This paper examines the stationarity of carbon dioxide (CO2) emissions per capita for a set of 36 countries covering the period 1870–2006. We employ recently developed unit root and stationarity ...tests that allow for the mean reverting process to be nonlinear and take into account cross sectional dependence. By grouping countries according to their geographical proximity, the importance of cross sectional dependence in panel unit root and stationarity tests is revealed. Using a recently developed nonlinear panel unit root test, we find strong evidence that the per capita carbon dioxide emissions over the last one hundred and fifty years are stationary. Our nonlinear specification captures the dynamics of the emissions time series data more effectively and we obtain evidence supporting stationarity for all country groups under study.
•The stationarity of the CO2 per capita is examined.•Allow for the mean reverting mechanism to be nonlinear•Linear and nonlinear unit root and stationarity tests are employed.•Non-linearity and cross section dependence are taken into account.
The note highlights how misspecification of cross-section dependence structure in panel time-series data can lead to erroneous conclusions on farmland valuation. Combining the sample information from ...time-series and cross-section dimensions by using panel time-series data can improve inference on the net present value hypothesis for farmland. However, cross-section dependence must be addressed to take advantage of the additional information from this type of data. We consider three classes of panel unit root models that account for cross-section dependence through (1) common factor extraction, (2) block bootstrapping and (3) spatial dependence to explore whether farmland values can be explained by their economic fundamentals, given that the appropriate cross-section specification is implemented in testing. Results show that only spatial dependence approach accurately characterizes cross-section dependence in the Iowa panel time-series data, highlighting the importance of model selection when using data with cross-section dependence. Once the econometric model is specified with the underlying spatial cross-section dependence structure, the market valuation of Iowa farmland is mainly determined by fundamentals as predicted by the net present value model.
This paper attempts to investigate the co-integration relationship between consumption, income and GDP per capita (as a proxy of the level of standard of living) in time-series cross-section data. To ...conduct this analysis, we have applied tests to verify if the time series are non-stationary and co-integrated. The panel data covers a large sample formed from 79 countries, divided in three categories depending on their income level – low, middle and high. The study regarded annual observations for a period of 31 years, from 1980 to 2010. The results have shown that the association between consumption and income is stronger in low and high income countries, compared with middle income countries. A small level of income determines its use especially for consumption and a high level of income increases consumption as there are more available resources to cover large investments as well. The relation between consumption, income and GDP is stronger for low and middle income countries, a logical conclusion since the high income countries allocate more capital to investments and are intense specialized in research and development activities.
This paper investigates whether inflation series is mean-reverting in Economic Community of West African States (ECOWAS). First generation panel unit root tests (LLC, MW, Breitung, Hadri, ADF, PP and ...IPS) are conducted in the paper. These tests indicate that inflation do not contains a unit root. It is however well-known that these first generation unit root tests have a limit: they are based on the cross-sectional independency hypothesis. Hence, in this work, Panel Analysis of Nonstationarity in Idiosyncratic and Common Component (PANIC) is performed in order to investigate if inflation is mean reverting process even we relax the previous assumption. The main finding of this paper is that rate of inflation in ECOWAS is a stationary process.
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. ...Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit root tests reject PPP and the highest half-lives are observed after the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before the introduction of the single currency.
This paper attempts to scrutinize the co-integration relationship between consumption, income and GDP per capita in panel data series. We have applied unit root test, co-integration test and FMOLS ...estimation technique to analyze the data. Data covers 11 Asian countries of three income categories – lower middle income, upper middle income and high income. The study contemplated the annual observations of 35 years from 1980 to 2014. Study revealed that the association between consumption and income is stronger in lower and upper middle income countries. The low level of income determines its maximum use predominantly for consumption. The relation between consumption, income and GDP per capita is stronger for lower middle income countries, thereby the countries with higher income generally tend to make big investments.
This paper examines the dynamic links between government budgets (government expenditures and revenues), natural disaster, and three key macroeconomic indicators; economic growth, inflation rate, and ...government debt. By studying the annual data for high- and middle-income countries over 1990–2013 and employing a panel vector autoregressive model for detecting Granger causality, we find that there is a big correlation between these variables, including unidirectional causality between natural disasters and government debt. For middle-income countries there is a unidirectional causality from natural disasters to government expenditures. Thus, there is a unidirectional causality between natural disasters and economic growth and government revenues for high- and middle-income countries.
Using recently developed panel unit root and panel cointegration tests and the Fully-Modified OLS methodology (FMOLS), this paper estimates the impact of remittances on the economic growth of ...selected upper and lower income Latin American & Caribbean (LAC) countries over the 1990–2007 period. Despite the large flow of remittances to the region, there have been relatively few empirical studies assessing the impact of remittances on economic growth in LAC. Panel unit root tests suggest that several of the macro variables included in the model exhibit unit roots, yet, at the same time, Pedroni’s panel cointegration test determined that there is a cointegrating relationship among the variables in the estimated model. The FMOLS estimates suggest that remittances have a positive and significant effect on economic growth in both groups of countries. The estimates also indicate that both the degree of economic freedom and credit provided by the banking system have a positive and significant effect on economic growth in upper (middle) income LAC countries. The sign of the interaction term between remittances and the credit (and EFI) variables suggest that remittances act as substitutes for these variables. Finally, the effect of remittances on both sets of countries is stronger in the presence of a financial (credit) variable.
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