scholarly journals Stochastic Dynamics of the COVID-19 Case-Fatality Ratios in Indonesia, Malaysia, and the Philippines: Economic Implications for the Post-COVID-19 Era

2021 ◽  
Vol 9 ◽  
Author(s):  
Zili Shi ◽  
Hua Zhang ◽  
Ren Zhang ◽  
Lili Zhu
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Stochastic Dynamics ◽  
Developing Economies ◽  
Structural Break ◽  
Case Fatality ◽  
The Philippines ◽  
Economic Implications ◽  
Daily Frequency ◽  
Permanent Effect

This paper analyses the stochastic dynamics of the COVID-19 Case-Fatality Ratios (CFR) in three developing economies in East Asia: Indonesia, Malaysia, and the Philippines. The sample covers the daily frequency data from April 28, 2020, to June 29, 2021. For this purpose, we utilize two unit root tests, which consider one structural break and two structural breaks. The findings reveal that the CFR follows a unit root process in Indonesia and the Philippines. However, the CFR is stationary in Malaysia. This evidence indicates that the COVID-19 has a permanent effect in Indonesia and the Philippines but temporary in Malaysia. The paper also discusses the potential economic implications of these results for the post-COVID-19 era in the related developing economies.

A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?

2021 ◽  
Vol 3 (2) ◽  
pp. 80-92
Author(s):  
Sara Muhammadullah ◽  
Amena Urooj ◽  
Faridoon Khan
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Structural Break ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Gdp Growth ◽  
Macroeconomic Indicators

The study investigates the query of structural break or unit root considering four macroeconomic indicators; unemployment rate, interest rate, GDP growth, and inflation rate of Pakistan. The previous studies create ambiguity regarding the stationarity and non-stationarity of these variables. We employ Zivot & Andrews (1992) unit root test and Step Indicator Saturation (SIS) method for multiple break detection in mean. GDP growth and inflation rate are stationary at level whereas unit root tests fail to reject the null hypothesis of the unemployment rate and interest rate at level. However, Zivot and Andrew unit root test with a single endogenous break indicates that the unemployment rate and interest rate are stationary at level with a single endogenous break. On the other hand, the SIS method reveals that the series are stationary with multiple structural breaks. It is inferred that it is inappropriate to take the first difference of the unemployment rate and interest rate to attain stationarity. The results of this study confirmed that there exist multiple breaks in the macroeconomic variables considered in the context of Pakistan.

scholarly journals Energy Diversification and Economic Development in Emergent Countries: Evidence From Fourier Function-Driven Bootstrap Panel Causality Test

2021 ◽  
Vol 9 ◽  
Author(s):  
Veli Yilanci ◽  
Ilham Haouas ◽  
Onder Ozgur ◽  
Samuel Asumadu Sarkodie
Keyword(s):  
Economic Development ◽  
Structural Breaks ◽  
Developing Economies ◽  
The Philippines ◽  
Annual Data ◽  
Wealth Creation ◽  
Causality Test ◽  
Panel Causality ◽  
Emerging Nations ◽  
Fourier Function

Energy is a crucial development indicator of production, consumption, and nation-building. However, energy diversification highlighting renewables remains salient in economic development across developing economies. This study explores the economic impact of renewables (RE) and fossil fuel (NRE) utilization in 17 emerging nations. We use annual data with timeframe between 1980 and 2016 and propose a bootstrap panel causality approach with a Fourier function. This allows the examination of multiple structural breaks, cross-section dependence, and heterogeneity across countries. We validate four main hypotheses on the causal links attached to the energy consumption (EC)-growth nexus namely neutrality, conservation, growth, and feedback hypotheses. The findings reveal a causal relationship running from RE to GDP for Brazil, Egypt, Indonesia, Korea, Pakistan, and the Philippines, confirming the growth hypothesis. Besides, the results validate the conservation hypothesis with causality from GDP to RE for China, Colombia, Egypt, Greece, India, Korea, South Africa, and Turkey. We identify causality from NRE to GDP for Pakistan, Mexico, Malaysia, Korea, India, Greece, Egypt, and Brazil; and from GDP to NRE for Thailand, Peru, Malaysia, India, Greece, Egypt, and Colombia. We demonstrate that wealth creation can be achieved through energy diversification rather than relying solely on conventional energy sources.

scholarly journals Transportation Dynamic Behaviour of Structural Break and Consumer Price Index

2019 ◽  
Vol 8 (2) ◽  
pp. 283-290
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Price Index ◽  
Dynamic Behaviour ◽  
Structural Break ◽  
Consumer Price Index ◽  
Unit Root Test ◽  
Peninsular Malaysia ◽  
Cointegration Tests ◽  
Break Points

