Further application of Narayan and Liu (2015) unit root model for trending time series

被引：28

作者：

Salisu, Afees A. ^{[1
,2
]}

Adeleke, Adegoke I. ^{[3
]}

机构：

[1] Fed Univ Agr, Dept Econ, Abeokuta, Nigeria

[2] Univ Ibadan, CEAR, Ibadan, Nigeria

[3] Cent Bank Nigeria, Monetary Policy Dept, Abuja, Nigeria

来源：

ECONOMIC MODELLING | 2016年 / 55卷

关键词：

Trend; Structural break; Conditional heteroscedasticity; Unit root; Bond yield; HETEROSCEDASTICITY; TESTS;

D O I：

10.1016/j.econmod.2016.02.026

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we further subject the new GARCH-based unit root test for trending time series proposed by Narayan and Liu (NL) (2015) to empirical scrutiny. We utilize daily, weekly, and monthly data of 10-year bond yield for seventeen countries across the regions of America, Asia, and Europe. We find that the unit root test for sovereign bond yield data is better modeled in the presence of structural breaks, conditional heteroscedasticity, and time trend. More importantly, it may be necessary to pre-test for the existence of these statistical features when modeling with the bond yield data. (c) 2016 Elsevier B.V. All rights reserved.

引用

页码：305 / 314

页数：10

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