Browsing by Author "Narayan, Paresh"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • No Thumbnail Available
    Item
    Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
    (2009-09-11T08:04:50Z) Westerlund, Joakim; Costantini, Mauro; Narayan, Paresh; Popp, Stephan
    Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to develop three new seasonal unit root tests that allow for a break in both the seasonal mean and linear trend of a quarterly time series. The asymptotic properties of the tests are derived and investigated in small-samples using simulations. In the empirical part of the paper we consider as an example the industrial production of 13 European countries. The results suggest that for most of the series there is evidence of stationary seasonality around an otherwise nonseasonal unit root.
  • No Thumbnail Available
    Item
    Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
    (2009-09-11T08:20:42Z) Westerlund, Joakim; Narayan, Paresh
    In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.