Further application of Narayan and Liu (2015) unit root model for trending time series
Afees Salisu () and
Adegoke Adeleke ()
Economic Modelling, 2016, vol. 55, issue C, 305-314
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.
Keywords: Trend; Structural break; Conditional heteroscedasticity; Unit root; Bond yield (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:55:y:2016:i:c:p:305-314
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().