Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches

Ahmad, Yamin; Check, Adam; Lo, Ming Chien

doi:10.1007/s10614-023-10397-0

Cited by 3 publications

(1 citation statement)

References 47 publications

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“…Unit root tests that can be used to check for the stationarity of data include the Augmented Dickey-Fuller (ADF) test, Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test, and Phillips-Perron (PP) test (Ahmad et al , 2023). The ADF test is the most widely used in applied econometrics for identifying the presence of unit roots.…”

Section: Results Of the Studymentioning

confidence: 99%

Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa

Mwanyepedza,

Mishi

2023

IJHMA

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Purpose The study aims to estimate the short- and long-run effects of monetary policy on residential property prices in South Africa. Over the past decades, there has been a monetary policy shift, from targeting money supply and exchange rate to inflation. The shifts have affected residential property market dynamics. Design/methodology/approach The Johansen cointegration approach was used to estimate the effects of changes in monetary policy proxies on residential property prices using quarterly data from 1980 to 2022. Findings Mortgage finance and economic growth have a significant positive long-run effect on residential property prices. The consumer price index, the inflation targeting framework, interest rates and exchange rates have a significant negative long-run effect on residential property prices. The Granger causality test has depicted that exchange rate significantly influences residential property prices in the short run, and interest rates, inflation targeting framework, gross domestic product, money supply consumer price index and exchange rate can quickly return to equilibrium when they are in disequilibrium. Originality/value There are limited arguments whether the inflation targeting monetary policy framework in South Africa has prevented residential property market boom and bust scenarios. The study has found that the implementation of inflation targeting framework has successfully reduced booms in residential property prices in South Africa.

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Section: Results Of the Studymentioning

confidence: 99%

Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa

Mwanyepedza,

Mishi

2023

IJHMA

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Enhancing CO2 emissions prediction in Africa: A novel approach integrating enviroeconomic factors and nature-inspired neural network in the presence of unit root

Mati,

Baita,

Ismael

et al. 2024

Renewable Energy

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Nature and Causes of Economic Fluctuations: Evidence from the U.S. Based on a Nonlinear Autoregressive Integrated Process

Li,

2023

Int. J. Emp. Econ.

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Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic data generation process obtained using the dimensionless nonlinear autoregressive integrated (NLARI) process. To explore the nature and causes of economic fluctuations and growth, we develop a unified test to identify whether the economic data generation mechanism is stable fixed points, unit roots, cyclical oscillations, or chaos. Empirical studies show that as the economic resilience coefficient changes from strong to weak, the data-generating mechanism for U.S. economic indicators shifts from a stable fixed point (dynamic equilibrium) in the supply-side economy to an unstable unit root (divergence) in the demand-side economy involving income distribution. Therefore, the U.S. economy is in partial dynamic equilibrium of the supply-side economy. The low resilience of the demand-side economy allows for the accumulation of noise from exogenous shocks, leading to persistent fluctuations. We find that the economic deterministic trend is ([Formula: see text]/[Formula: see text])[Formula: see text], i.e., time [Formula: see text] multiplied by the ratio of the mean of exogenous supply, demand, and technological progress investment shocks to the economic resistance coefficient. A general dynamic equilibrium economy maximizes growth from investment by avoiding [Formula: see text] growth losses from permanently persistent fluctuations. Thus, ([Formula: see text]/[Formula: see text])[Formula: see text] is the maximum value obtained along the maximum profit growth at the von Neumann equilibrium price. The investment path that creates the maximum ratio [Formula: see text]/[Formula: see text] is the optimal growth path.

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Unit Roots in Macroeconomic Time Series: A Comparison of Classical, Bayesian and Machine Learning Approaches

Cited by 3 publications

References 47 publications

Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa

Short-run dynamics and long-run effects of monetary policy on residential property prices in South Africa

Enhancing CO2 emissions prediction in Africa: A novel approach integrating enviroeconomic factors and nature-inspired neural network in the presence of unit root

Nature and Causes of Economic Fluctuations: Evidence from the U.S. Based on a Nonlinear Autoregressive Integrated Process

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