A powerful test for unit root and an application to GNP of seven OECD countries

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buir.advisorCaner, Mehmet
dc.contributor.authorUstundag, Aliye
dc.date.accessioned2016-01-08T20:17:22Z
dc.date.available2016-01-08T20:17:22Z
dc.date.issued2000
dc.departmentDepartment of Economicsen_US
dc.descriptionAnkara : The Department of Economics, Bilkent Univ., 2000.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2000.en_US
dc.descriptionIncludes bibliographical references leaves 19.en_US
dc.description.abstractThis thesis uses a powerful test, Dickey-Fuller Generalized Least Squares (DF-GLS), to see whether unit root exists or not in real GNP of OECD Countries - Australia, Canada, Germany, Japan, Italy, U.K. and U.S. - for the years between the first quarter of 1960 and the second quarter of 1998 by using quarterly data that takes 1995 as base year. For this purpose a simple model with a deterministic component plus an error term, which is assumed to be AR (1), is used. The results of the regressions show the existence of unit root for all of the considered countries. Furthermore, we give flnite sample performances of Augmented Dickey-Fuller (ADF) test and DF-GLS tests which Elliott et al. (1996) conducted by using Monte Carlo experiment.en_US
dc.description.degreeM.A.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T20:17:22Z (GMT). No. of bitstreams: 1 1.pdf: 78510 bytes, checksum: d85492f20c2362aa2bcf4aad49380397 (MD5)en
dc.description.statementofresponsibilityUstundag, Aliyeen_US
dc.format.extentvi, 33 leaves, tablesen_US
dc.identifier.urihttp://hdl.handle.net/11693/18221
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectUnit rooten_US
dc.subjectADF and Monte Carlo experimenten_US
dc.subjectdeterministic component, AR (1)en_US
dc.subjectDF-GLSen_US
dc.subject.lccHC79.I5 U88 2000en_US
dc.subject.lcshGross national product--OECD countries--Mathematical models.en_US
dc.subject.lcshNational income--Mathematical models.en_US
dc.subject.lcshNational income--OECD countries.en_US
dc.subject.lcshIncome distribution--Mathematical models.en_US
dc.subject.lcshPurchasing power--OECD countries.en_US
dc.subject.lcshRegression analysis.en_US
dc.titleA powerful test for unit root and an application to GNP of seven OECD countriesen_US
dc.typeThesisen_US

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Dept. of Economics - Master's degree