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Panel Unit Root Test (panel + unit_root_test)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

The Effect of Time-Series and Cross-Sectional Heterogeneity on Panel Unit Root Test Power

THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2002
John M. Geppert
Abstract Panel unit root tests represent a significant advancement in addressing the low power of unit root tests by exploiting cross-sectional and time-series information. In this article we employ Monte Carlo techniques to quantify the power improvements due to cross-sectional information and assess test sensitivity to heterogeneous data. Pooling the data alleviates negative effects of slowly adjusting equilibrium relations as well as persistence in the forcing variable. However, if the panel contains a mixture of unit root and stationary series, the power of the test decreases substantially and the interpretation of the results becomes tenuous. [source]

ARE OUTPUT FLUCTUATIONS TRANSITORY?

PACIFIC ECONOMIC REVIEW, Issue 4 2004
NEW EVIDENCE FROM 24 CHINESE PROVINCES
We examine this issue for 24 Chinese provinces using the recently developed Lagrange multiplier panel unit root test which allows for a structural break. Our main finding is that real gross domestic product (GDP) and real GDP per capita for Chinese provinces are stationary fluctuations around a deterministic trend. [source]

MEAN REVERSION OF THE FISCAL CONDUCT IN 24 DEVELOPING COUNTRIES

THE MANCHESTER SCHOOL, Issue 4 2010
AHMAD ZUBAIDI BAHARUMSHAH
In this paper, we examine the mean reverting behaviour of fiscal deficit by analysing the fiscal position of 24 developing countries. Using annual data over the period 1970,2003 and the series-specific panel unit root test developed by Breuer et al. (Oxford Bulletin of Economics and Statistics, Vol. 64 (2002), pp. 527,546), we found the budget process for most developing countries fails to satisfy the strong-form sustainability condition. Further investigation shows the budget process for a majority of the countries is on a sustainable path (weak form) when a one-time, structural break is allowed in the model. Therefore, our empirical results suggest that the budget process in most of the sample countries is in accordance with the intertemporal budget constraint. [source]

Pricing to Market Behavior by Canadian and U.S. Agri-food Exporters: Evidence from Wheat, Pulse and Apples

CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 2 2003
Richard Carew
A fixed-effects model to control for time variation in marginal costs is employed to pinpoint evidence of price discriminatory behavior of Canadian and U.S. exporters of agri-food products. We test for evidence of pricing to market behavior and whether price discrimination or commodity/country characteristics may provide a plausible explanation. A distinguishing feature of our approach is to examine the time-series properties of the data by the conventional augmented Dickey-Fuller and recently developed panel unit root test. The panel data set employed in this paper consists of annual exchange rates and export prices for three agri-food products (wheat, pulse and apples) exported by Canada and the U.S. in foreign markets during 1980,98. Our fixed-effects model suggests that U.S. exporters are sensitive to exchange rate changes, while Canadian exporters in most cases raised price markups in response to a depreciated currency in overseas markets. The results highlight the differences in pricing policy that both countries employ to merchandise agri-food products in export markets. Les auteurs ont recouru à un modèle à effets fixes pour contrôler la fluctuation des coûts marginaux dans le temps et montrer que les exportateurs canadiens et américains de produits agroalimentaires se comportent différemment dans l'établissement des prix. Ils ont tenté de vérifier si ce comportement varie avec les cours en vigueur sur le marché et essayé d'établir s'il s'explique par une discrimination au niveau des prix ou par les paramètres propres au produit ou au pays. Une particularité de cette approche est qu'elle tient compte des propriétés historiques des données en recourant à la version augmentée du test classique de Dickey Fuller et au tout nouveau test de racine unitaire reposant sur les panels. Le jeu de données recueillies par panel dont les auteurs se sont servis comprend le taux du change annuel et le prix d'exportation de trois produits agroalimentaires (blé, légumineuses à graine et pommes) que le Canada et les États-Unis ont écoulés sur les marchés étrangers entre 1980 et 1998. Le modèle à effets fixes laisse croire que les exportateurs américains sont sensibles au taux du change alors que, dans la plupart des cas, leurs homologues canadiens majorent les prix davantage consécutivement à une dépréciation des devises à l'étranger. Les résultats font ressortir les divergences entre les politiques de fixation des prix qu'emploient les deux pays pour écouler leurs produits agroalimentaires sur les marchés étrangers. [source]