3 resultados para UNIT ROOTS

em Dalarna University College Electronic Archive


Relevância:

100.00% 100.00%

Publicador:

Resumo:

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Relevância:

100.00% 100.00%

Publicador:

Resumo:

This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

The study aimed at getting a grass root opinion on poverty and why Ghana is still poor after 50 years of independence in spite of her richness in natural resources, second largest producer of cocoa in the word and appreciable stable political environment. The opinions of the ordinary people in the Bia district and their observed living conditions was analysed in line with theoretical basis of the study and previous studies to justify the stance that poverty should be considered as an abuse of human rights. It was concluded based on position of informants and previous data available that though many factors have been raised by previous scholars as the cause of poverty, the actions and inactions of both internal and external power-holders is the main source of poverty in Ghana. It was proposed that for poverty to be reduced in a sustainable way there should be strong civil society groups and active citizens through civic education to hold power-holders accountable. Until the actions and inactions of power-holders which have subjected many Ghanaians into intergenerational poverty are seen as human rights abuse, the rights of many Ghanaians would be constantly abused. This will eventually defeat the promotion of human rights culture in Ghana.