This paper studies the problem of unit root testing in the presence of multiple structural changes and common dynamic factors. Structural breaks represent infrequent regime shifts …
Many economic theories depend on the presence or absence of a unit root for their validity, and econometric and statistical theory undergo considerable changes when unit roots are …
This article proposes a framework that provides early detection of anomalous series within a large collection of nonstationary streaming time-series data. We define an anomaly as an …
A Ghoshray - Journal of Development Economics, 2011 - Elsevier
This paper conducts a reexamination of the Prebisch–Singer hypothesis by employing the unit root test proposed by Lee and Strazicich (2003) and Lee and Strazicich (2004) that …
Á López-Oriona, JA Vilar - Knowledge-Based Systems, 2021 - Elsevier
A method for detecting outlier samples in a multivariate time series dataset is proposed. It is assumed that an outlying series is characterized by having been generated from a different …
Turkey is one of the most advanced economies in the MENA region and one of the most important tourist destinations in the world, but with a long lasting history of terrorism that has …
H Bohn Nielsen - The Econometrics Journal, 2004 - academic.oup.com
The effects of innovational outliers and additive outliers in cointegrated vector autoregressive models are examined and it is analyzed how outliers can be modelled with …
This paper proposes new risk measures by accurately estimating the components of solvency risk and focusing on prudential policy implementation. We use semi …
P Fuleky, Q Zhao, CS Bonham - Annals of Tourism Research, 2014 - Elsevier
It is natural to turn to the richness of panel data to improve the precision of estimated tourism demand elasticities. However, the likely presence of common shocks shared across the …