A nonlinear approach to testing the unit root null hypothesis: an application to international health expenditures
In this article, we examine the unit root null hypothesis for per capita total Health Expenditures (HEs), per capita private HEs and per capita public HEs for 29 Organization for Economic Co-operation and Development (OECD) countries. The novelty of our work is that we use a new nonlinear unit root test that allows for one structural break in the data series. We find that for around 45% of the countries, we are able to reject the unit root hypothesis for each of the three HE series. Moreover, using Monte Carlo simulations, we show that our proposed unit root model has better size and power properties than the widely used Augmented Dickey--Fuller (ADF) and Lagrange Multiplier (LM) type tests.
Year of publication: |
2012
|
---|---|
Authors: | Narayan, Paresh Kumar ; Popp, Stephan |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 44.2012, 2, p. 163-175
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Investigating business cycle asymmetry for the G7 countries : evidence from over a century of data
Narayan, Paresh Kumar, (2009)
-
Can the electricity market be characterised by asymmetric behaviour?
Narayan, Paresh Kumar, (2009)
-
Testing the consumption based CAPM : evidence from a new approach
Narayan, Paresh Kumar, (2010)
- More ...