scholarly journals Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests

2014 ◽  
Vol 83 (6) ◽  
pp. 676-700 ◽  
Author(s):  
Kaddour Hadri ◽  
Eiji Kurozumi ◽  
Daisuke Yamazaki
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests

A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?

2021 ◽  
Vol 3 (2) ◽  
pp. 80-92
Author(s):  
Sara Muhammadullah ◽  
Amena Urooj ◽  
Faridoon Khan
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Structural Break ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Gdp Growth ◽  
Macroeconomic Indicators

The study investigates the query of structural break or unit root considering four macroeconomic indicators; unemployment rate, interest rate, GDP growth, and inflation rate of Pakistan. The previous studies create ambiguity regarding the stationarity and non-stationarity of these variables. We employ Zivot & Andrews (1992) unit root test and Step Indicator Saturation (SIS) method for multiple break detection in mean. GDP growth and inflation rate are stationary at level whereas unit root tests fail to reject the null hypothesis of the unemployment rate and interest rate at level. However, Zivot and Andrew unit root test with a single endogenous break indicates that the unemployment rate and interest rate are stationary at level with a single endogenous break. On the other hand, the SIS method reveals that the series are stationary with multiple structural breaks. It is inferred that it is inappropriate to take the first difference of the unemployment rate and interest rate to attain stationarity. The results of this study confirmed that there exist multiple breaks in the macroeconomic variables considered in the context of Pakistan.

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests

1996 ◽  
Vol 12 (4) ◽  
pp. 724-731 ◽  
Author(s):  
Jon Faust
Keyword(s):  
Unit Root ◽  
Sufficient Conditions ◽  
Unit Root Test ◽  
Asymptotic Distributions ◽  
Unit Root Tests ◽  
Finite Sample ◽  
Test Procedures ◽  
Asymptotic Size ◽  
Finite Sample Size ◽  
Topological Sense

Said and Dickey (1984,Biometrika71, 599–608) and Phillips and Perron (1988,Biometrika75, 335–346) have derived unit root tests that have asymptotic distributions free of nuisance parameters under very general maintained models. Under models as general as those assumed by these authors, the size of the unit root test procedures will converge to one, not the size under the asymptotic distribution. Solving this problem requires restricting attention to a model that is small, in a topological sense, relative to the original. Sufficient conditions for solving the asymptotic size problem yield some suggestions for improving finite-sample size performance of standard tests.

Testing the Unemployment Hysteresis for G-20 Countries

2018 ◽  
pp. 375-382 ◽  
Author(s):  
Veli Yilanci ◽  
Mahmut Unsal Sasmaz
Keyword(s):  
South Africa ◽  
United Kingdom ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Unemployment Rates

In this chapter, the authors analyze the validity of unemployment hysteresis for G-20 countries, namely Australia, Brazil, Canada, France, Germany, Indonesia, Italy, Japan, Korea, Mexico, Russia, South Africa, Turkey, United Kingdom, and USA for the 1960–2014 period. For this purpose, they examine the stationarity of the unemployment rates by using ADF unit root test and Fourier ADF (FADF) unit root tests. FADF unit root test is a recently introduced test whose power is not affected by the number, location, and form of the breaks. The results of the tests show that the unemployment hysteresis is valid for some of the countries.

UNCOVERED INTEREST PARITY IN ARGENTINA, BRAZIL, CHILE, AND MEXICO: A UNIT ROOT TEST APPLICATION WITH PANEL DATA

2004 ◽  
Vol 16 (3) ◽  
pp. 263-269 ◽  
Author(s):  
Jaimilton V. Carvalho ◽  
Adolfo Sachsida ◽  
Paulo R. A. Loureiro ◽  
Tito Belchior S. Moreira
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Uncovered Interest Parity ◽  
Test Application ◽  
Interest Parity

scholarly journals Purchasing Power Parity in Commonwealth of Independent States

2014 ◽  
Author(s):  
Gülçin Güreşçi Pehlivan ◽  
Esra Ballı ◽  
Muammer Tekeoğlu
Keyword(s):  
Time Series ◽  
Panel Data ◽  
Cross Section ◽  
Purchasing Power Parity ◽  
Unit Root ◽  
Unit Root Test ◽  
Purchasing Power ◽  
Power Parity ◽  
Panel Unit Root ◽  
Independent States

The Purchasing Power Parity suggests that differences in relative prices in two countries move together with nominal exchange rates in the long run. This study examines the validity of PPP as transition economies for Commonwealth of Independent States (CIS). Purchasing Power Parity holds only when the real exchange rate is stationary in the equation. To test the stationary, we used both time series and panel data analysis. Testing unit root both with time series and panel data in this study, provides us double check of the results. We also test the cross sectional dependence to choose the appropriate panel unit root test. Our test statistics indicate that there is cross section dependence between countries. Hence, one needs to take into consideration the cross section dependence while undertaking unit root tests. Otherwise, the results would be biased. ADF and KPPS indicate that PPP cannot be accepted for the countries except for Russia. According to the panel unit root test results indicate that PPP does not hold for Armenia, Belarus, Georgia, Kazakhstan and Kyrgyzstan except for Russia.

scholarly journals A Different Look at Cointegration Relationship between Quarterly Inflation Rates and Growth via Seasonal Integration Tests

2019 ◽  
Author(s):  
Sera Şanlı ◽  
Mehmet Özmen
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Maximum Order ◽  
Unit Root Testing ◽  
Testing Sequence ◽  
Inflation Rates ◽  
Cointegration Relationship ◽  
Integration Analysis

Detecting the direction of inflation-growth relationship has been a controversial issue in terms of the theoretical framework, notedly since the rise of Mundell-Tobin effect which is based upon the assumption of substitutability between money and capital. In this study, it has been aimed to investigate the cointegrating relationship and its direction between inflation and economic growth covering the period 1998Q1:2014Q4 for Turkey as grounded on the testing sequence that is illustrated by Ilmakunnas (1990) in order to handle unit root testing in a seasonal context by testing the appropriate order of differencing and concerns with the case where SI(2,1) (seasonally integrated of order (2,1)) is the maximum order of seasonal integration. It has been also utilized from ADF unit root test and DHF, HEGY & OCSB seasonal unit root tests in seasonal integration analysis. In the study, five cointegration regressions have been considered in the level, seasonally averaged, quarterly differenced, first differenced and twice differenced forms and two series have been found to have the same degree of seasonal integration as SI(1,1). Applying various residual tests have revealed the presence of a cointegrating relationship between two variables. In addition, the inflation-growth relationship in Turkey has been concluded to perform in an opposite direction.

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