Recently, Vogelsang (1999) proposed a method to detect outliers which explicitly imposes the null hypothesis of a unit root. It works in an iterative fashion to select multiple outliers in a given series. We show, via simulations, that under the null hypothesis of no outliers, it has the right...

We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are...

Using three different econometric methodologies, this paper identifies business cycles fluctuations in Canadian regions using quarterly real GDP for the period 1961:1 - 2000:1. With the estimates of the transitory and permanent components, as well as filtered and smoothed probabilities of being...

We analyze the empirical effects of different measures of labor standards on the export performance of the United States using annual data for the period 1950-1998, applying a time series approach based on the structural change literature. Hence, we estimate a model with endogenous breaks...

The behaviour of the long-run real exchange rate for four Latin-American countries is investigated for the period 1957-2002. The long-run real exchange rate is derived from an unobserved component model which divides the real exchange rate into a permanent and a transitory component. The...

When using quasi-differenced data in a model where a break in the intercept is allowed, asymptotic distributions of the M, ADF, and PT statistics are the same as those in the model where only an intercept and a time trend are included. However, the finite sample behaviour for common sample sizes...

Following Elliott (1999) and Perron and Rodríguez (2003), we develop unit root tests in the context of structural change models using GLS detrended data (Elliott, Rothenberg and Stock, 1996) when the initial observation is drawn from its unconditional distribution. We derive the limiting...

This paper uses six time series models to forecast seasonally unadjusted monthly data of Canadian enplaned/deplaned air passengers, for the domestic, transborder and international sectors. We find that forecasting performance of the models varies widely across series and forecast horizons. Our...

Standard econometric tests for whether money causes output will be meaningless if monetary policy is chosen optimally to smooth fluctuations in output. If U.S. monetary policy were chosen to smooth U.S. output, we show that U.S. money will not Granger cause U.S. output. Indeed, as shown by Rowe...

The paper introduces the concept of social divergence defined as the social barriers to communication and exchange between individuals and groups of individuals within a society. Social divergence is determined by the characteristics of a society including the distribution of income,...