Browsing by Author "Sweeney, Richard J."

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    Real Exchange Rate Adjustment In European Transition Countries
    (2006) Sweeney, Richard J.; Maican, Florin G.; Department of Economics
    This paper presents unit-root test results for real exchange rates in ten Central and Eastern European transition countries during 1993:01-2003:12. Because of the shift from controlled to market economies and the accompanying crises, failed policy regimes and changes in exchange rate regimes, appropriate tests in transition countries require allowing for both structural changes and outliers. In both single-equation tests and panel tests with SUR techniques, the data reject the unit-root null for the CEE countries. Accounting for structural breaks and outliers gives much faster mean-reversion speeds than otherwise.
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    Rejection Probabilities for a Battery of Unit-Root Tests
    (2013-05) Maican, Florin G.; Sweeney, Richard J.; Dept of Economics, University of Gothenburg
    If the researcher tests each model in a battery at the a % significance level, the probability that at least one test rejects is generally larger than a %. For five unit-root models, this paper uses Monte Carlo simulation and the inclusion-exclusion principle to show for a %=5% for each test, the probability that at least one test rejects is 16.2% rather than the upper-bound of 25% from the Bonferroni inequality. It also gives estimated probabilities that any combination two, three, four or five models all reject.