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Selection of Unit Root Test on the Basis of Length of the Time Series and Value of AR(1) Parameter
Main topics of the document: unit root test; augmented Dickey-Fuller test; Phillips-Perron test; KPSS test; ADF-GLS test; NGP test......
BB - Aplikovaná statistika, operační výzkum
- 2016 •
- Jx •
- Link
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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A Note on the Distribution of Dickey-Fuller Test in a Heteroskedastic Model
We study asymptotic distribution of a unit root test in a heteroskedastic model.
BB - Aplikovaná statistika, operační výzkum
- 2005 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Interaction of EU ETS Allowances and energy prices: Evidence from the Czech Republic
Main topics of the document: EU ETS; climate and energy package; energy prices; coal prices; prices of emission allowances; climate change; structural cointegrated VAR model; Dickey-Fuller test; Hodrick-Prescott filter......
AH - Ekonomie
- 2012 •
- Jx •
- Link
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Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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The relationship between M3 and consumer price index in the Czech Republic
using the Dickey - Fuller test. Based on the test results, time series are excluded which appear to be stationary. If the conditions are met, testing then continued with the Engle - Granger test ...
Applied Economics, Econometrics
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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Detecting and date-stamping bubbles in fan tokens
We focus on the existence of bubbles in fan tokens, utilizing the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests. We use daily closing prices of the ...
Finance
- 2024 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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Econometric analysis of convergency GDP Czechoslovakia and select country of EC in years 1960-1990
, namely augmented Dickey - Fuller test (ADF test) and Philips - Perron test (PP-test). Both perform test testify expectation, that Czechoslovakia in follow period fall......
AH - Ekonomie
- 2001 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
The influence of world oil prices on wheat price level
This paper deals with dependencies between the price of oil and the price of wheat. There is investigated short-term and long-term relationship between the commodities using time series analysis. There are used methods of correlation and regression a...
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- D
Rok uplatnění
D - Stať ve sborníku
Climatic Factors Affecting Wild Mushroom Foraging in Central Europe
and precipitation on wild mushrooms using the Dickey-Fuller test and ordinary least squares...
Forestry
- 2023 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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Maximum non-extensive entropy block bootstrap for non-stationary processes
of the Dickey-Fuller test.
AH - Ekonomie
- 2015 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Testing endogeneity of money supply in selected European countries
by unit root test (Augmented Dickey-Fuller test). Time series with different order the money are created by loans. Testing of causal relationships is based on the mutual......
Economic Theory
- 2017 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
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