Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable

Author(s):  
Dong Jin Lee
2020 ◽  
pp. 016327872098559
Author(s):  
Michael T. McKay ◽  
Frank C. Worrell ◽  
Jon C. Cole

The Adolescent and Adult Time Inventory–Time Attitudes Scale (AATI-TA) measures emotional engagement with the past, present, and future, and scores have been shown to relate meaningfully to health outcomes. For past, present, and future, five items are used to assess both positive and negative attitudes. Although evidence for the hypothesized six-factor solution has been widely reported, some studies have indicated problems with the Future Negative items. Given that a large and growing literature has emerged on the six-factor AATI-TA, and that AATI-TA scores have shown much better and more consistent fit than other temporal psychology measures, we sought to investigate the future negative factor in detail. Secondary analyses were performed on two datasets. The first was a University convenience sample ( N = 410) and the second was an adolescent sample ( N = 1,612). Confirmatory factor analyses revealed that the fit for the five Future Negative items was poor. Modification indices suggested that a correlated error term between Items 4 and 10 would result in good fit, and this was indeed the case. Models without Item 4 or Item 10 also yielded acceptable fit. Analyses using all four operationalizations of Future Negative (original scale, without Item 4 or Item 10, or with the correlated error between Items 4 and 10) to predict symptoms of anxiety and depression, and emotional self-efficacy revealed minor differences in the predictive validity coefficients. Potential ways forward, including a correlated error term or the dropping or replacement of Item 10, are discussed.


2020 ◽  
Vol 12 (2) ◽  
pp. 49
Author(s):  
Luis A. Gil-Alana ◽  
Rouhollah Nazari ◽  
Mahdi Khodaparast Mashhadi

This paper investigates the structure of oil production in the OPEC by using techniques based on fractional integration. This analysis permits us to determine if exogenous shocks affecting the series will have transitory or permanent effects. The results show evidence reversion to the mean (and thus transitory shocks) for Ecuador, Qatar, Algeria, Nigeria, Iraq and the U.A.E., and lack of it (and thus permanency of shocks) for Arabia Saudi and Angola. For the remaining five countries (Gabon, Kuwait, Iran, Libya and Venezuela) the results are ambiguous depending on the specification of the error term. Allowing for structural breaks, we notice that most of the countries display about four breaks and the orders of integration change substantially across the countries and the subsamples.


Author(s):  
Ming Meng ◽  
Junsoo Lee ◽  
James E. Payne

AbstractThis study proposes a new unit root test that allows for structural breaks in both the intercept and the slope, and adopts the residual augmented least squares (RALS) procedure to gain improved power when the error term follows a non-normal distribution. The new test using the RALS procedure is more powerful than the usual LM test which does not incorporate information on non-normal errors. Our test is free of nuisance parameters that indicate the locations of structural break. It is also free of the spurious rejection problem. Thus, the rejection of the null hypothesis can be considered as more accurate evidence of stationarity. We apply the new test on the recently extended Grilli and Yang index of 24 commodity series from 1900 to 2007. Our empirical findings provide significant evidence that primary commodity prices are stationary with one or two trend breaks. However, compared with past studies, our findings provide even weaker evidence to support the Prebisch-Singer hypothesis.


Sign in / Sign up

Export Citation Format

Share Document