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Bazrafshan, Morteza | 2010

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 40822 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. In the econometrics of disequilibrium it is argued that current market prices cannot change instantly to clear the markets in each period of time, so markets cannot constantly be in equilibrium condition. This point is main concern of this research. In present study, test statistics for the equilibrium hypothesis against market disequilibrium are provided and their statistical properties (size discrepancy and power) are studied by random simulations and bootstrapping. The proposed tests are based on idea of H.S.Hweang (1980), where equilibrium hypothesis (stability of coefficient) is nested in the disequilibrium null hypothesis of instability in the coefficient of reduced regression. CUSUM is known as the most popular test statistics for testing stability of coefficients in regression equitation, but because of the optimal properties of Sup LM, Sup LR and Sup Wald test statistics, we propose the test statistics as alternatives for the CUSUM. Simulation results show that 1 – application of bootstrapping improves estimated empirical distribution of the proposed statistics under null hypothesis. 2 ‐ Sup LM, Sup LR and Sup Wald have performs better than CUSUM in the acceptance of true null hypothesis. 3 – Under null hypothesis this test statistics are not sensitive to unit root in the variables of regression. 4 – Power of CUSUM is severely sensitive to unit root and it decrease sizably when the regression’s variables are of unit roots. 5 – Power of Sup LM, Sup LR and Sup Wald are not sensitive to the unit roots in the variables of the regression model. 6 – Power of CUSUM is higher than Sup Wald and Sup LM in absence of unit roots in the variables. 7 ‐ Power of Sup LR is higher than CUSUM even if independence variables have unit roots.
  9. Keywords:
  10. Equilibrium ; Monte Carlo Simulation ; Structural Stability ; Equilibrium ; Disequilibrium ; Generalized Moments Methods ; Bootstrapping

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