Unit roots and structural breaks: The case of India 1900-1988

1997 ◽  
Vol 24 (3) ◽  
pp. 289-300 ◽  
Author(s):  
Anita Ghatak
Keyword(s):  
Structural Breaks ◽  
Unit Roots

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. .

A Review of Wagner’s Law with Disaggregated Data for Spain

2020 ◽  
Vol 66 (1) ◽  
pp. 65-92
Author(s):  
Manuel Jaén-Garcia
Keyword(s):  
Structural Breaks ◽  
Public Spending ◽  
Unit Roots ◽  
Extended Period ◽  
Wagner’S Law ◽  
Time Period ◽  
Long Time ◽  
Disaggregated Data ◽  
Wagner's Law

Wagner’s Law has been widely tested using empirical analysis, yet very few studies have conducted this analysis using disaggregated data over an extended period of time. This study examines the economic classification of public spending (COFOG) in Spain for the period 1958 – 2015. Our findings confirm previous results in the sense that the law is not rejected for public spending as a whole. Furthermore, our results reveal that social aid and current transfers can be considered as luxury goods as their demand grows more than proportionally when income rises. Our findings also confirm the results of other studies in which education, healthcare and social aid all fail to reject Wagner’s Law. The study provides two important contributions to the literature. First, the study considers a substantially long time period to examine the relationship between different categories of public spending and economic growth. This type of analysis has been carried out on occasion for other economies but never for the Spanish case. Second, our study uses the methodology of unit roots and cointegration with structural breaks, representing an innovation in this field.

Unit Root Tests of Structural Break with GARCH-Error Process

2012 ◽  
Vol 452-453 ◽  
pp. 986-990
Author(s):  
Jing Yong Wang ◽  
Li Da Xue
Keyword(s):  
Sample Size ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Roots ◽  
Test Statistic ◽  
Test Power ◽  
Nominal Size ◽  
Parameter Test ◽  
Garch Process

This paper studies the effect of GARCH process on the robustness and reliabilities of unit roots test with structural breaks. It gives that, as the GARCH process approaches integratedness, the test statistic’ the proportion of rejections reported actually increases as the sample size increases. Consequently, we can see that the standard asymptotic theory is inapplicable in this case. The statistic , their actual test size on the whole is accordant to nominal size in unit root and no break as the volatility parameter is small, =0 or approach to 0. The statistic exists a serious over sizing of null hypothesis as integratedness in all structural break type. The statistic test power increases as the sample size increases, but test power do not increases as the sample size increase under AR parameter. Test power increases as integratedness increases, and decreases as volatility parameter increases.

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