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Data Unit Root Tests (data + unit_root_test)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting75%

Kinds of Data Unit Root Tests

  • panel data unit root test
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    Selected Abstracts

    Is There a Natural Rate of Crime?

    AMERICAN JOURNAL OF ECONOMICS AND SOCIOLOGY, Issue 2 2010
    Paresh Kumar Narayan
    Studies in the economics of crime literature have reached mixed conclusions on the deterrence hypothesis. One explanation that has been offered for the failure to find evidence of a deterrent effect in the long run is the natural rate of crime. This article applies univariate unit root tests to crime series for the United Kingdom and United States and panel unit roots to crime rates for a panel of G7 countries to examine whether there is a natural rate of crime. Our main finding is that when we allow for two structural breaks in the univariate unit root test and a structural break in the panel data unit root test, there is strong evidence of a natural rate of crime. The policy implications of our findings is that governments should focus on altering the economic and social structural profile that determines crime in the long run rather than increasing expenditure on law enforcement that will at best reduce crime rates in the short run. [source]

    More powerful panel data unit root tests with an application to mean reversion in real exchange rates

    JOURNAL OF APPLIED ECONOMETRICS, Issue 2 2004
    L. Vanessa Smith
    Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected. Copyright © 2004 John Wiley & Sons, Ltd. [source]

    Market integration and convergence to the law of one price in the North American onion markets

    AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 2 2008
    Dwi Susanto
    The North American agricultural markets have become much more integrated; but the level of integration varies across sectors and over time. Differential tariff phasing-out periods and remaining trade disputes are two of many factors contributing to this. This article applies panel data unit root tests to study price convergence and market integration in the North American onion markets. Commodity and variety monthly base price data for the period of 1998 to 2006 are used. Empirical results decisively suggest the existence of price convergence across markets as well as onion varieties. A two-sample period analysis shows an increase in the speed of price convergence over time, suggesting deeper market integration as NAFTA was fully implemented. Further analysis based on a two-country-market basis found that U.S.,Canadian markets have experienced deeper market integration compared with U.S.,Mexican markets as well as Canadian,Mexican markets. [EconLit citations: F150, Q170]. © 2008 Wiley Periodicals, Inc. [source]

    Unemployment Hysteresis in Australian States and Territories: Evidence from Panel Data Unit Root Tests

    THE AUSTRALIAN ECONOMIC REVIEW, Issue 2 2003
    Russell Smyth
    This article tests for hysteresis by applying panel data unit root tests to quarterly unemployment rates for Australian states and territories between 1982:2 and 2002:1. Panel tests proposed by Levin and Lin (1992) using ordinary least squares and O'Connell (1998) using feasible generalised least squares (which assume that under the alternative hypothesis of stationarity, all labour markets revert to the natural rate at the same speed) provide evidence in support of the natural rate hypothesis. However, the panel test proposed by Im, Pesaran and Shin (1997), which does not assume that all cross-sectional units converge towards the equilibrium value at the same speed under the alternative and is therefore less restrictive than the other two panel tests, finds evidence of hysteresis. Given the advantages of the Im et al. (1997) test over the other two panel tests the results can be interpreted as being consistent with the existence of hysteresis in unemployment [source]