The unit root hypothesis for aggregate output may not hold after all: new...

Southern Economic Journal;  January 1, 2007 ;     700+ words ......business cycles. Since the existence of a unit root in output purports that shocks are permanent...secular trend, is inconsistent with a unit root in output. On the contrary, the real...fail to reject the null hypothesis of a unit root in real U.S. GNP. These results have...

absolute value

A Dictionary of Physics;      31 words ...absolute value (modulus) The square root of the sum of the squares of the real numbers in a complex number , i.e. the absolute value of the complex number z = x + i y is | z | = √( x 2 + y 2 ).

Unit roots and infrequent large shocks: new international evidence on...

Journal of Money, Credit & Banking;  August 1, 1995 ;     700+ words ......real output is characterized by a unit root. Since Nelson and Plosser's (1982...Nelson and Plosser's finding of a unit root have been called into question on the grounds of the low power of the unit root tests. Rudebusch (1992) demonstrates...

RESTRICTED STRUCTURAL CHANGE AND THE UNIT ROOT HYPOTHESIS

Economic Inquiry;  October 1, 2007 ;     700+ words ......Nelson and Plosser could not reject the unit root hypothesis in favor of trend stationarity...stationarity. We propose new tests for a unit root in the presence of restricted structural...offsetting structural changes, we reject the unit root null in favor of restricted trend ...

(book review)

Journal of the American Statistical Association;  March 1, 2001 ;     700+ words ......discusses Wiener processes and their relevance for unit root and cointegration asymptotics. The coverage of univariate unit root tests in Chapters 3 and 4 is superb. There have been so many unit root tests proposed in the literature that the first...

Japanese Inventors Develop Absolute Value Signal Generation Method

US Fed News Service, Including US State News;  September 10, 2007 ;     290 words ......Fukuoka, Japan, have developed an absolute value signal generation method. According...memory operable to store a first absolute value signal produced every constant time period, the absolute value signal representing an absolute...

Unit root investigation of greek real money supply and GDP.

International Advances in Economic Research;  November 1, 2006 ;     700+ words ......are investigated for the presence of a unit root, allowing for maximum two breaks which...of time series for the presence of a unit root usually precedes the use of several econometric...be used to determine the presence of a unit root in a time series, are the ones proposed...

A multicountry characterization of the nonstationarity of aggregate...

Journal of Money, Credit & Banking;  February 1, 1990 ;     700+ words ......REPRESENTATION of real GNP contains a unit root or a deterministic linear trend has been...techniques strongly suggests the presence of a unit root, in that the autocorrelations of the...Nelson and Plosser (1982), who find that a unit root dominates a linear trend in nearly every...

Efficient Tests of Nonstationary Hypotheses.(research findings)

Journal of the American Statistical Association;  December 1, 1994 ;     700+ words ......ROBINSON [*] This article proposes tests for unit root and other forms of nonstationarity that...chi-squared distribution. Many existing unit root tests do not share these properties...differencing; Time series regression; Unit root. 1. INTRODUCTION The score, likelihood-rat...

Are real GDP levels nonstationary? Evidence from panel data tests.

Southern Economic Journal;  January 1, 2002 ;     700+ words ......important macroeconomic variables, and unit root tests are now a standard procedure in...this test has low power against near-unit-root alternatives. Recently, panel data procedures...increased power. This paper applies panel unit root tests to international real GDP and real...

Unit root tests, persistence, and the unemployment rate of the U.S....

Southern Economic Journal;  January 1, 2007 ;     700+ words ......that unemployment is characterized by a unit root, while persistence is characterized by a near unit root. In the latter case, shocks to unemployment...explaining the behavior of unemployment rates, unit root tests have been widely applied. The hysteresis...

An unbiased appraisal of purchasing power parity.

IMF Staff Papers;  September 1, 2003 ;     700+ words ......failed to reject the null hypothesis of a unit root in the real exchange rate against the...stationary autoregressive (AR) model. If the unit root model can characterize real exchange...developed in tandem with developments in the unit root econometrics literature, and has taken...

Determining the order of differencing in autoregressive...

Journal of Business & Economic Statistics;  January 1, 2002 ;     700+ words ......sequence, which begins with a test for a single unit root. KEY WORDS: Nonstationarity; Unit root tests. 1. INTRODUCTION The question of how...for forecasting, there appear to be uses for unit-root tests in investigating some economic hypotheses...

Are net discount rates stationary? The implications for present value...

Journal of Risk and Insurance;  September 1, 1994 ;     700+ words ......respect to changes in the form of the unit root test. As pointed out by Campbell and Perron (1991), the outcomes of unit root tests are often quite sensitive to...dependent upon the specification of the unit root test they performed. In particular...

Appraisal review tips for bankers: Part 5: Absolute value.(Commercial Real...

The RMA Journal;  December 1, 2005 ;     457 words ...Remember when you learned the concept of absolute value, in which a number between two bars...0 of a point on a number line? The absolute value is always a positive number (or zero...process is one such instance where absolute value has some applicability. When reviewing...