scholarly journals A Different Look at Cointegration Relationship between Quarterly Inflation Rates and Growth via Seasonal Integration Tests

2019 ◽  
Author(s):  
Sera Şanlı ◽  
Mehmet Özmen
Keyword(s):  
Economic Growth ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Maximum Order ◽  
Unit Root Testing ◽  
Testing Sequence ◽  
Inflation Rates ◽  
Cointegration Relationship ◽  
Integration Analysis

Detecting the direction of inflation-growth relationship has been a controversial issue in terms of the theoretical framework, notedly since the rise of Mundell-Tobin effect which is based upon the assumption of substitutability between money and capital. In this study, it has been aimed to investigate the cointegrating relationship and its direction between inflation and economic growth covering the period 1998Q1:2014Q4 for Turkey as grounded on the testing sequence that is illustrated by Ilmakunnas (1990) in order to handle unit root testing in a seasonal context by testing the appropriate order of differencing and concerns with the case where SI(2,1) (seasonally integrated of order (2,1)) is the maximum order of seasonal integration. It has been also utilized from ADF unit root test and DHF, HEGY & OCSB seasonal unit root tests in seasonal integration analysis. In the study, five cointegration regressions have been considered in the level, seasonally averaged, quarterly differenced, first differenced and twice differenced forms and two series have been found to have the same degree of seasonal integration as SI(1,1). Applying various residual tests have revealed the presence of a cointegrating relationship between two variables. In addition, the inflation-growth relationship in Turkey has been concluded to perform in an opposite direction.

scholarly journals A Simple Integration Order Test: An Alternative to Unit Root Testing

2021 ◽  
Vol 2 (3) ◽  
pp. 77-85
Author(s):  
C. G. Amaefula
Keyword(s):  
Unit Root ◽  
Time Series Data ◽  
Test Procedure ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Stationary Time Series ◽  
Series Data ◽  
Unit Root Testing ◽  
Integration Test ◽  
Integration Order

The paper introduces order of integration test (OIT) which serves as a simple alternative to unit root test built generally using auxiliary autoregressive AAR(3) model. The parametric boundary conditions necessary and sufficient for testing the null hypothesis that the non-stationary variable under test is integrated order zero I(0) were estimated via generalized least squares (GLS). The decision on the hypothesis is evaluated using t-statistic. The test procedure was applied to a simulated non-stationary series (y1) of sample size n = 2000 and a known non-stationary time series data (y2) with two unit roots. The results showed that y1 is integrated order one (I(1)) and y2 is I(2). These results were confirmed by Augmented Dickey Fuller (ADF); Phillips-Perron (PP); Kwiatkowski, Phillips, Schmidt, and Shin (KPSS); Elliot, Rothenberg, and Stock Point Optimal (ERS) and Ng and Perron (NP) unit root tests. For logarithm transformed variable, the divergent opinions of other unit root tests in clear-cut solution of the integrated order of such variable makes the new test procedure a better alternative. Nevertheless, the simplicity and aptness of the integration order test give it leverage over conventional methods of unit root test.

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 THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

2020 ◽  
Vol 8 (4) ◽  
pp. 409-423
Author(s):  
Sümeyra GAZEL
Keyword(s):  
Developing Countries ◽  
Unit Root ◽  
Structural Break ◽  
Unit Root Test ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Developed Countries ◽  
Exchange Traded Funds ◽  
Unit Root Testing ◽  
Daily Data

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

scholarly journals The Relationship between Tax Revenue and Economic Growth in Nepal: A Co-integration Approach

2018 ◽  
Vol 11 (1) ◽  
pp. 28-36
Author(s):  
Gautam Maharjan
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Unit Root ◽  
Unit Root Test ◽  
Error Correction Model ◽  
Series Data ◽  
Tax Revenue ◽  
Correction Model ◽  
The Impact ◽  
The Relationship

The main objective of this paper is to examine the relationship between tax revenue and economic growth in Nepal. The 43 years' annual time series data from 1974/75 to 2016/17 of GDP, tax revenue and nontax revenue have been used to test the causal relationship of the variables. A unit root test, Engle-Granger’s co-integration and Error Correction Model have been applied for the data analysis. The variables have been found stationary after first differencing I(1) when Augmented Dickey-Fuller unit root test is employed. From Engel-Granger test, it has been found that the variables are co-integrated. The short-term coefficients are not significant, however error correction term (ECT) is significant and contains a negative sign in the error correction model (ECM). It validates the ECM model. The ECT has shown that the annual speed of adjustment from disequilibrium to equilibrium is 34.3 percent. So far as the relationship is concerned, there is a long run relationship between tax revenue and economic growth in Nepal controlling the non-tax revenue. The impact of tax revenue on economic growth could be a good impetus for the policy maker and planner to increase the collection of revenue for the country.

