Lyócsa, Štefan and Výrost, Tomáš and Baumöhl, Eduard (2011): Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries.
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The purpose of this paper is to explain both the need and the procedures of unit-root testing to a wider audience. The topic of stationarity testing in general and unit root testing in particular is one that covers a vast amount of research. We have been discussing the problem in four different settings. First we investigate the nature of the problem that motivated the study of unit-root processes. Second we present a short list of several traditional as well as more recent univariate and panel data tests. Third we give a brief overview of the economic theories, in which the testing of the underlying research hypothesis can be expressed in a form of a unit-root / stationary test like the issues of purchasing power parity, economic bubbles, industry dynamic, economic convergence and unemployment hysteresis can be formulated in a form equivalent to the testing of a unit root within a particular series. The last, fourth aspect is dedicated to an empirical application of testing for the non-stationarity in industrial production of CEE-4 countries using a simulation based unit-root testing methodology.
|Item Type:||MPRA Paper|
|Original Title:||Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries|
|Keywords:||Unit-root, Stationarity, Univariate tests, Panel tests, Simulation based unit root tests, Industrial production|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C20 - General
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E23 - Production
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C30 - General
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook > E60 - General
|Depositing User:||Eduard Baumöhl|
|Date Deposited:||19. Mar 2011 19:02|
|Last Modified:||11. Feb 2013 23:11|
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