Further investigation of the uncertain unit root in GNP by Yin-Wong Cheung

Cover of: Further investigation of the uncertain unit root in GNP | Yin-Wong Cheung

Published by City University of Hong Kong, Department of Economics and Finance in Kowloon, Hong Kong .

Written in English

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Subjects:

  • Econometrics.,
  • Gross national product -- Econometric models.

Edition Notes

Includesbibliographical references (p18-19).

Book details

StatementYin-Wong Cheung and Menzie D. Chinn.
SeriesWorking paper series (City University of Hong Kong. Department of Economics and Finance) -- no.88
ContributionsChinn, Menzie David., City University of Hong Kong. Department of Economics and Finance.
The Physical Object
Pagination33p. ;
Number of Pages33
ID Numbers
Open LibraryOL16573919M

Download Further investigation of the uncertain unit root in GNP

Further Investigation of the Uncertain Unit Root in GNP It is a slightly revised version of the introductory chapter to our book, Business Cycles: Durations, Dynamics, and Forecasting (Diebold. Further Investigation of the Uncertain Unit Root in GNP The Nelson–Plosser finding of a unit root in real U.S.

GNP is re-examined using additional data sets and a new statistical test The. Further Investigation of the Uncertain Further investigation of the uncertain unit root in GNP book Root in Gnp.

UCSC Dept. of Economics Working Paper For quarterly data, these two unit root tests do not provide a definite conclusion regarding the existence of a unit root in GNP data.

In contrast, when analyzing annual data over the period, we obtain very sharp results: The unit Cited by: Downloadable. This paper adopts a different approach to the study of the persistence of U.S. GNP. First, this paper uses a more powerful version of the ADF test developed by Elliot, Rothenberg and Stock ().

Second, we also examine the results from a unit root test that has trend stationarity as the null (Kwiatkowski et al., ). Third, simulated critical values generated from plausible. Cheung, Yin-Wong & Chinn, Menzie D, "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol.

15(1), pages 68. Get this from a library. Further investigation of the uncertain unit root in GNP. [Yin-Wong Cheung; Menzie Chinn; National Bureau of Economic Research.] -- A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S.

GNP. Simulated critical values generated from plausible trend and difference stationary. Get this from a library.

Further Investigation of the Uncertain Unit Root in GNP. [Menzie D Chinn; Yin-Wong Cheung; National Bureau of Economic Research.;] -- A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S.

GNP. Simulated critical values generated from plausible trend and difference stationary. Further Investigation of the Uncertain Unit Root in GNP. (). Further Investigation of the Uncertain Unit Root in GNP. Journal of Business & Economic Statistics: Vol. 15, No. 1, pp.

Cited by: For quarterly data, these two unit root tests do not provide a definite conclusion regarding the existence of a unit root in GNP data, thereby confirming Rudebusch's () results. In contrast, when analyzing annual data over the period, we obtain very sharp results: The unit root null is rejected, while the trend stationary null is : Yin-Wong Cheung and Menzie Chinn.

Further investigation of the uncertain unit root in GNP. / Cheung, Yin-Wong; Chinn, Menzie D. In: Journal of Business and Economic Statistics, Vol. 15, No. 1, e32 investigation uncertain unit root gnp unit root gnp data trend stationarity unit root test finite sample difference stationary model definite conclusion nuisance parameter powerful version different approach quarterly data period trend stationary null unit root null possible bias alternative-specific power adf test post-war.

Further investigation of the uncertain unit root in GNP Yin-Wong Cheung and Menzie Chinn Improved Score Tests for One-parameter Exponential Family Models Silvia Ferrari, Gauss Cordeiro, Miguel Uribe and F. Cribari-Neto On Bartlett and Bartlett-Type Corrections F. Cribari-Neto and G.M.

Cordeiro. This book is licensed under a Creative Commons Attribution License Innovation is the process of “making improvements by introducing something new” to a system. To be noteworthy, an innovation must be substantially different, not an insignificant change or adjustment.

It is worth noting that innovation is more a verb than a noun in our. Root Words Unit 3. STUDY. PLAY. AMBI/AMPHI "on both sides" or "around" Ambiguous (adj): 1. doubtfully or uncertain especially from being obscure or indistinct. unclear in meaning because of being understandable in more than one way 1.

involving an assumption made for the sake of argument of for further study or investigation. imagined. Further investigation of the uncertain unit root in GNP. Journal of Business and Economic Statistics, 15, Dickey, D. A., & Fuller, W.

Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74,   Y-W. Cheung, M.D. ChinnFurther investigation of the uncertain unit root in GNP Journal of Business and Economic Statistics, 15 (), pp.

View Record in Scopus Google Scholar. Cheung, Y. M.D. Chinn (), “Further investigation of the uncertain unit root in GNP,” Journal of Business and Economic Statistics, 15, 68– Google Scholar Chow, G. (), “Tests of equality between sets of coefficients in two linear regressions,” Econometrica, 28, – The uncertain unit root in real GNP Glenn D.

