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Does the labor-income process contain a unit root? Evidence from individual-specific time series
Gustavsson, Magnus; Österholm, Pär - 2010
Employing econometric methods for univariate time series, this paper investigates the empirical validity of assuming a unit root in individuals' labor-income processes. Using a Swedish register-based longitudinal dataset which allows us to follow a cohort of workers from 1968 to 2005, we are...
Persistent link: https://www.econbiz.de/10010321408
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10010280777
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2004
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows to identify the real exchange rates that are stationary …
Persistent link: https://www.econbiz.de/10010284185
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Testing mean stability of heteroskedastic time series
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C.B. - 2015
Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...
Persistent link: https://www.econbiz.de/10011460772
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A Note on the Pooling of Individual PANIC Unit Root Tests
Westerlund, Joakim - 2007
One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and … at the aggregate panel level. …
Persistent link: https://www.econbiz.de/10013208510
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Modeling event studies with heterogeneous treatment effects
Argys, Laura M.; Mroz, Thomas A.; Pitts, M. Melinda - 2023
This paper develops a simple approach to overcome the shortcomings of using a standard, single treatment-effect event study to assess the ability of an empirical model to measure heterogeneous treatment effects. Equally as important, we discuss how the standard errors reported in a typical...
Persistent link: https://www.econbiz.de/10014388425
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Panel data unit roots tests: The role of serial correlation and the time dimension
De Wachter, Stefan; Harris, Richard D. F.; Tzavalis, Elias - 2005
unit root in dynamic longitudinal data, known as panel data in econometrics. To this end, we introduce two test statistics … that (i) large time dimension panel unit root tests will suffer from serious size distortions in finite samples, even for … panel reduces the power of the unit root tests, possibly up to a point where the test becomes biased. However, near the unit …
Persistent link: https://www.econbiz.de/10010284195
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Does Unemployment Hysteresis Equal Employment Hysteresis?
Gustavsson, Magnus; Österholm, Pär - 2006
This paper investigates if conclusions regarding labour market hysteresis differ depending on whether employment or unemployment rates are studied. Applying a range of unit-root tests to monthly data from Australia, Austria, Canada, Finland, Sweden, the U.K. and the U.S., we find results for...
Persistent link: https://www.econbiz.de/10010321556
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Spectral approach to parameter-free unit root testing
Bailey, Natalia; Giraitis, Liudas - 2015
A relatively simple frequency-type testing procedure for unit root potentially contaminated by an additive stationary noise is introduced, which encompasses general settings and allows for linear trends. The proposed test for unit root versus stationarity is based on a finite number of...
Persistent link: https://www.econbiz.de/10011380974
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The Yen real exchange rate may be stationary after all: Evidence from nonlinear unit-root tests
Chortareas, Georgios; Kapetanios, George - 2003
The empirical literature that tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The yen real exchange rate behavior, as compared to other major currencies, has most stubornly challenged the PPP hypothesis...
Persistent link: https://www.econbiz.de/10010284216