity of the RIRP for Northeast Asian countries (including Russia, Mongolia, Mainland of China, South Korea and Japan) relative to the USA. In this paper, I examine the validity of RIRP from the nonlinear point of view and evidence obviously indicates that RIRP holds true for two countries. It implies that the operations and effectiveness of the monetary policies in these countries will be highly influenced by the exterior factors originating from the USA. At the same time, my results point out their real interest rate convergence relative to the USA is mean reversion towards RIRP equilibrium values in a nonlinear way. The time series of all the countries from ADF and PP tests are non-stationary. By contrast, the KPSS tests with constant reject the stationary for all countries. According to QKS, RIRP of Japan and Russia are affected by USA. Meanwhile, China, South Korea and Mongolia do not support RIRP. Furthermore, central bank of China, South Korea and Mongolia could be pursue their independent monetary policies means that central bank does not follow market mechanism. In this paper focus on those countries that uses the macroeconomic variables includes consumer price index (CPI), inflation rate (INF), nominal interest rate (NIR), real interest rate (RIR) and real interest rate parity (RIRP). The data are collected at monthly started period for these countries are different cause the data availability, and the end of the sample is 2015M12 for all countries. Keywords: Real Interest Rate Parity, mean reversion, Quantile Unit Root Test
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Li, Mao-Ning y 李茂寧. "A stochastic unit root test under the existence of correlation between disturbing term and errors". Thesis, 2019. http://ndltd.ncl.edu.tw/handle/62bq4s.
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碩士國立中山大學
經濟學研究所
107
In this paper, we attempted to find out a new stochastic unit root test under the existence of correlation between disturbing term and errors in the model. From the past literatures, we observe that these test statistics of STUR lack to consider the correlation between disturbing term and errors in the regression due to the null hypothesis. Therefore, in this paper, we use the regression which contains the correlation between disturbing term and errors. After finding out the test statistic, we use the Monte Carlo method to support our theorem. And, we notice that the power of statistic only affected by the variance of disturbing term. Compare to the other stochastic unit root test, the performance of power doesn''t as good as expected. The reason of result may owing to single variable test which is the variance of disturbing term that we focus on. We didn''t consider the variable which is the combination of correlation and variance of disturbing term in the regression as well. If we change to multiple regression analysis, the performance of power may better than this one.
45
Chen, Chien-Ming y 陳建銘. "Analyzing the feasibility of Asian Currency Unit using real interest rate differentials-Evidence from unit root test against asymmetric STAR nonlinearity". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/58354792514451688371.
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碩士國立高雄應用科技大學
金融資訊研究所
98
From the view of macroeconomic and financial preconditions, both closely intraregional trade partnership and highly financial integration are important while a monetary union is considered in an area. Therefore, under the circumstances of frequent of economic and trade exchange between intra-Asia, it’s conducive that investigating the degree of financial integration will lead us to estimate the feasibility of monetary union in Asia .This study analysis degree of financial integration by testing the real interest rates parity(RIPH) over the period 1980M1 to 2009M12 in twelve Asian countries in connection with average ASEAN+3, Japan and China, namely Taiwan, Thailand, Singapore, Philippines, Lao, Korea, Indonesia, Hong Kong, Cambodia, Myanmar and Vietnam. We apply more powerful unit root test developed by Sollis(2009) that considered real exchange rate might expect asymmetric adjustment, and unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregression nonlinearity. we also compare with traditional unit root test and KSS(Kapetanios et al., 2003) nonlinear unit root test. The result shows that AESTAR test and KSS test support the real interest rates differential are stationary, and most real exchange rate behaved symmetric adjustment in our sample. It’s indicated that Asia has promoted financial integration by frequent trade exchange, and it’s contributed to macroeconomic condition converge across countries, hence bring positive effect to create monetary union.
46
Hsu, Yi-Hao y 許玴豪. "a reexamination of foreign exchange market efficiency - application of panel unit root test with structural breaks". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/73673599531809858962.
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碩士國立暨南國際大學
國際企業學系
98
In an efficient forward exchange market, the forward rate must be the unbiased estimator of future spot rate. Numerous researchers apply cointegration test to investigate the long-run relationship between spot exchange rate and forward exchange rate. Similarly, several other studies employ unit root test to examine the stationarity of forward premium. But less attention has been paid to the presence of structural breaks in the time series. This paper employs the panel unit root test proposed by Carrion-i-Silvestre et al. (2005) which consider multiple structural breaks to reexamine forward exchange market efficiency. The result demonstrate that the null hypothesis of panel stationarity for forward premiums of 15 countries can not be rejected, which in turn supports the hypothesis of foreign exchange market efficiency.
47
I-CHUAN, YANG y 楊宜娟. "A Re-examination in the Relative Parities of Real Interest Rate with Panel Unit Root Test". Thesis, 2001. http://ndltd.ncl.edu.tw/handle/65067384339430010088.
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Yu, Chia-Fen y 俞佳芬. "The efficiency test of stock price indexes in Asian emerging markets:. applying the panel unit root test with multiple structural breaks". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/34578160583155305356.
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碩士淡江大學
財務金融學系碩士班
94
This paper applies random walk hypothesis to investigate whether stock-price indexes of nine Asia emerging markets can be characterized as random walk (unit root) or mean reversion processes. A more powerful test which allows for the presence of multiple structural breaks in the underlying series developed by Carrion-i-Silvestre, del Barrio and López-Bazo (2005) is employed. Results provide strong support for the random walk hypothesis.
49
Chang, Fu-Chien y 張馥千. "Mean Reversion of Interest Rates: Further Evidence based on a Unit Root Test with a Fourier Function". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58087956651531274053.
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碩士逢甲大學
統計與精算所
100
In this empirical study, we applied a unit root test with a Fourier function to re-examine the mean reversion properties in the interest rates for the G-7 countries over the period 1980M1 to 2010M12. The empirical results from several conventional unit root tests indicate that interest rates in all of the G-7 countries are non-stationary. However, when conducting the unit root test with a Fourier function, we found that, with the exception of Germany and Italy, all the interest rates were stationary. These results have important policy implications for the G-7 countries.
50
Huang, Yu-Zhen y 黃于甄. "Using a TAR model with an autoregressive unit root to test random walks in Taiwan stock market". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/46665101097041027580.
Texto completoResumen
碩士朝陽科技大學
保險金融管理系碩士班
100
This study investigates the behavior of the stock sectors indices for the Taiwan stock market for the period from 2003 to 2011.Select the Taiwan Weighted Stock Index, financial stocks, and 14 files of the financial holding stock index for the study the subject. Using traditional liner unit root and unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen (2001). Our main findings is that the Taiwan stock exchange capitalization weighted stock index (TAIEX) is a non-linear stationary series and Taiwan stock market prices do not follow random walks.