Rudebusch in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), Further evidence on business cycle duration dependence Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel in Working Papers, Federal Reserve Bank of Philadelphia,   Olivier Darné The uncertain unit root in real GNP: A re-examination, Journal of Macroeconom Yin-Wong Cheung, Menzie D.

Chinn Further Investigation of the Uncertain Unit Root in GNP, Journal of Business & Economic Statistics   The Great Stagnation, a 15, word e-book by economist Tyler Cowen, has become the most discussed non-fiction book of the year.

The main thesis of the book is that advanced economies, particularly the American economy, have been facing low rates of growth because they have not experienced any scientific or technological paradigm shifts (to use User rating: /5.

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(ii) The unit should employ ten or more workers in a manufacturing process with power, or at least twenty workers without power.

a unit root was rejected. ‘rests for a unit root in the inflation process are inconclusive: the Dickey-Fullem’ test rejected the unit root hypoth-esis, but the augmented Dickey-Fuller test failed to do so. It is well known that tests for a unit root have low power when the alternative is a root close to but less than one.

Moreover, the. Research Papers. Diebold, F.X. (), “ Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession,” NBER Working Paper. 2 table of contents i.

the mission 3 goal and objectives 3 members & method of work 3 ii. major findings 4 the virus 4 the outbreak 5 the transmission dynamics 9 the signs, symptoms, disease progression and severity 11 the china response 14 knowledge gaps 16 iii.

assessment 16 the china response & next steps 16 the global response & next steps 18 iv. major recommendation. “The Uncertain Unit Root in Real GNP.” The American Economic Rev Marchpp. “Further Evidence on Business-Cycle Duration Dependence.” in Business Cycles, Indicators, and Forecasting, ed.

by M. Watson and J. Stock,University of Chicago Press for the NBER, pp. (with Francis X. Diebold and Dan Sichel). In this article, we’re going to introduce to you a relatively standard process for conducting an incident investigation.

While we think you’ll find this article and method helpful, know that you may also want to explore an alternative method of incident investigation that uses a learning team. An incident investigation is something you (and/or others in your company) should perform when. In this paper we compare ways of computing stationarity tests.

We show that whereas some of the procedures recommended lead to inconsistency of the tests, it is still possible to compute a test with good properties in finite sample in terms of empirical size and power. The guidance suggested in the paper is illustrated by testing for the purchasing power parity hypothesis in some developed.

Table 1, Table 2 report the country-by-country and panel data test statistics, respectively, for the unit root and stationarity tests that do not allow for the presence of structural breaks.

Following Gerdtham and Löthgren (), we have specified p max ⁡ = 8 as the maximum lag order for the autoregressive correction, and the final number of lags is fixed according to the t-sig criterion.

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For a statistical analysis of the time series properties of real GNP over a long span, see Cheung and Chinn, "Further investigation of the uncertain unit root in GNP," Journal of Business and.

This paper empirically investigates the short and the long run impact of public debt on economic growth. We use annual data from both the central and the peripheral countries of the euro area (EA) for the – period and estimate a production function augmented with a debt stock term by applying the Autoregressive Distributed Lag (ARDL) bounds testing approach.

The Uncertain Unit Root in Real GNP: Comment American Economic Review,86, (5), View citations (77) On Cointegration and Exchange Rate Dynamics Journal of Finance,49, (2), View citations () See also Working Paper ().

An Empirical Investigation of the Long Memory Effect on the Relation of Downside Risk and Stock Returns (C Y-H Chen and T C Chiang) Analysis of Sequential Conversions of Convertible Bonds: A Recurrent Survival Approach (L-J Kao, L-S Chen and C F Lee) Determinants of Euro-Area Bank CDS Spreads (M-E K Agoraki, D A Georgoutsos and G T Moratis).

This paper presents the results of the authors' statistical tests obtained by applying Granger's and Sims' techniques to an extended sample of monthly total employment, non-farm employment and energy data for the U.S. for the period from January to The results from Sims' test suggest that.

Unit root and cointegration tests are performed. While no causality from energy consumption to employment is found, a reverse causality from employment to energy consumption is detected. This study implies that a reduction in energy consumption may reduce air pollution and preserve clean air, yet it may not cause major changes in the level of.

This paper examines the dynamic causal relationship between carbon dioxide emissions, energy consumption, economic growth, foreign trade and urbanization using time series data for the period of Short-run unidirectional causalities are found from energy consumption and trade openness to carbon dioxide emissions, from trade openness to energy consumption, from carbon dioxide.

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You'll need to do a. Walter Enders, C. W. J. Granger Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates, Journal of Business & Economic Statist no.3 3 (Jul ): –  On the practical side, the treatment of autocorrelation in unit root equations neglects the importance of structural cycles by treating the MA (q) process as an infinite AR process and thus conflating the AR and MA components.(3) Finally, the common finding of a unit root and a significant time trend in unit root tests casts doubt on the validity of such tests.

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