A Near Unit Root Test for High-Dimensional Nonstationary Time Series

A new non-parametric subspace-based approach is introduced for unit root test in AR(1) process. The proposed approach contains block-bootstrap and spectrum properties of a time series as well as statistical testing methodology. The simulation result validates the proposed test and indicates its superiority compared with other existent procedures.

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DAMPAK TINGKAT SUKU BUNGA KREDIT, INFLASI DAN PERTUMBUHAN EKONOMI TERHADAP JUMLAH KREDIT BANK UMUM SWASTA NASIONAL YANG DISALURKAN DI INDONESIA

ECOPLAN : JOURNAL OF ECONOMICS AND DEVELOPMENT STUDIES ◽

10.20527/ecoplan.v2i1.16 ◽

2019 ◽

Vol 2 (1) ◽

pp. 33-44

Author(s):

Muhammad Rizki Saputra ◽

Ryan Juminta Anward ◽

Rizali Rizali

Keyword(s):

Economic Growth ◽

Time Series ◽

Interest Rate ◽

Unit Root ◽

Unit Root Test ◽

Statistical Test ◽

Economic Variable ◽

Quarterly Data ◽

Private Banks ◽

Econometric Technique

The objective of this research is to (1) analyse the influence of loan interest rate, inflation and economic growth to loans disbursed by national private banks in Indonesia. This research uses quarterly data for ten years from 2007 to 2016. The methodology used in this research is time series econometric technique which is the unit root test, statistical test and classical assumption test. The result of this research shows that loan interest rate and inflation variable have a negative correlation and statistically is not significant to loans that disbursed by national private banks in Indonesia. While Indonesian economic growth and global economic variable have a positive correlation and statistically is significant to loans that disbursed by national private banks in Indonesia.

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Purchasing Power Parity in Commonwealth of Independent States

International Conference on Eurasian Economies 2014 ◽

10.36880/c05.01011 ◽

2014 ◽

Author(s):

Gülçin Güreşçi Pehlivan ◽

Esra Ballı ◽

Muammer Tekeoğlu

Keyword(s):

Time Series ◽

Panel Data ◽

Cross Section ◽

Purchasing Power Parity ◽

Unit Root ◽

Unit Root Test ◽

Purchasing Power ◽

Power Parity ◽

Panel Unit Root ◽

Independent States

The Purchasing Power Parity suggests that differences in relative prices in two countries move together with nominal exchange rates in the long run. This study examines the validity of PPP as transition economies for Commonwealth of Independent States (CIS). Purchasing Power Parity holds only when the real exchange rate is stationary in the equation. To test the stationary, we used both time series and panel data analysis. Testing unit root both with time series and panel data in this study, provides us double check of the results. We also test the cross sectional dependence to choose the appropriate panel unit root test. Our test statistics indicate that there is cross section dependence between countries. Hence, one needs to take into consideration the cross section dependence while undertaking unit root tests. Otherwise, the results would be biased. ADF and KPPS indicate that PPP cannot be accepted for the countries except for Russia. According to the panel unit root test results indicate that PPP does not hold for Armenia, Belarus, Georgia, Kazakhstan and Kyrgyzstan except for Russia.

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Forecasting Import Demand of Table Grapes: Empirical Evidence from Thailand

Asian Journal of Agriculture and Rural Development ◽

10.18488/journal.ajard.2020.102.578.586 ◽

2020 ◽

Vol 10 (2) ◽

pp. 578-586

Author(s):

Chalermpon Jatuporn ◽

Patana Sukprasert ◽

Siros Tongchure ◽

Vasu Suvanvihok ◽

Supat Thongkaew

Keyword(s):

Time Series ◽

Empirical Evidence ◽

Unit Root ◽

Moving Average ◽

Unit Root Test ◽

Import Demand ◽

Forecasting Model ◽

Autoregressive Integrated Moving Average ◽

Table Grapes ◽

Monthly Time Series

The purpose of this study is to forecast the import demand of table grapes of Thailand using monthly time series from January 2007 to April 2020. The ADF unit root test is used for stationarity checking, and seasonal autoregressive integrated moving average (SARIMA) is applied to forecast the import demand of table grapes. The results revealed that the integration of time series was in the first difference for non-seasonal and seasonal order. The best-fitted forecasting model was SARIMA(1,1,3)(2,1,0)12. The forecasted period for the next eight months showed the import demand of table grapes of Thailand that is slightly decreased by an average of 11.398 percent, with overall expected to decrease by an average of 15.218 percent in 2020.

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Economic Growth, Inflation and Monetary Policy in Pakistan: Preliminary Empirical Estimates

Review of Applied Management and Social Sciences ◽

10.47067/ramss.v4i2.132 ◽

2021 ◽

Vol 4 (2) ◽

pp. 321-333

Author(s):

Hina Ali ◽

Malka Liaquat ◽

Noreen Safdar ◽

Saeed ur Rahman

Keyword(s):

Time Series ◽

Monetary Policy ◽

Unit Root ◽

Time Series Data ◽

Unit Root Test ◽

Series Data ◽

Economic Activities ◽

Data Set ◽

Explanatory Variables ◽

Empirical Estimates

In economic policy, construction Inflation is a core variable to be considered that determines the economic activity. To make a suitable monetary policy, it is very essential to check the price level and later on, many other variables are considered to achieve the goal. This study aims to reveal the affiliation of inflation on the growth of economic activities in Pakistan. Time series data set for the period 1989-2020 was used to have the empirical estimates. Augmented Dickey Fuller Unit Root Test is employed to check the unit root of the time series and Auto Regressive Distributive Lag techniques are used for empirical estimates. The present research uses Inflation as a dependent variable and Gross Domestic Product, Interest Rate, Money Supply, and Exchange Rate as the explanatory variables of the study. The findings of this analysis reveal that there's an antagonistic relation between Inflation and GDP.

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