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Testing for nonline...
Testing for nonlinear panel unit roots under cross-sectional dependency - With an application to the PPP hypothesis
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- Månsson, Kristofer (författare)
- Jönköping University,Internationella Handelshögskolan,Economics, Finance and Statistics
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- Sjölander, Pär (författare)
- Jönköping University,KTH,IHH, Economics, Finance and Statistics
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(creator_code:org_t)
- Jönköping : Elsevier BV, 2014
- 2014
- Engelska.
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Ingår i: Economic Modelling. - Jönköping : Elsevier BV. - 0264-9993 .- 1873-6122. ; 38, s. 121-132
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- In this paper we propose a number of nonlinear panel unit root tests that are robust to cross-sectional dependency. These tests may be used to test the null hypothesis of non-stationarity against the alternative that some or all of the time series in the system of equations follow a stationary exponential smooth transition autoregressive (ESTAR) process. In contrast to previous research we relax the assumption that the cross-correlation structure is driven by a common-factor and consider an endogenous correlation structure. Based on the size and power results from the Monte Carlo simulations we recommend using the Wald version of our cross-sectional dependent robust nonlinear panel unit root (CDR-NPU) method. Finally, in an empirical application we demonstrate that our more powerful nonlinear method, in contrast to previous methods, can provide support for PPP even in smaller samples. In consistency with the univariate tests in Bahmani-Oskooee et al. (2008) our CDR-NPU tests support the theory that less industrialized economies exhibit stronger and more distinct nonlinear adjustment patterns towards PPP.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Panel data
- Unit roots
- Nonlinearity
- ESTAR
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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