Essays about: "Unit root tests"

Showing result 1 - 5 of 37 essays containing the words Unit root tests.

  1. 1. On the Heterogeneous and Time-Varying Relationship Between Stock Returns and Exchange Rates: Using a Panel Smooth Transition Regression Model

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Basak Edizgil; [2022]
    Keywords : Stock Returns; Exchange Rates; Panel Smooth Transition Regression Model; Non-linear; Pedroni Panel Cointegration;

    Abstract : This paper investigates the heterogeneous and time-varying relationship between stock returns and exchange rates for a panel of 19 countries using a panel smooth transition regression model and evaluates the role of the current account balance. Panel unit root tests indicate that stock market price indices and real effective exchange rates are non-stationary. READ MORE

  3. 2. A Comparative Study of the KPSS and ADF Tests in terms of Size and Power

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Lina Sjösten; [2022]
    Keywords : Stationarity; unit root; time series; simulation; trend; ARIMA; parameter value; sample size;

    Abstract : This thesis investigates through simulation why tests of unit root and stationarity occasionally result in different conclusions. The thesis focusses on the KPSS test and the ADF test and both review cases with and without a trend. READ MORE

  4. 3. 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

  5. 4. The effect of immigration on the regional labor market outcome

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Mohamad Alshalabi; [2020]
    Keywords : Immigration; Sweden; Employment; labor-market outcome; ARDL; Co-integration;

    Abstract : The effect of immigration on labor-market performance is the subject of various studies; most of those studies focus on the effect of immigrants on wages. The characteristics of the Nordics labor-market cause a shift in the focus to another labor-market outcome. READ MORE

  6. 5. Catch-Up with Me if You Can: An empirical analysis of convergence of carbon emission intensity in the EU power sector

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Karl Sundblad; Sean Tay; [2019]
    Keywords : carbon emission intensity; EU power sector; stochastic convergence; beta-convergence; environmental economics;

    Abstract : The anthropogenic impact on climate change is discernible and the power sector is known to be one of the main contributors of greenhouse gas emissions. This thesis takes a cross-country sectoral approach with the overall objective of analyzing convergence of carbon emission intensity in electricity generation across the power sectors in the EU. READ MORE