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Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries

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  • Lyócsa, Štefan
  • Výrost, Tomáš
  • Baumöhl, Eduard

Abstract

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.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29648.

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Date of creation: 16 Mar 2011
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Handle: RePEc:pra:mprapa:29648

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Keywords: Unit-root; Stationarity; Univariate tests; Panel tests; Simulation based unit root tests; Industrial production;

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Cited by:
  1. Eduard Baumöhl & Štefan Lyócsa & Tomáš Výrost, 2011. "Volatility Regimes in Macroeconomic Time Series: The Case of the Visegrad Group," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 530-544, December.

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