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Trend Break or Unit Root in GDP of Iran

نویسنده:

ISC (26 صفحه - از 1 تا 26)

کلید واژه های ماشینی : Break Unit Root GDP Iran، TS، Trend Break Unit Root، DS، GDP، Iran، TS DS TS DS TS، DS TS DS TS DS، TS DS TS DS، DS Model TS Model، TS DS، Min Sig TS DS، Min Sig DS TS، Min Sig، The DS Min Sig، DS TS، Pre، For Deaton Nelson Plosser، This GDP Iran، This TS DS، Perron، Figure، Christiano، The Min Sig، TS GDP DS، Critical Values Pretest Adjusted Tests، By، DS TS Min، F Max، For

خلاصه ماشینی: "It shows that once pretest and small-sample distributional considerations are taken into account the F test reveals no evidence (at the 5% significance level) against the null hypothesis of no trend break in GDP (contained oil) data of Iran. Although that test does not share the F test's small-sample distributional problem (Christiano 1992), we show it is still the case that, Once pretest considerations are taken into account, the p value is 98% and one can not reject null hypothesis of existing unit root for GDP (contained oil) of Iran. This shows that, when the data are generated by the TS model, The break date is selected by the F Maxuntr method, and the conventional practice of using critical values from the F distribution is followed, then a test with nominal 5% size in fact has size 1. For example, the F test based on Table 5: Size of Pretest Unadjusted Trend-Break Tests When Break Dates Are Selected Endogenously and the Data Are Generated by the DS Model and the TS Model F Max method Min Sig method Nominal sizea F(2,40) critical valueb Bootstrap critical valuec F(2,40) critical valued Bootstrap critical valuee (2) (3) (4) (5) (6) (7) (8) (9) A. Conclution This article has tested the null hypothesis that the parameters of the time series model for GDP of Iran (contained oil) have been stable during the period 1959-2004 (1338-1383), against the alternative that there has been a one time break in trend."

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