1,721,186 research outputs found
A simple panel-CADF test for unit roots
Full text linkCopyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots. Oxford Bulletin of Economics and Statistics, 75: 276–296, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract.In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis
Aggregazione contemporanea e specificazione econometrica nella stima trimestrale dei conti economici nazionali
No full textIdentifying Stationary Series in Panels: A Monte Carlo Evaluation of Sequential Panel Selection Methods
No full textSequential panel selection methods (spsms — procedures that sequentially use conventional panel unit
root tests to identify I(0) time series in panels) are increasingly used in the empirical literature. We
check the reliability of spsms by using Monte Carlo simulations based on generating directly the individual asymptotic p values to be combined into the panel unit root tests, in this way isolating the classification
abilities of the procedures from the small sample properties of the underlying univariate unit root tests.
The simulations consider both independent and cross-dependent individual test statistics. Results suggest
that spsms may offer advantages over time series tests only under special conditions
An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks
No full textThis paper investigates the order of integration of inflation and interest rates in a panel of 19 countries. The results show that once multiple endogenous breaks are allowed for and appropriate critical values are used, the series appear to be I(0)
Divergence and Long-Run Equilibria in Italian Regional Unemployment Rates
No full textThe Italian labour market is characterized by large and persistent regional unemployment differentials. This study uses recent panel unit root and cointegration tests to derive the long-run properties of the Italian regional unemployment disparities. The empirical evidence suggests that the stochastic convergence hypothesis can be rejected. However, the existence of a long-run equilibrium relationship among regional unemployment rates cannot be excluded. Some possible implications of this finding are sketched
Stochastic convergence among European economies
No full textThe aim of this paper is to test the stochastic convergence in real per capita GDP for 15
European countries using non−stationary panel data approaches over the period 1950−2003.
Cross−sectional dependence is assumed due to the existence of strong linkages among
European economies. However, tests derived under the assumption of cross−sectional
independence are also carried out for completeness and comparison. We also split the whole
sample into two sub−periods (1950−1976, 1977−2003) in order to take into account the
effects of the first oil crisis (1973−1974) and to evaluate the robustness of the statistical
analysis. Our results offer little support to the stochastic convergence hypothesis for the
whole period, while suggest the presence of convergence in the first sub−period
A Simple Panel-CADF Test for Unit Roots
No full textIn this paper, we propose a simple extension to the panel case of the covariate-augmented
Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section
dependence. We show that the test has good size properties and gives power gains with
respect to other popular panel approaches.An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis
Stochastic convergence among European economies
No full textThe aim of this paper is to test the stochastic convergence in real per capita GDP for 15
European countries using non−stationary panel data approaches over the period 1950−2003.
Cross−sectional dependence is assumed due to the existence of strong linkages among
European economies. However, tests derived under the assumption of cross−sectional
independence are also carried out for completeness and comparison. We also split the whole
sample into two sub−periods (1950−1976, 1977−2003) in order to take into account the
effects of the first oil crisis (1973−1974) and to evaluate the robustness of the statistical
analysis. Our results offer little support to the stochastic convergence hypothesis for the
whole period, while suggest the presence of convergence in the first sub−period
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