Panel Unit-root Tests for Heteroskedastic Panels

2018 ◽  
Vol 18 (1) ◽  
pp. 184-196 ◽  
Author(s):  
Helmut Herwartz ◽  
Simone Maxand ◽  
Fabian H. C. Raters ◽  
Yabibal M. Walle
Keyword(s):  
Unit Root ◽  
Serial Correlation ◽  
Unit Root Tests ◽  
Order Selection ◽  
Time Varying ◽  
Development Research ◽  
Computational Statistics ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
European Governance

In this article, we describe the command xtpurt, which implements the heteroskedasticity-robust panel unit-root tests suggested in Herwartz and Siedenburg (2008, Computational Statistics and Data Analysis 53: 137–150), Demetrescu and Hanck (2012a, Economics Letters 117: 10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for European, Governance and Economic Development Research Discussion Papers 314). While the former two tests are robust to time-varying volatility when the data contain only an intercept, the latter test is unique because it is asymptotically pivotal for trending heteroskedastic panels. Moreover, xtpurt incorporates lag-order selection, prewhitening, and detrending procedures to account for serial correlation and trending data.

scholarly journals On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions

2019 ◽  
Vol 12 (3) ◽  
pp. 117
Author(s):  
Martin Arnold ◽  
Christoph Hanck
Keyword(s):  
Unit Root ◽  
Size Control ◽  
Testing Procedure ◽  
Unit Root Tests ◽  
Computational Statistics ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
Inflation Rates ◽  
Combined Test ◽  
Contradictory Evidence

Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational Statistics & Data Analysis 2008, 53, 137–150) and Demetrescu and Hanck (Econometrics Letters 2012, 117, 10–13) have different performances under both the null and local alternatives. Common practice in empirical research is to apply multiple tests if none is uniformly superior. We show that this approach tends to produce contradictory evidence for the tests considered, making it unclear whether to reject the null. To address this problem, we advocate a combined testing procedure. Simulation evidence shows that the combined test has good size control and closely tracks the more powerful test. An empirical application reinvestigates whether there is a unit root in OECD inflation rates. We find evidence that inflation is stationary for long observation periods, but we cannot reject nonstationarity in most subsets of countries for the last three decades.

Hysteresis in unemployment: empirical evidence from Taiwan's region data based on panel unit root tests

2007 ◽  
Vol 39 (10) ◽  
pp. 1335-1340 ◽  
Author(s):  
Tsangyao Chang ◽  
Ming Jing Yang ◽  
Hui-Chin Liao ◽  
Chia-Hao Lee
Keyword(s):  
Empirical Evidence ◽  
Unit Root ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
Region Data

scholarly journals HAS INFLATION TARGETING BEEN SUCCESSFUL? EVIDENCE FROM UNIT ROOT TESTS

2019 ◽  
Vol 78 (308) ◽  
pp. 120
Author(s):  
Mesut Turkay ◽  
Burak Sencer Atasoy
Keyword(s):  
Time Series ◽  
Unit Root ◽  
Inflation Targeting ◽  
Inflation Rate ◽  
Unit Root Tests ◽  
Policy Framework ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
The World ◽  
Monetary Policy Framework

<p class="run-in" align="center"><strong>ABSTRACT</strong></p><p>The popularity of inflation targeting has risen in the last decade and the number of countries that adopted inflation targeting as their monetary policy framework surpassed 40 by the end of 2016. This study analyzes whether inflation targeting around the world has been successful in terms of achieving the announced target and keeping inflation rate around it. We argue that a successful inflation targeting necessitates the deviation of inflation from the target be stationary. We employ both time series and panel unit root tests in order to analyze the stationarity properties of deviation of inflation from the target. Results of unit root tests provide evidence in favor of the success of inflation targeting framework around the world.</p><p align="center"><strong> </strong></p><p align="center"><strong>¿HAN SIDO EXITOSAS LAS METAS DE INFLACIÓN? RESULTADOS DE LAS PRUEBAS DE RAÍZ UNITARIA</strong></p><p class="run-in" align="center"><strong>RESUMEN</strong></p>La popularidad de las metas de inflación ha aumentado en la última década y el número de países que adoptaron metas de inflación como su marco de política monetaria sobrepasó los 40 a finales del 2016. Este estudio analiza si las metas de inflación alrededor del mundo han tenido éxito en términos de alcanzar el objetivo anunciado y mantener la tasa de inflación alrededor de su meta. Argumentamos que una meta exitosa de inflación requiere que la desviación de la inflación respecto a la meta sea estacionaria. Empleamos tanto series de tiempo como pruebas de raíz unitaria en panel con el fin de analizar las propiedades estacionarias de la desviación de la inflación en relación con el objetivo. Los resultados de las pruebas de raíz unitaria proporcionan evidencia a favor del éxito del marco de metas de inflación en todo el mundo.

scholarly journals Can the insider–outsider theory explain unemployment hysteresis in OECD countries?

2019 ◽  
Vol 72 (1) ◽  
pp. 149-163
Author(s):  
Dimitrios Bakas ◽  
Yousef Makhlouf
Keyword(s):  
Labour Market ◽  
Empirical Evidence ◽  
Unemployment Rate ◽  
Unit Root ◽  
Oecd Countries ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Panel Unit Root ◽  
Hysteretic Behaviour

Abstract Insider–outsider theory is often used as a basis for explaining the hysteretic behaviour of unemployment. Despite this, there is no empirical evidence about the validity of this theory on explaining the persistence of unemployment. This article addresses this gap, using various labour market proxies of insiders’ power for the OECD countries over 1960–2013 and employing panel unit root tests that exploit the information contained in these proxies. The results show that although the unemployment rate exhibits a pronounced hysteretic behaviour in OECD countries, this behaviour is reversed once we account for the insider–outsider proxies. Our findings thus validate the role of the insider–outsider theory as a key source of unemployment hysteresis.

scholarly journals Panel unit root tests and spatial dependence

2007 ◽  
Vol 22 (2) ◽  
pp. 339-360 ◽  
Author(s):  
Badi H. Baltagi ◽  
Georges Bresson ◽  
Alain Pirotte
Keyword(s):  
Unit Root ◽  
Spatial Dependence ◽  
Unit Root Tests ◽  
Panel Unit Root Tests ◽  
Panel Unit Root
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