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A wavelet-based pan...
A wavelet-based panel unit-root test in the presence of an unknown structural break and cross-sectional dependency, with an application of purchasing power parity theory in developing countries
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- Almasri, Abdullah, 1965- (author)
- Karlstads universitet,Handelshögskolan (from 2013),Department of Economics and Statistics, Karlstad University, Karlstad, Sweden
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- Månsson, Kristofer (author)
- Gothenburg University,Göteborgs universitet,Jönköping University,IHH, Statistik,Department of Economics and Statistics, Göteborg University, Göteborg, Sweden,Gothenburg Univ, Dept Econ & Stat, Gothenburg, Sweden.;Jonkoping Int Business Sch, Dept Econ Finance & Stat, Jonkoping, Sweden.,Institutionen för nationalekonomi med statistik,Department of Economics
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- Sjölander, Pär (author)
- Jönköping University,IHH, Statistik,Jonkoping Int Business Sch, Dept Econ Finance & Stat, Jonkoping, Sweden.
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- Shukur, Ghazi (author)
- Linnéuniversitetet,Institutionen för nationalekonomi och statistik (NS),Jönköping University,Department of Economics and Statistics, Linnaeus University, Växjö, Sweden,IHH, Statistik,Jonkoping Int Business Sch, Dept Econ Finance & Stat, Jonkoping, Sweden.;Linnaeus Univ, Dept Econ & Stat, Vaxjo, Sweden.
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(creator_code:org_t)
- 2016-09-25
- 2017
- English.
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In: Applied Economics. - : Taylor & Francis. - 0003-6846 .- 1466-4283. ; 49:21, s. 2096-2105
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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https://urn.kb.se/re...
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https://gup.ub.gu.se...
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Abstract
Subject headings
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- This article introduces two different non-parametric wavelet-based panel unit-root tests in the presence of unknown structural breaks and cross-sectional dependencies in the data. These tests are compared with a previously suggested non-parametric wavelet test, the parameteric Im-Pesaran and Shin (IPS) test and a Wald type of test. The results from the Monte Carlo simulations clearly show that the new wavelet-ratio tests are superior to the traditional tests both in terms of size and power in panel unit-root tests because of its robustness to cross-section dependency and structural breaks. Based on an empirical Central American panel application, we can, in contrast to previous research (where bias due to structural breaks is simply disregarded), find strong, clear-cut support for purchasing power parity (PPP) in this developing region.
Subject headings
- SAMHÄLLSVETENSKAP -- Annan samhällsvetenskap -- Övrig annan samhällsvetenskap (hsv//swe)
- SOCIAL SCIENCES -- Other Social Sciences -- Other Social Sciences not elsewhere specified (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)
Keyword
- Panel unit-root test
- cross-sectional dependency
- structural break
- wavelet
- Statistik
- Statistics
- Economics
- cross-sectional dependency
- Panel unit-root test
- structural break
- wavelet
Publication and Content Type
- ref (subject category)
- art (subject category)
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