Augmented Dickey Fuller

This paper analyzes and employs two versions of the Functional Central Limit Theorem within the framework of a unit root with a structural break. Initial attention is focused on the probabilistic structure of the time series to be considered. Later, attention is placed on the ...

The study empirically examines the effect of subsidies on the consumption of petroleum products in Nigeria for the period of 1970 to 2007. The study employs Augmented-Dickey Fuller (ADF) test for unit root, Engle and Granger (1987) approach for cointegration and Error Correction Model (ECM) for correcting disequilibrium. The ADF test suggests that the variables are mean reverting series after first order difference. The results of the cointegration and ECM confirm that a stable, long-run relationship exists between the demand for petroleum products and their respective determinants: subsidies, real income, prices of the products, prices of substitutes and population. The empirical results show that the elasticity of own and substitutes’ prices are negative, while the own price of diesel, subsidy, real income and population coefficients are positive. Meanwhile, the coefficient of subsidy on gas demand is negative. Hence, the removal of subsidy from petroleum products is not the probl...

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Sustainability tests often ignore the joint dynamics of stock and flow variables. This paper shows that such a practice leads to inappropriate statistical inference, and that taking into account this joint dynamics when testing for unit root induces large power gains. This paper introduces a new statistics denoted FADF (Feedback augmented Dickey Fuller), which fully combines feedback effects and covariates. The paper derives the limit distribution of the test statistic and comments on the asymptotic power functions. A simulation study and an empirical application based on US public debt sustainability illustrate the potential of this approach.

PurposeThe purpose of this paper is to investigate the relationship between income inequality and economic growth, both in linear and non‐linear specifications.Design/methodology/approachThe paper has employed annual time series data over the period of 1971 up to 2005. Autoregressive distributed lag model (ARDL) bounds testing approach has been used for cointegration and error correction model for short run behavior. Unit root problem is handled by the use of augmented Dickey‐Fuller unit root test.FindingsThe analysis findings are sharply contrasted to the significant association between income inequality and economic growth found in 1994 by Alesina and Roderick and by Persson and Tabellini. The empirical evidence provides support for the existence of Kuznets inverted‐U as well as inverted S‐shaped curve in Pakistan.Practical implicationsThis paper opens up new directions for policy‐making authorities to equalize income distribution in the case of a small transition economy like Pak...

Abstract: The study critically analyzed the dynamic and simultaneous inter-relationship between inflation and its determinants in Nigeria between 1970 and 2007. The time series variables properties were examined using the Augmented Dickey Fuller (ADF) unit root test and the result ...

The study is an empirical evaluation of specific criminal activities. The relationship of criminal activities with inflation, unemployment, investment, education and health are examined through an annual data set from 1980 to 2007. To test the order of integration, Augmented Dickey Fuller test and Philips Perron are used. To find the evidences of long run relationship, Cointegrating Regression Durban Watson, Engle Granger two step procedure and Johansen and Juselis method is used. Results show that education and health have a positive and significant relationship with most of the criminal activities in the study. Another unusual finding is that inflation and unemployment are insignificant in case of two out of three crimes, however, investment is found highly significant and negatively related with these crimes. The study indicates that an educated, healthy and legally employed person can also be involved in unsophisticated blue collar criminal activities.

ABSTRACT The paper investigates the existence of long-run relationships among settlement prices of the three major currency futures, namely Duetsche Mark, Japanese Yen and British Pound, in the currency futures market of the Singapore International Monetary Exchange. Tests of cointegration and vector autoregressive relationships among the variables are conducted. The stationarity property of each series is tested using the augmented Dickey-Fuller test, from which it is found that each of the series is non-stationary. A cointegrating relationship among settlement prices is examined for the underlying long-run economic relationships. Cointegration tests and vector autoregressive models of the rates of return were unable to establish any long-run relationships among the variables. Thus, there is no empirical evidence, in general, indicating that long-run relationships exist among the settlement prices for individual currency futures in Singapore.

In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.

We propose to combine recent developments in univariate and mul- tivariate unit root testing in order to construct a more powerful panel unit root test. We extend the GLS-detrending procedure of Elliott, Rothenberg and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for small panels. We then investigate the topic of Purchasing Power Parity for the post Bretton-Woods period via this new test. The results show strong rejections of the unit root hypothesis.

The study empirically examines the effect of subsidies on the consumption of petroleum products in Nigeria for the period of 1970 to 2007. The study employs Augmented-Dickey Fuller (ADF) test for unit root, Engle and Granger (1987) approach for cointegration and Error Correction Model (ECM) for correcting disequilibrium. The ADF test suggests that the variables are mean reverting series after first order difference. The results of the cointegration and ECM confirm that a stable, long-run relationship exists between the demand for petroleum products and their respective determinants: subsidies, real income, prices of the products, prices of substitutes and population. The empirical results show that the elasticity of own and substitutes’ prices are negative, while the own price of diesel, subsidy, real income and population coefficients are positive. Meanwhile, the coefficient of subsidy on gas demand is negative. Hence, the removal of subsidy from petroleum products is not the probl...

