Results 21 to 30 of about 109,072 (312)
PROFIT RATE CONVERGENCE IN THE EUROPEAN ECONOMIC AREA: A PANEL DATA ANALYSIS [PDF]
Economic HorizonsThis paper examines profitability disparities across the European economies using the aggregate and sectoral data for the period from 1995 to 2019 and applying a combination of panel unit root tests and the club convergence procedure.
Ivan D. Trofimov
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Capital productivity in industrialised economies: Evidence from error-correction model and lagrange multiplier tests [PDF]
Ekonomski Anali, 2017 The paper re-examines the “stylized facts” of the balanced growth in developed economies, looking specifically at capital productivity variable. The economic data is obtained from European Commission AMECO database, spanning 1961-2014 period ...
Trofimov Ivan D.
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Commodity Prices and Unit Root Tests [PDF]
American Journal of Agricultural Economics, 2007 AbstractPrice theory suggests that commodity prices should be stationary series. Yet, tests for unit roots rather frequently imply that these prices are not stationary. This seeming inconsistency is investigated by applying alternative specifications of unit root tests to prices of corn, soybeans, barrows and gilts, and milk.
Wang, Dabin, Tomek, William G.
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Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests [PDF]
Managing Global Transitions, 2015 This study investigates the weak form efficient market hypothesis (EMH) for five generalized stock indices in the Johannesburg Stock Exchange (JSE) using weekly data collected from 31st January 2000 to 16th December 2014.
Andrew Phiri
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Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks
Wine Economics and Policy, 2017 This paper examines the efficient market hypothesis for the wine market using a novel unit root test while accounting for sharp shifts and smooth breaks in the monthly data.
Elie Bouri, Tsangyao Chang, Rangan Gupta
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The Structural Convergence of New Members of the European Union: An Input-Output Perspective
Economies, 2023 This paper aims to approach the topic of structural convergence for new member states from the perspective of input-output analysis. Using a set of input-output measures, based on the OECD RStan database, and a number of unit-root tests, both for ...
Petre Caraiani
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Detrending Bootstrap Unit Root Tests [PDF]
Econometric Reviews, 2013 The role of detrending in bootstrap unit root tests is investigated. When bootstrapping, detrending must not only be done for the construction of the test statistic, but also in the first step of the bootstrap algorithm. It is argued that the two issues should be treated separately.
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EconomiA, 2016 The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela.
Claudio Roberto Fóffano Vasconcelos +1 more
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Bounds, Breaks and Unit Root Tests [PDF]
Journal of Time Series Analysis, 2015 The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can affect the level and/or the boundaries of the time series. The paper proposes five unit root test statistics, whose limiting distribution is shown to depend on the number and ...
Carrión i Silvestre, Josep Lluís +1 more
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Cogent Economics & Finance, 2017 In this paper, we introduce a set of critical values for unit root tests that are robust in the presence of conditional heteroscedasticity errors using the normalizing and variance-stabilizing transformation (NoVaS) and examine their properties using ...
Panagiotis Mantalos
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