Структурные сдвиги и тестирование на единичный корень (Structural Breaks and Unit Root Testing

2020 ◽  
Author(s):  
Anton Skrobotov
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Unit Root Testing

scholarly journals Smooth Break Detection and De-Trending in Unit Root Testing

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 371
Author(s):  
Furkan Emirmahmutoglu ◽  
Tolga Omay ◽  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Tests ◽  
Smooth Transition ◽  
Unit Root Testing ◽  
Augmented Dickey Fuller ◽  
Power Comparisons ◽  
Fourier Function ◽  
Unexpected Outcomes

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

scholarly journals Is It the Natural Rate Hypothesis or the Hysteresis Hypothesis for Unemployment Rates in Newly Industrialized Economies?

2019 ◽  
Vol 22 (4) ◽  
pp. 39-55
Author(s):  
Dieu Nsenga ◽  
Mirada Nach ◽  
Hlalefang Khobai ◽  
Clement Moyo ◽  
Andrew Phiri
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
The Philippines ◽  
Unit Root Tests ◽  
Natural Rate ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Testing Procedures ◽  
Unit Root Testing ◽  
Conventional Unit

The focus of our study is on determining whether unemployment rates in 8 New Industrialized Economies conform to the natural rate hypothesis or the hysteresis hypothesis. To this end, we employ a variety of unit of unit root testing procedures to quarterly data collected between 2002:q1 and 2017:q1. Summarizing of our findings, conventional unit root tests which account neither for asymmetries nor structural breaks produce the most inconclusive results. On the other hand, tests which incorporate structural breaks while ignoring asymmetries tends to favour the natural rate hypothesis for our panel of countries. However, simultaneously accounting for asymmetries and unobserved structural breaks seemingly produces the most robust findings and confirms hysteresis in all unemployment rates except for Asian economies/countries of Thailand and the Philippines.

scholarly journals The Effects of Structural Breaks on Energy Resources in the Long Run. Evidence from the Last Two Oil Price Crashes before COVID-19

Designs ◽  
2020 ◽  
Vol 4 (4) ◽  
pp. 49
Author(s):  
Pablo Cansado-Bravo ◽  
Carlos Rodríguez-Monroy
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Supply And Demand ◽  
Energy System ◽  
Fuel Oil ◽  
Future Price ◽  
Low Carbon ◽  
Unit Root Testing ◽  
Long Run

The course of events since 2014, including the worldwide pandemic of a coronavirus disease, have shown that oil market fundamentals have not always been clearly anticipated and that additional external factors, rather than those related to supply and demand, do play important roles in signaling future price changes. Within that complex setting, this study examined the influences of structural breaks on the long-term properties of Brent crude oil, gasoil, low-sulfur fuel oil, natural gas, and coal over the period 2002–2018. In an effort to assess the impacts of these structural changes, we identified time points at which structural break changes occurred and unit root properties using a representative variety of unit root testing alternatives. From the estimation results, we observed that only fuel oil and national balancing point (NBP) prices show evidence of mean-reverting behavior, suggesting that shocks to these two markets are short-lived when allowing for structural breaks. Although the idea of market forces bringing the non-renewable markets to their equilibrium in the long run makes the role of policy-making more challenging, it highlights the importance of the policy mix in the transition to a low-carbon energy system.

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