-
1
New panel unit root and cointegration tests of purchasing power parity
Published 2003“…Panel unit root tests of PPP have re-affirmed the existence of this parity condition in some studies. …”
Get full text
Thesis -
2
Non-normality and recursive unit root tests for PPP : solving the PPP puzzle?
Published 2007“…In this paper we carry out unit root tests on real exchange rates recursively as in Caporale et al (2003), but, following Arghyrou and Gregoriou (2007), we adjust the residuals for non-normality using a wild bootstrap method. …”
Get full text
Article -
3
A nonlinear panel unit root test under cross section dependence
Published 2007“…We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. …”
Get full text
Article -
4
Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries
Published 2011“…This paper applies recently developed heterogeneous nonlinear and linear panel unit root tests that account for cross-sectional dependence to 24 OECD and 33 non-OECD countries’ consumption-income ratios over the period 1951–2003. …”
Get full text
Article -
5
Testing PPP for the South African Rand/US Dollar Real Exchange Rate at Different Data Frequencies
Published 2011“…Also, there appears to be a single break in December 2001 (possibly corresponding to a change in the monetary policy framework), with the unit root null being rejected in favour of d > 1 for the periods before the break, but not afterwards. …”
Get full text
Article -
6
US Disposable Personal Income and Housing Price Index: a Fractional Integration Analysis
Published 2011“…Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. …”
Get full text
Article -
7
Long memory and fractional integration in high frequency data on the US dollar / British pound spot exchange rate
Published 2013“…In particular, when the data are collected every 10 minutes there are several cases with values of d strictly smaller than 1, implying mean-reverting behaviour; however, for higher data frequencies the unit root null cannot be rejected. This holds for all four series examined, namely Open, High, Low and Last observations for the US dollar / British pound spot exchange rate and for different sample periods.…”
Get full text
Article -
8
Integration in the European retail banking sector : evidence from deposit and lending rates
Published 2009“…Second, we apply panel unit root tests that allow for structural breaks. In addition, we investigate both the 1990s and the more recent period, 2003-2008, thus providing a comparison between the new millenium and the 1990s. …”
Get full text
Article -
9
Forecasting exchange rates : an empirical investigation of advanced, emerging and frontier market economies
Published 2014“…The Lee and Strazicich (2003) unit root test was applied to examine the presence or otherwise of endogenous structural breaks. …”
Get full text
Thesis -
10
An empirical analysis of European retail banking integration
Published 2011“…Third, while allowing for structural breaks, panel unit root tests are applied to all the interest spread data. …”
Get full text
Thesis -
11
Structural changes and financial frictions in the monetary transmission mechanism : GMM, VAR and Bayesian DSGE approaches
Published 2016“…Specifically, the study examines the robustness of the Augmented Dickey-Fuller (ADF) and the ZA one break unit root tests to the presence of endogenously determined multiple structural breaks. …”
Get full text
Thesis -
12
An econometric model of the one million barrel tanker market
Published 1999“…In addition because the previous models did not test for unit roots in variables and the long run equilibrium of the series, the thesis has tested for these. …”
Get full text
Thesis