In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit dependence.

Abstract: The study critically analyzed the dynamic and simultaneous inter-relationship between inflation and its determinants in Nigeria between 1970 and 2007. The time series variables properties were examined using the Augmented Dickey Fuller (ADF) unit root test and the result ...

The paper empirically examines the effects of real exchange rate on trade balance in Nigeria. The econometric diagnostics for presence of unit roots in the series was conducted using the Augmented Dickey-Fuller technique. The results indicate that all the variables are integrated of order one while the major Error Correction terms ( and ) are integrated of order zero, which

Instead of just fixing a priori the level p of lags in the augmented Dickey–Fuller (ADF) test for unit root, it is a common habit in applied works with macroeconomic data to choose p by means of some information criteria like AIC, SIC or HQIC. Other data-dependent rules are based ...

... Journal of Economic Theory , 5: 258–66. [CrossRef], [Web of Science ®] View all references) and Abel (19831. Abel, AB. ... After establishing the stationarity of the data, Johansen's cointegration test (Johansen, 19888. Johansen, S. 1988. Statistical analysis of cointegration vector. ...

This paper examines the long-run equilibrium relationship between total petroleum products consumption and economic growth in India for the period 1970–1971 to 2001–2002 using cointegration and error-correction modeling approach. Augmented Dickey–Fuller tests reveal that both the series, after logarithmic transformation, are non-stationary and individually integrated of order one. The empirical results suggest that the series are cointegrated. The ‘long-term demand

The extent of Arctic sea ice is a fundamental parameter of Arctic climate variability. In the context of climate change, the area covered by ice in the Arctic is a particularly useful indicator of recent changes in the Arctic environment. Climate models are in near universal agreement that Arctic sea ice extent will decline through the 21st century as a consequence of global warming and many studies predict a ice free Arctic as soon as 2012.

Since 1990, the European Union (EU) is New Zealand’s second biggest trading partner after Australia. New Zealand’s exports to the EU are mainly in agricultural products, such as sheep-meat, butter, venison, kiwifruit, apples, wools, hides and skins. New Zealand, on the other hand, imports high-technological products from the EU, such as cars, aircraft, telephone equipment, etc. However, the introduction of the European single currency, the euro on January 1999 could signifi cantly impact business and/or trading relations between New Zealand and the EU because of the close trade relations between New Zealand and the EU. This paper examines whether the introduction of the euro resulted in structural changes on New Zealand import and export relations with the EU-15 member states. The research uses the Augmented Dickey-Fuller (ADF) unit root tests to test the order of integration of the import and export variables and whether all the variables are integrated in the same level, I(1). In ...

The paper empirically examines the effects of real exchange rate on trade balance in Nigeria. The econometric diagnostics for presence of unit roots in the series was conducted using the Augmented Dickey-Fuller technique. The results indicate that all the variables are integrated of order one while the major Error Correction terms ( and ) are integrated of order zero, which confirms the existence of long-run equilibrium on the basis of Engel-Granger approach to cointegration. The results of causality test indicate weak evidence of causality between real exchange rate and trade balance. The error-correction model estimates provide evidence in support of restoration of long-run equilibrium after short-run distortion. However, the impulse response function does not establish the existence of J-Curve effect in Nigeria. The implication of the study is that real exchange rate adjustment alone may not ensure favourable balance of trade in Nigeria. Consequently, the study recommends that ex...

Flue cured tobacco has been an important crop for the Zimbabwean economy historically in terms of foreign currency earnings and employment creation. Between 1980 and 2000, there is a general increase in tobacco output, followed by a sharp decline from 2001 up to 2008 and then output starts to increase again. Flue cured tobacco output as measured by the quantity that is delivered to the auction floors is used to estimate supply elasticity. The objective is to determine if flue-cured tobacco supply is price elastic and whether price incentives alone will boost supply in the short -run. Time series data on flue cured tobacco output, prices, production costs, prices of major competing crops, the exchange rates and inflation are analysed to model the price elasticity of flue cured tobacco between 1980 and 2010. The Augmented Dickey –Fuller unit root test is performed to test the variables for stationarity. The data generating processes show these data series to be non-stationary and therefore OLS estimations would be biased. The data series are differenced and the Engel-Granger procedure is performed to test for cointegration. The Error Correction Model approach is used to estimate flue cured tobacco supply. Flue cured tobacco supply is found to be price inelastic in the short –run.

The opening of markets in different emerging countries during the 80s and 90s culminated in the influx of savings or funds from different countries that are developed. This certainity makes the stock exchange a significant financial operation for brokers to benefit from it. A constant or progressive linkage occurs between the developed and developing economies. Due to a higher degree of transparency and developed economies, the flow of information from them in various time zones has a huge influence on our domestic economy. The present study investigates the inter dependence among global markets and finding a relationship between them using econometric models based on secondary data. This report combines knowledge from three capital markets: FTSE, S&P 500 Index and the NIFTY50 from the years of 2008-2018. The study employs multiple econometric models on weekly closing prices to analyze the relation between the global markets in long run and short run and also discuss the impacts and future of the financial market.