Advances in Econometrics and Modelling by Baldev Raj (auth.), Baldev Raj (eds.)

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By Baldev Raj (auth.), Baldev Raj (eds.)

During 1985-86, the purchase editor for the arts and social sciences department of Kluwer educational Publishers within the Netherlands visited the collage of Horida (where i used to be additionally traveling whereas on sabbatical go away from Wilfrid Laurier college because the McKethan-Matherly Senior examine Fellow) to debate publishing plans of the school. He expressed a prepared curiosity in publishing the complaints of the convention of the Canadian Econometric research crew (CESG) that used to be to be held the next yr at WLU. This quantity is the tip made from his curiosity, persistence, and endurance. yet for his patience i might have given up on th~ venture lots of the papers (though no longer all) integrated during this quantity are in response to shows at CESG meetings. from time to time students have been invited to give a contribution to this quantity the place their study complimented these offered at those meetings although they weren't convention contributors. because papers chosen for presentation on the CESG meetings are as a rule the completed made from scholarly study and infrequently lower than submission to refereed journals, it was once impossible to post the convention complaints of their entirety. therefore it was once made up our minds, in session with the writer, to ask a opt for record of authors to put up major extensions of the papers they offered on the CESG meetings for inclusion during this quantity. The editor needs to precise gratitude to all these authors who submitted their papers for review through nameless referees and for making revisions to comply to our editorial process.

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1S Fonnally, the problem amounts to detennining the power properties of various unit-root tests against fractionally-integrated alternatives. One such test has been examined in the present paper, for the simplest null (random walk) against a very simple alternative (pure fractional integration). Others, such as the Dickey-Fuller tests and their relatives, are examined in Diebold and Rudebusch (1988b). Finally, we note that the spectral procedure of Geweke and Porter-Hudak (1983) for estimating (posssibly) fractionally-integrated models holds promise as a unit root test against fractional as well as nonfractional alternatives.

Given that these tests are formal statistical procedures, the results for the bounds test raises doubts about the usefulness of the general approach. The ;2 procedure is best interpreted as a diagnostic tool rather than a formal statistical test. It should be evaluated with this qualification in mind. The empirical results surgest that the bounds procedure is quite good at detecting the presence of a unit root. The; procedure is clearly in agreement with the Sp(a) and Gp(a, Pp) statistics when these tests imply that a series possesses a unit root, since the corresponding point estimates for the upper bound are all very large.

Some of the series were passed through an AR(3) filter in order to equalize the periodograrn ordinates around frequency zero. These series are tagged by 'f' in the table. The periodograrn itself was estimated using the Daniell estimator with k =7. ) The money supply data doe, not provide any support for the real monetary equation. There is no evidence to suggest that velocity is a stationary variable. Moreover, this finding docs not depend on the definition of the money supply, the value of p, and is consistent with the results reported in Phillips and Ouliaris (1988) using principal components methods.

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