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Identification of the true break date in innovational outlier unit root tests

Popp, Stephan - 2007

estimation of the break date leads to considerable spurious rejections of the null hypothesis in small samples. In this paper …

Persistent link: https://www.econbiz.de/10010300218

A Nonlinear Unit Root Test in the Presence of an Unknown Break

Popp, Stephan - 2008

The Perron test is the most commonly applied procedure to test for a unit root in the presence of a structural break of unknown timing in the trend function. Deriving the Perron-type test regression from an unobserved component model, it is shown that the test regression in fact is nonlinear in...

Persistent link: https://www.econbiz.de/10010264716

The persistence of current account balances and its determinants: The implications for global rebalancing

Clower, Erica; Ito, Hiro - 2012

This paper examines the statistical nature of the persistency of current account balances and its determinants. With the assumption that stationary current account series ensures the long-run budget constraint while countries may experience "local non-stationarity" in current account balances,...

Persistent link: https://www.econbiz.de/10010397237

Analyzing the Present Sustainability of Turkey’s Current Account Position

Oğuş, Ayla; Sohrabji, Niloufer - 2008

In this paper we assess the present sustainability of Turkey's current account position using the framework provided by … sustainability indicators as well. Using data for three periods, 1991-1993, 1998-2000 and 2004-2006 we evaluate the present … sustainability in light of the prior two crises (1994, 2001). Based on our analysis of these factors in the extended framework, we …

Persistent link: https://www.econbiz.de/10011807189

Intertemporal solvency of Turkey’s current account

Oğuş Binatlı, Ayla; Sohrabji, Niloufer - 2008

We test for sustainability of Turkey's current account position between 1992 and 2007 using the intertemporal solvency … tests to determine linkages between exports and imports+ in Turkey. Using the Johansen test we find no cointegration and … strong sustainability of the current account position. We find evidence for weak sustainability but reject strong …

Persistent link: https://www.econbiz.de/10011807191

Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships

Heidari, Hassan; Katircioglu, Salih Turan; Davoudi, Narmin - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-46, pp. 1-18

This paper provides new evidence on the long-run relationship between exports and imports of the Iranian economy by employing bounds testing approach to level relationships. In Iran, there have been many unusual policy changes and/or external shocks to the economy; this has resulted in the...

Persistent link: https://www.econbiz.de/10010310957

Reviewing the sustainability/stationarity of current account imbalances with tests for bounded integration

Herwartz, Helmut; Xu, Fang - 2006

We investigate for 26 OECD economies if their current account imbalances are driven by stochastic trends. Standard ADF results are contrasted with tests accounting for the bounded support of the current account. Neglecting the latter feature might give misleading results in the sense that ADF...

Persistent link: https://www.econbiz.de/10010296260

Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung

Meier, Carsten-Patrick - 2000

This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trend-stationary model. Explicit consideration of breaks in the trend is not...

Persistent link: https://www.econbiz.de/10010265453

Testing for a break in persistence under long-range dependencies and mean shifts

Sibbertsen, Philipp; Willert, Juliane - 2009

We show that the CUSUM-squared based test for a change in persistence by Leybourne et al. (2007) is not robust against shifts in the mean. A mean shift leads to serious size distortions. Therefore, adjusted critical values are needed when it is known that the data generating process has a mean...

Persistent link: https://www.econbiz.de/10010270042

Unit root testing

Wolters, Jürgen; Hassler, Uwe - 2005

The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey...

Persistent link: https://www.econbiz.de/10010299087

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