UNIT ROOTS
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Recent papers in UNIT ROOTS
levinlin estimates the panel unit root test developed by Levin, Lin and Chu (2002). The test assumes that each individual unit in the panel shares the same AR(1) coefficient, but allows for individual effects, time effects and possibly a... more
ipshin estimates the t-test for unit roots in heterogeneous panels developed by Im, Pesaran and Shin (IPS, 1997). It allows for individual effects, time trends, and common time effects. Based on the mean of the individual Dickey-Fuller... more
The recent fears of a sovereign debt crisis have spurred interest in the sustainability of public debt. There are two different approaches to the assessment of sustainability: the use of sustainability gap indicators (Blanchard et al.,... more
Equity investment is assumed to be a good hedge against inflation since long time. This paper examines short run causal relationship between inflation and stock return in emerging BRICS markets. The study covers a comprehensive period of... more
ABSTRACT This paper tests the classical hypothesis of inter-industry profit rate's proclivity to gravitate towards the economy's average profit rate. In so doing, individual as well as panel unit root tests have been... more
Analytical asymptotic local power functions are employed to study the effects of general form short term serial correlation on �fixed-T panel data unit root tests. Two models are considered, one that has only individual intercepts and one... more
The causal relationship between economic growth and defence spending has attracted considerable attention and has been the subject of many empirical studies. This paper investigates the existence of a causal link between military... more
In this paper we suggest panel data unit root tests which allow for a potential structural break in the individual e¤ects and/or the trends of each series of the panel, assuming that the time-dimension of the panel, T , is ...xed. The... more
This paper presents a new test for fractionally integrated (FI) processes. In particular, we propose a testing procedure in the time domain that extends the well-known Dickey-Fuller approach, originally designed for the I(1) versus I(0)... more
Este trabajo, partiendo de las recientes teorías de crecimiento, pretende poner de manifiesto la importancia y diversidad del impacto del capital tecnológico en la producción de los distintos sectores industriales. Para conseguir este... more
It is a stylised fact that financial "repression" retards economic growth. Hence, financial liberalisation is advocated to remove the stranglehold on the economy. Financial liberalisation policy argues that deregulation of... more
Covariance based orthogonality tests for regressors with unknown persistence (Preliminary and Incomplete) Alex Maynard and Katsumi Shimotsu* Department of Economics, University of Toronto and Department of Economics, Queen's... more
SummaryWe analyse German public finances against a theoretical background using a unique database, retrieved from multiple sources covering the period between 1850 and 2010.Multiple currency crises and force majeure offer anecdotal... more
While tests for unit roots and cointegration have important econometric and economic implications, they do not always offer conclusive results. For example, Rudebusch (1992; 1993) demonstrates that standard unit root tests have low power... more