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests

1996 ◽  
Vol 12 (4) ◽  
pp. 724-731 ◽  
Author(s):  
Jon Faust
Keyword(s):  
Unit Root ◽  
Sufficient Conditions ◽  
Unit Root Test ◽  
Asymptotic Distributions ◽  
Unit Root Tests ◽  
Finite Sample ◽  
Test Procedures ◽  
Asymptotic Size ◽  
Finite Sample Size ◽  
Topological Sense

Said and Dickey (1984,Biometrika71, 599–608) and Phillips and Perron (1988,Biometrika75, 335–346) have derived unit root tests that have asymptotic distributions free of nuisance parameters under very general maintained models. Under models as general as those assumed by these authors, the size of the unit root test procedures will converge to one, not the size under the asymptotic distribution. Solving this problem requires restricting attention to a model that is small, in a topological sense, relative to the original. Sufficient conditions for solving the asymptotic size problem yield some suggestions for improving finite-sample size performance of standard tests.

scholarly journals Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests

2014 ◽  
Vol 83 (6) ◽  
pp. 676-700 ◽  
Author(s):  
Kaddour Hadri ◽  
Eiji Kurozumi ◽  
Daisuke Yamazaki
Keyword(s):  
Panel Data ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests

Testing the Unemployment Hysteresis for G-20 Countries

2018 ◽  
pp. 375-382 ◽  
Author(s):  
Veli Yilanci ◽  
Mahmut Unsal Sasmaz
Keyword(s):  
South Africa ◽  
United Kingdom ◽  
Unit Root ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Unemployment Rates

In this chapter, the authors analyze the validity of unemployment hysteresis for G-20 countries, namely Australia, Brazil, Canada, France, Germany, Indonesia, Italy, Japan, Korea, Mexico, Russia, South Africa, Turkey, United Kingdom, and USA for the 1960–2014 period. For this purpose, they examine the stationarity of the unemployment rates by using ADF unit root test and Fourier ADF (FADF) unit root tests. FADF unit root test is a recently introduced test whose power is not affected by the number, location, and form of the breaks. The results of the tests show that the unemployment hysteresis is valid for some of the countries.

scholarly journals Causal Relationship between Foreign Direct Investment and Economic Growth in Nigeria: 1970-2013

2015 ◽  
Vol 7 (11) ◽  
pp. 230 ◽  
Author(s):  
Uwazie I. U. ◽  
Igwemma A. A. ◽  
Nnabu Bernard Eze
Keyword(s):  
Economic Growth ◽  
Foreign Direct Investment ◽  
Unit Root ◽  
Direct Investment ◽  
Developing Economies ◽  
Unit Root Test ◽  
Annual Data ◽  
Policy Reforms ◽  
Causality Test ◽  
Long Run

Foreign direct investment is presumed to play immense role in economic growth in both developed and developing economies. This assumption has motivated the army of studies to actually determine the nexus between foreign direct investment and economic growth in Nigeria. But these studies were not unified on the direction of the causation, hence the need for the study. To effectively analyze the result, the study employs vector error correction model method of causality to analyze the annual data for the periods of 1970 to 2013. The Augmented Dickey-Fuller (ADF) unit root test show presence of unit root at level but stationary after first difference. The Johansen cointegration test confirms that the variables are cointegrated while the granger causality test affirms that foreign direct investment and economic growth reinforce each other in the short run in Nigeria. Also, it is reported that foreign direct investment granger cause economic growth both in the short and long run in Nigeria. Based on these findings, the study advocates the adoption of aggressive policy reforms to boost investors’ confidence and promotion of qualitative human capital development to lure FDI into the country. It also suggests the introduction of selective openness to allow only the inflow of FDI that have the capacity to spillover to the economy. These will attract FDI and boost economic growth in Nigeria.

scholarly journals DAMPAK TINGKAT SUKU BUNGA KREDIT, INFLASI DAN PERTUMBUHAN EKONOMI TERHADAP JUMLAH KREDIT BANK UMUM SWASTA NASIONAL YANG DISALURKAN DI INDONESIA

2019 ◽  
Vol 2 (1) ◽  
pp. 33-44
Author(s):  
Muhammad Rizki Saputra ◽  
Ryan Juminta Anward ◽  
Rizali Rizali
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Interest Rate ◽  
Unit Root ◽  
Unit Root Test ◽  
Statistical Test ◽  
Economic Variable ◽  
Quarterly Data ◽  
Private Banks ◽  
Econometric Technique

The objective of this research is to (1) analyse the influence of loan interest rate, inflation and economic growth to loans disbursed by national private banks in Indonesia. This research uses quarterly data for ten years from 2007 to 2016. The methodology used in this research is time series econometric technique which is the unit root test, statistical test and classical assumption test. The result of this research shows that loan interest rate and inflation variable have a negative correlation and statistically is not significant to loans that disbursed by national private banks in Indonesia. While Indonesian economic growth and global economic variable have a positive correlation and statistically is significant to loans that disbursed by national private banks in Indonesia.

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