Essays about: "Dickey-Fuller Unit Root Test"

Showing result 1 - 5 of 14 essays containing the words Dickey-Fuller Unit Root Test.

  1. 1. A Study of the Relationship Between Mean Reversion and a Black Swan Event

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Erik Makra; Felix Snaula; [2022]
    Keywords : Mean Reversion; Black Swan; Efficient Market Hypothesis; Behavioural Finance; Dickey-Fuller Unit Root Test;

    Abstract : This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. READ MORE

  3. 2. The Role of Financial Inclusion in Economic Growth : A quantitative study about financial inclusion & economic growths relationship

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Viktor Pettersson; Noah Stjernberg; [2022]
    Keywords : Financial inclusion; Economic growth; Proxies; Dickey-fuller unit root; Arellano-bond GMM estimation method;

    Abstract : This study examines the relationship between financial inclusion and economic growth, more specifically if financial inclusion is an important factor for economic growth. A sub question was stated as well, if the six proxies of the financial inclusion measurement respectively have an impact on economic growth. READ MORE

  4. 3. DETERMINANTS OF INFLATION IN ETHIOPIA FROM 1980 to 2019

    University essay from Umeå universitet/Nationalekonomi

    Author : Robera Gadisa Adugna; [2021]
    Keywords : ;

    Abstract : This study examines the determinants of inflation in Ethiopia, using Vector Error Correction Model (VECM) by using annual time series data from 1980 to 2019. Augmented Dickey-Fuller unit root test indicated that the variables are integrated of order one. However, the variables transformed to stationary by taking the first difference. READ MORE

  5. 4. On the use of integer and fractional flexible Fourier form Dickey-Fuller unit root tests

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Marcus Nordström; [2018]
    Keywords : Fractional frequency flexible Fourier form; Unit root test; Structural break; Smooth break; Nonlinear trend; Business and Economics;

    Abstract : In this paper we propose the use of a new set of conservative critical values for the flexible Fourier form Dickey-Fuller unit root test when the Fourier frequency is estimated. We consider both the integer frequency and the fractional frequency version of the test and investigate their size and power properties. READ MORE

  6. 5. Bitcoin and Stock Market Indexes Causality

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Efe Akinci; Jing Li; [2018]
    Keywords : Bitcoin; Stock Markets; Augmented Dickey-Fuller; Cointegration; Granger Causality;

    Abstract : This paper studies Granger Causality relations between Bitcoin and 5 stock market indexes which are Japan, Russia, South Korea, Sweden and the United States. The time-period examined is from 2013 to 2017 and all the tests are conducted based on daily data. READ MORE