This paper studies the dynamic behaviour of transportation price in Peninsular Malaysia and Sabah from 2004 to 2015 using disaggregated monthly price data of consumer price index (CPI). For that, unit root tests and cointegration tests with structural breaks are incorporated. The findings indicated that (i) both Zivot and Andrews unit root test and Perron unit root test provided fairly similar results; most of the break points occurred in 2008, (ii) the variables cointegrate in the Johansen cointegration test which indicates that there is a long-run relationship and (iii) the Gregory and Hansen test also demonstrated some form of cointegration with structural break(s), especially in 2008. Overall, this study intends to match the structural break points with the comparable critical economic events

The effects of shocks on Turkish tourism demand: Evidence using panel unit root test

2020 ◽  
pp. 135481661989983 ◽  
Author(s):  
Yagmur Saglam ◽  
Apostolos Ampountolas
Keyword(s):  
Empirical Study ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Test ◽  
Transition Process ◽  
Smooth Transition ◽  
Tourism Demand ◽  
Panel Unit Root Test ◽  
Panel Unit Root

This empirical study examines the stationarity of tourism demand in Turkey in response to the effects of structural breaks, which indicate external or internal shocks based on tourist arrivals from 12 Slavic-speaking countries between 2000 and 2016. We employed a panel unit root test based on the Flexible Fourier approach, which Karul enhanced to allow gradual shifts and a smooth transition process; structural break dates come from the Carrion-i-Silvestre unit root test framework. The empirical findings indicate that there are differences in the effects of these structural breaks across the 12 countries in question.

Cointegration and Structural Breaks in German Employment – An Error-Correction Interpretation / Kointegration und Strukturbrüche in der deutschen Beschäftigung – Eine Fehlerkorrektur-Auslegung

1997 ◽  
Vol 216 (2) ◽  
Author(s):  
Ansgar Belke ◽  
Matthias Göcke
Keyword(s):  
Standard Model ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Adjustment Process ◽  
Economic Shocks ◽  
Equilibrium Relation ◽  
Long Run ◽  
The Standard Model ◽  
Ex Ante

SummaryIn order to differentiate between unit root-persistence and structural break-hysteresis we estimate two types of cointegration models for West German employment. The standard model is compared with a model including structural breaks in the long-run relation between employment and its determinants. Our estimation shows that persistence is probably attributed to structural breaks in the long-run relation and not to a degenerating adjustment process. Thus, a unit root in the standard model possibly reveals a misspecification in the form of an ex-ante exclusion of the possibility of structural breaks in the equilibrium relation due to serious economic shocks.

scholarly journals Smooth Break Detection and De-Trending in Unit Root Testing

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 371
Author(s):  
Furkan Emirmahmutoglu ◽  
Tolga Omay ◽  
Syed Jawad Hussain Shahzad ◽  
Safwan Mohd Nor
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Root Tests ◽  
Smooth Transition ◽  
Unit Root Testing ◽  
Augmented Dickey Fuller ◽  
Power Comparisons ◽  
Fourier Function ◽  
Unexpected Outcomes

This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions are considered. We perform a sequence of power comparisons among alternative unit root tests that accommodate smooth or sharp structural breaks. The power experiments demonstrate that the unit root tests utilizing the Fourier function lead to unexpected results. Furthermore, through simulation studies, we investigate the source of such unexpected outcomes. Moreover, we provide the asymptotic distribution of two recently proposed unit root tests, namely Fourier-Augmented Dickey–Fuller (FADF) and Fourier-Kapetanios, Shin and Shell (FKSS), which are not given in the original studies. Lastly, we find that the selection of de-trending function is pivotal for unit root testing with structural breaks.

Unit Root Tests of Structural Break with GARCH-Error Process

2012 ◽  
Vol 452-453 ◽  
pp. 986-990
Author(s):  
Jing Yong Wang ◽  
Li Da Xue
Keyword(s):  
Sample Size ◽  
Unit Root ◽  
Structural Breaks ◽  
Structural Break ◽  
Unit Roots ◽  
Test Statistic ◽  
Test Power ◽  
Nominal Size ◽  
Parameter Test ◽  
Garch Process

This paper studies the effect of GARCH process on the robustness and reliabilities of unit roots test with structural breaks. It gives that, as the GARCH process approaches integratedness, the test statistic’ the proportion of rejections reported actually increases as the sample size increases. Consequently, we can see that the standard asymptotic theory is inapplicable in this case. The statistic , their actual test size on the whole is accordant to nominal size in unit root and no break as the volatility parameter is small, =0 or approach to 0. The statistic exists a serious over sizing of null hypothesis as integratedness in all structural break type. The statistic test power increases as the sample size increases, but test power do not increases as the sample size increase under AR parameter. Test power increases as integratedness increases, and decreases as volatility parameter increases.

