This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the panel. Nonstationarity volatility arises for instance when there are structural breaks in...

Using an improved statistical methodology including tests designed for heterogeneous panels, this paper tests for mean reversion in monthly US Dollar based real exchange rates for nine East Asian countries, including those that were severely affected by the 1997 Asian financial crises. The...

Abstract: This paper empirically tests purchasing power parity (PPP) using panel unit root designed for heterogeneous panels. Monthly data of six East Asian countries (South Korea, Thailand, Indonesia, Malaysia, Singapore and the Philippines) were used to test the long-run PPP relationship. This...

We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...

In this paper we propose a new goodness-of-fit testing scheme for the marginal distribution of regime-switching models. We consider models with an observable (like threshold autoregressions), as well as, a latent state process (like Markov regime-switching). The test is based on the...

In this paper we propose a novel goodness-of-fit testing scheme for regime-switching models. We consider models with an observable, as well as, a latent state process. The test is based on the Kolmogorov-Smirnov supremum-distance statistic and the concept of the weighted empirical distribution...

This paper analyzes the stationarity of forward premiums in foreign exchange markets. Considering a wide range of countries and contract periods and taking into account cross-sectional correlations and heterogeneities in nonstationary environments, we con�rmed mixed evidence of stationary...

This paper proposes a reassessment to the hypothesis that the persistence of current earnings performance is decreasing in the magnitude of the accrual component of earnings and increasing in the magnitude of the cash flow component of earnings. For this purpose, a threshold autoregressive panel...

This paper examines the stationarity of real GDP per capita for 27 OECD countries during the period 1950 to 2004. Using ADF unit root test on single time series, it is found that real GDP per capita series of most OECD countries have unit root. This outcome, however, might be due to the...

As China’s role in world economy has steadily grown, her importance to the international trading and finance has also increased apace. A joint investigation of the international parity conditions for China and her thirteen major trading partners in Asia Pacific is thus conducted. Monthly...