Efficient Tests for an Autoregressive Unit Root

Elliott, Graham; Rothenberg, Thomas J.; Stock, James H.

doi:10.2307/2171846

Cited by 4,897 publications

(2,493 citation statements)

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“…Elliott, Rothenberg and Stock proposed an efficient test after modifying the Dickey-Fuller test statistic using a generalized least squares (GLS) rationale (Elliott, Rothenberg and Stock, 1996). According to Elliot et al (1996), their test has superior power when there exists an unknown trend or mean in data.…”

Section: Dickey-fuller Gls Testmentioning

confidence: 99%

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index. Index returns have been studied from 1st January, 1992 to 30th April, 2013. For further analysis, return series has been divided into these groups : 1992-2012, 1992-1994, 1995-1997, 1998-2000, 2001-2003, 2004-2006, 2007-2009, 2010-2012 and 2013. The paper has made use of both NonParametric tests (Kolmogrov-Smirnov goodness of fitness test, Runs test and Phillips-Perron test) and Parametric tests (Autocorrelation test, Box-Pierce (Q) statistic test, Ljung and Box (Q) Statistic test, Augmented Dickey-fuller test, Dickey-fuller GLS test, Jarque-Bera test, Kwiatkowski, Phillips, Schmidt and Shin test, Auto-regression and ARIMA model). For further analysis, Runs test has also been run on 20 companies return series for comparison purpose with the results of index return series. In addition, from KSE 30 Index, 20 companies return series based on the free-float of shares have also been analyzed through Runs test to check if increase in numbers of floating shares does increase the randomness in return series or not. To our knowledge, this paper is the first one on KSE 100 Index to study the overall time frame of return series of KSE 100 Index of 22 years with the several random walk and weakform efficiency tests to ensure the consistency of results; and to compare the results of runs test of index return series with the results of runs test on companies return series from KSE 100 and KSE 30 Indexes. Overall KSE 100 Index has found to be weak-form inefficient, but the last 4 years have shown some signs of efficiency. Companies return series from KSE 30 Index are found to be more random than companies return series from KSE100 Index.

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Section: Dickey-fuller Gls Testmentioning

confidence: 99%

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Akber

Muhammad

2013

SSRN Journal

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“…First, it is a solution suggested by the literature for the power problem 2 (Taylor, 2002). According to Elliot et al (1996), "the Dickey-Fuller ttest applied to a locally demeaned or detrended time series, using a data-dependent lag length selection procedure, has the best overall performance in terms of small-sample size and power." Second, it allows for deterministic trends, in the spirit of the Balassa-Samuelson effect.…”

Section: Methodsmentioning

confidence: 99%

A note on purchasing power parity and the choice of price index

Terra¹,

Vahia²

2008

Rev. Bras. Econ.

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“…There are number of unit root tests available, i.e. ADF test by Dickey and Fuller, (1981); PP test by Philips and Perron, (1988) and DF-GLS test by Elliott et al (1996) to check the stationary property of the variables, but these test assume no structural shock during the sample period. However, Banerjee et al (1992) argues that the unit root test hypothesis could be biased if there is endogenous structure shock in the macroeconomic variables.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

The sheer scale of China’s urban renewal and CO2 emissions: multiple structural breaks, long-run relationship, and short-run dynamics

Ahmed

2016

Environ Sci Pollut Res

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In the light of urban environmental transition (UET) theory, this study explores the relationship between carbon dioxide (CO 2 ) emissions, economic growth, urbanization and trade openness using updated Chinese data over the extended period . After confirming that all the underlying series are stationary and adjusted with single structural break point, the results of auto-regressive distributed lag (ARDL) bounds test approach to cointegration confirms the cointegration between the variables. The long-and short-run dynamics reveal that urbanization reduces the CO 2 emissions both in short-and long-run, but statistically insignificant. These findings contrast with previous literature and sounds the validation of urban environmental transition theory (UET). However, economic growth and trade openness contribute environmental degradation both in long-and short-run paths. The causality analysis reports bidirectional causal link between trade openness and urbanization in the short-run. However, in the long-run, economic growth ranger cause carbon dioxide emissions, urbanization and trade openness. Similarly, trade openness Granger cause carbon dioxide emissions, economic growth and urbanization in the long-run. The overall results imply that rural to urban immigration is still mostly driven by exports related manufacturing sectors. In addition, the higher GDP also contributes to urbanization as a feedback effect. In the end, stability of the model is also checked, model found stable and findings are suitable for environmental policy control use.2

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Efficient Tests for an Autoregressive Unit Root

Cited by 4,897 publications

References 20 publications

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index.

A note on purchasing power parity and the choice of price index

The sheer scale of China’s urban renewal and CO2 emissions: multiple structural breaks, long-run relationship, and short-run dynamics

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