Structural breaks and labor market disparities in the Canadian provinces

2015 ◽  
Vol 42 (2) ◽  
pp. 322-342 ◽  
Author(s):  
Firouz Fallahi ◽  
Gabriel Rodríguez
Keyword(s):  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Time Series Data ◽  
Structural Break ◽  
Series Data ◽  
Stochastic Convergence ◽  
Content Type ◽  
Unemployment Rates ◽  
Canadian Provinces

Purpose – The purpose of this paper is to use quarterly time series data from Canada and the Canadian provinces to determine if the unemployment rates in the Canadian provinces are converging to the national rate of unemployment. Design/methodology/approach – First, the authors check for existence of stochastic convergence using recent unit root statistics, see Perron and Rodríguez (2003) and Rodríguez (2007). Second, the authors verify existence of convergence using methods proposed by Volgelsang (1998) and Bai and Perron (1998, 2003). All these methods allows for structural break(s) in the data. Findings – Results from different unit root tests, without and with structural breaks, confirm that stochastic convergence exists in all provinces. The other results show strong evidence that deterministic convergence exists and the unemployment rates of the Canadian provinces are converging to the unemployment rate of Canada. This conclusion is stronger when multiple breaks are allowed in the trend function using the approach of Bai and Perron (1998, 2003). Practical implications – Since the authors have verified the existence of stochastic convergence, any intervention in the labor markets of the Canadian provinces to control the provincial unemployment rate would have a temporary effect and these policies will not have a permanent influence on the unemployment rates. However, existence of β-convergence in the Canadian provinces shows that general policies toward lowering the national unemployment rate would decrease the provincial unemployment rates as well. Originality/value – To the best of the knowledge, the paper attempts to study the unemployment rate convergence in the Canadian provinces using the above-mentioned approaches. These approaches allow the authors to take into consideration the possibility of structural breaks in order to get results that are more accurate.

Testing the Unit Root Hypothesis When the Alternative is a Trend Break Stationary Process: An Application to Tourist Arrivals in Fiji

2005 ◽  
Vol 11 (3) ◽  
pp. 351-364 ◽  
Author(s):  
Paresh Kumar Narayan
Keyword(s):  
New Zealand ◽  
Structural Change ◽  
Unit Root ◽  
Structural Breaks ◽  
Stationary Process ◽  
Structural Break ◽  
Unit Root Tests ◽  
Test Statistic ◽  
Seminal Contribution ◽  
The Usa

The unit root hypothesis owes much to the work of Dickey and Fuller and has gained momentum since the seminal contribution of Perron (1989), who introduced the idea of structural breaks in unit root tests. In a recent study Sen (2003), extending the work of Zivot and Andrews (1992), recommends the F-test statistic for a unit root in the presence of a structural change in the economy. The central aim of this paper is to apply the Sen test to tourist arrivals to Fiji. The idea behind this exercise is to identify the year of the structural break and, more importantly, to examine whether the break has had a permanent or temporary effect on tourist arrivals in Fiji. Among our key results, we find that visitor arrivals in Fiji from Australia, New Zealand and the USA are stationary, implying that shocks have a temporary effect.

scholarly journals Is It the Natural Rate Hypothesis or the Hysteresis Hypothesis for Unemployment Rates in Newly Industrialized Economies?

2019 ◽  
Vol 22 (4) ◽  
pp. 39-55
Author(s):  
Dieu Nsenga ◽  
Mirada Nach ◽  
Hlalefang Khobai ◽  
Clement Moyo ◽  
Andrew Phiri
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
The Philippines ◽  
Unit Root Tests ◽  
Natural Rate ◽  
Unemployment Rates ◽  
Quarterly Data ◽  
Testing Procedures ◽  
Unit Root Testing ◽  
Conventional Unit

The focus of our study is on determining whether unemployment rates in 8 New Industrialized Economies conform to the natural rate hypothesis or the hysteresis hypothesis. To this end, we employ a variety of unit of unit root testing procedures to quarterly data collected between 2002:q1 and 2017:q1. Summarizing of our findings, conventional unit root tests which account neither for asymmetries nor structural breaks produce the most inconclusive results. On the other hand, tests which incorporate structural breaks while ignoring asymmetries tends to favour the natural rate hypothesis for our panel of countries. However, simultaneously accounting for asymmetries and unobserved structural breaks seemingly produces the most robust findings and confirms hysteresis in all unemployment rates except for Asian economies/countries of Thailand and the Philippines.

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