This paper is concerned with tests for seasonal roots in monthly univariate time series processes. The paper extends the procedures and tables of critical values due to Beaulieu and Miron (Seasonal ...unit roots in aggregate U.S. data. J. Economet. 55 (1993), 305–28) to obtain tests which are similar ( exactly and a symptotically) with respect to both the initial values of the process and the possibility of seasonal drifts under the seasonal unit root null hypothesis. We also develop test statistics which test simultaneously for a unit root at each frequency and for a unit root at each of the seasonal frequencies. Representations are derived for the limiting distributions of each of the test statistics proposed in this paper. We illustrate the practical usefulness of the proposed test statistics by a series of empirical applications
Much of the empirical growth literature has attempted to evaluate growth theories by estimating regressions that relate the growth rate of per capita output for a sample of countries to initial per ...capita output and country characteristics. The resulting inferences are shown to be invalid except under strong conditions. An alternative method that uses cross-country variances is formulated and shown to produce valid inferences under weak conditions. Applying this method to data from thirteen countries over the period 1870–1989 provides no evidence that their per capita outputs have different trend growth rates and much evidence that they revert toward a common trend. This evidence does not support those endogenous growth theories that predict appreciably different trend growth rates across countries.
Quasi purchasing power parity Hegwood, Natalie D.; Papell, David H.
International journal of finance and economics,
October 1998, Letnik:
3, Številka:
4
Journal Article
Standard unit-root and cointegration tests are sensitive to atypical events such as outliers and structural breaks. In this article, we use outlier-robust estimation techniques to examine the impact ...of these events on cointegration analysis. Our outlier-robust cointegration test provides a new diagnostic tool for signaling when standard cointegration results might be driven by a few aberrant observations. A main feature of our approach is that the proposed robust estimator can be used to compute weights for all observations, which in turn can be used to identify the approximate dates of atypical events. We evaluate our method using simulated data and a Monte Carlo experiment. We also present an empirical example showing the usefulness of the proposed analysis.
Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I ...consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the cointegrating vector can be constructed by exploiting the equivalence between tests and confidence sets. This method has the advantage that it remains valid even if the regressors have roots that are not exactly equal to unity.
Panel Data Analysis Novák, Petr
Acta oeconomica Pragensia,
2007, Letnik:
2007, Številka:
1
Journal Article
Recenzirano
This article takes focus on the main basic elements of panel data analysis, fixed effects and random effects models, dynamic panel data models. The last part of this article is about possibilities of ...testing panel data unit roots with a notice about the usage of the application software and special languages in the area of panel data.
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