Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques

2016 ◽  
Vol 32 (5) ◽  
pp. 711-724 ◽  
Author(s):  
Luis A. Gil-Alana ◽  
OlaOluwa S. Yaya ◽  
Enitan A. Solademi
Keyword(s):  
Structural Breaks ◽  
Unit Roots ◽  
G7 Countries ◽  
Testing Unit ◽  
Inflation Rates

Convergence in per capita carbon footprint and ecological footprint for G7 countries: Evidence from panel Fourier threshold unit root test

2021 ◽  
pp. 0958305X2110114
Author(s):  
Veli Yilanci ◽  
Muhammed Sehid Gorus ◽  
Sakiru Adebola Solarin
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Unit Root Test ◽  
G7 Countries ◽  
Convergence Hypothesis ◽  
International Climate ◽  
Per Capita ◽  
Nonlinear Behaviors ◽  
Nonlinear Unit Root Tests

This paper aims to explore the convergence of per capita carbon and ecological footprints in G7 countries during 1961–2016. For this purpose, we propose a new unit root test in the panel setting–the panel Fourier threshold unit root test. This test takes into consideration both multiple smooth structural changes and nonlinearity. According to the literature, the power of the nonlinear unit root tests is reduced in the case of ignoring structural breaks. Therefore, we expect to get more reliable empirical findings by utilizing this methodology. The empirical results of this paper show that these series have nonlinear behaviors for the period 1961–2016. Furthermore, they demonstrate that the absolute convergence hypothesis is valid in G7 countries for both regimes. Thus, governments can conduct common environmental policies, including international climate summits and agreements, instead of national-based policies to mitigate environmental deterioration in their countries.

Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten

2005 ◽  
Vol 225 (4) ◽  
Author(s):  
Uwe Hassler ◽  
Matei Demetrescu
Keyword(s):  
Growth Rates ◽  
Unit Root ◽  
Unit Roots ◽  
Annual Growth ◽  
Seasonal Growth ◽  
Seasonal Differences ◽  
Inflation Rates ◽  
European Economies ◽  
Seasonal Data

SummaryStudying annual growth rates (seasonal differences) in case of seasonal data produces much more persistence, autocorrelation and stronger evidence in favour of a unit root than analyzing seasonal growth rates (ordinary differences). First, this statement is quantified theoretically. Second, it is supported experimentally with simulations, and, finally, it is empirically illustrated with quarterly GDP deflators from 7 European economies.

Wagner’s Law, Public Employment, and Spanish Regions

2018 ◽  
Vol 64 (3) ◽  
pp. 179-198
Author(s):  
Manuel Jaén-García
Keyword(s):  
Public Sector ◽  
Panel Data ◽  
Structural Breaks ◽  
Empirical Test ◽  
Unit Roots ◽  
Public Employment ◽  
Public Companies ◽  
The Public ◽  
Standard Tool ◽  
Definition Of

Abstract Following Peacock and Musgrave’s rediscovery of Wagner’s Law, the latter became a standard tool used in research on the relationship between growth of public spending and the factors by which it is influenced. However, conventional empirical tests are based on a specification error related to Wagner’s definition of the public sector, which he considered in its totality, including public companies. The present article attempts to correct this error and obtain an approximation to the size of the public sector by considering public employment as a whole, both in public administrations and services and in public companies. To this end, panel data for the Spanish autonomous regions are used in addition to data for the overall public sector. The empirical test is performed utilizing cointegration techniques and unit roots in panel data. Similarly, the possibility of structural breaks in the data is taken into consideration and they are estimated using fictitious variables. JEL classifications: H11; H50; E62 Keywords: public employment; gross domestic product; unit root; cointegration; panel data

scholarly journals Breaks, trends and unit roots in commodity prices: a robust investigation

2014 ◽  
Vol 18 (1) ◽  
Author(s):  
Atanu Ghoshray ◽  
Mohitosh Kejriwal ◽  
Mark Wohar
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Commodity Prices ◽  
Unit Roots ◽  
Commodity Price ◽  
Policy Implications ◽  
Price Shocks ◽  
Price Series ◽  
Commodity Price Shocks ◽  
Trend Breaks

AbstractThis paper empirically examines the time series behavior of primary commodity prices relative to manufactures with reference to the nature of their underlying trends and the persistence of shocks driving the price processes. The direction and magnitude of the trends are assessed employing a set of econometric techniques that is robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Specifically, the methods allow consistent estimation of the number and location of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. Further, a new set of powerful unit root tests is applied to determine whether the underlying commodity price series can be characterized as difference or trend stationary processes. These tests treat breaks under the unit root null and the trend stationary alternative in a symmetric fashion thereby alleviating the procedures from spurious rejection problems and low power issues that plague most existing procedures. Relative to the extant literature, we find more evidence in favor of trend stationarity suggesting that real commodity price shocks are primarily of a transitory nature. We conclude with a discussion of the policy implications of our results.

Unit roots and structural breaks in OECD unemployment

1999 ◽  
Vol 65 (2) ◽  
pp. 149-156 ◽  
Author(s):  
Philip Arestis ◽  
Iris Biefang-Frisancho Mariscal
Keyword(s):  
Structural Breaks ◽  
Unit Roots

scholarly journals Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks

2008 ◽  
Vol 55 (4) ◽  
pp. 465-484 ◽  
Author(s):  
Ozlem Tasseven
Keyword(s):  
Structural Breaks ◽  
Structural Changes ◽  
Unit Roots ◽  
Testing Procedure ◽  
Small Sample ◽  
Seasonal Unit Roots ◽  
Monte Carlo Experiments ◽  
Turkish Economy ◽  
Annual Frequency ◽  
Break Points

In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account. .

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