UNEMPLOYMENT HYSTERESIS IN PIIGS COUNTRIES: A NEW TEST WITH BOTH SHARP AND SMOOTH BREAKS

2017 ◽  
Vol 62 (05) ◽  
pp. 1165-1177 ◽  
Author(s):  
JING-PING LI ◽  
OMID RANJBAR ◽  
TSANGYAO CHANG
Keyword(s):  
Structural Changes ◽  
Linear Method ◽  
Linear Process ◽  
Unit Root Tests ◽  
Proposed Model ◽  
Stationary Test ◽  
Data Generating Process ◽  
Unknown Form ◽  
Panel Stationary Test ◽  
Smooth Breaks

In this empirical study, we apply the Panel stationary test with both sharp and smooth breaks to re-examine the hysteresis hypothesis of unemployment for five high-debt countries, Portugal, Ireland, Italy, Greece and Spain (PIIGS) from 1960 to 2011. We find that our proposed model has greater power than a linear method if the true data-generating process of unemployment is a stationary, non-linear process of unknown form with structural changes. Hysteresis in unemployment is confirmed for all PIIGS countries when traditional unit root tests are employed; however, hysteresis in unemployment is confirmed only for Greece when our proposed Panel stationary test with both sharp and smooth breaks is utilized.

IS CHINA’S URBANIZATION CONVERGENT?

2016 ◽  
Vol 61 (05) ◽  
pp. 1550058 ◽  
Author(s):  
TIE-YING LIU ◽  
CHI-WEI SU ◽  
XU-ZHAO JIANG
Keyword(s):  
Low Income ◽  
Linear Method ◽  
Linear Process ◽  
High Income ◽  
Economic Evolution ◽  
Urbanization Process ◽  
Urbanization Level ◽  
Stationarity Test ◽  
Fourier Function ◽  
Smooth Breaks

In this study, we apply a stationarity test with a flexible Fourier function proposed by Enders and Lee [Oxford Bulletin of Economics and Statistics, 74 (2012) 574–599] to test the convergence of China’s urbanization. We find that our approximation has greater power to detect U-shaped and smooth breaks than the linear method if the urbanization is, in fact, a stationary non-linear process. It shows that the stationarity of the urbanization level varies across different regions where urbanization levels are convergent mainly in the middle- and low-income regions in China, while the high-income regions’ urbanization is divergent. This, in turn, shows that most of the regions, especially high-income regions, have their own economic evolution rules due to the degree of openness in the economy and urbanization process.

A parametric stationarity test with smooth breaks

2018 ◽  
Vol 23 (2) ◽  
Author(s):  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee ◽  
Li Ju Tsai
Keyword(s):  
Small Sample ◽  
Fourier Component ◽  
Deterministic Trend ◽  
Fisher Hypothesis ◽  
Trend Breaks ◽  
Stationarity Test ◽  
Unknown Form ◽  
Small Sample Sizes ◽  
Parametric Adjustment ◽  
Smooth Breaks

Abstract We propose a test to investigate the stationarity null against the unit-root alternative where a Fourier component is employed to approximate nonlinear deterministic trend of unknown form. A parametric adjustment is also adopted to accommodate possible stationary error. The asymptotic distribution of the test under the null is derived, and the asymptotic critical values are tabulated. We also show that it is a consistent test. Even with small sample sizes often encountered in empirical applications, our parametric stationarity test employing Fourier term has good size and power properties when trend breaks are gradual. The validity of the Fisher hypothesis for 15 OECD countries is investigated to illustrate the usefulness of our test.

scholarly journals Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks

2017 ◽  
Vol 6 (2) ◽  
pp. 80-87 ◽  
Author(s):  
Elie Bouri ◽  
Tsangyao Chang ◽  
Rangan Gupta
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Wine Market ◽  
Smooth Breaks

scholarly journals ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS

2012 ◽  
Vol 28 (5) ◽  
pp. 1121-1143 ◽  
Author(s):  
Tomás del Barrio Castro ◽  
Denise R. Osborn ◽  
A.M. Robert Taylor
Keyword(s):  
Unit Root ◽  
Unit Roots ◽  
Linear Process ◽  
Unit Root Tests ◽  
Nuisance Parameters ◽  
Martingale Difference ◽  
Linear Processes ◽  
Seasonal Unit Roots ◽  
Null Distributions ◽  
Augmented Dickey Fuller

In this paper we extend the large-sample results provided for the augmented Dickey–Fuller test by Said and Dickey (1984, Biometrika 71, 599–607) and Chang and Park (2002, Econometric Reviews 21, 431–447) to the case of the augmented seasonal unit root tests of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), inter alia. Our analysis is performed under the same conditions on the innovations as in Chang and Park (2002), thereby allowing for general linear processes driven by (possibly conditionally heteroskedastic) martingale difference innovations. We show that the limiting null distributions of the t-statistics for unit roots at the zero and Nyquist frequencies and joint F-type statistics are pivotal, whereas those of the t-statistics at the harmonic seasonal frequencies depend on nuisance parameters that derive from the lag parameters characterizing the linear process. Moreover, the rates on the lag truncation required for these results to hold are shown to coincide with the corresponding rates given in Chang and Park (2002); in particular, an o(T1/2) rate is shown to be sufficient.

scholarly journals Testing the Efficiency of the Art Market Using Quantile-Based Unit Root Tests with Sharp and Smooth Breaks

2017 ◽  
Vol 86 (4) ◽  
pp. 488-511 ◽  
Author(s):  
Goodness C. Aye ◽  
Tsang Yao Chang ◽  
Wen-Yi Chen ◽  
Rangan Gupta ◽  
Mark Wohar
Keyword(s):  
Unit Root ◽  
Art Market ◽  
Unit Root Tests ◽  
Smooth Breaks
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