This paper employs quarterly time series data to endogenously determine the timing of structural breaks for various macroeconomic variables in Korean economy. The Innovational Outlier (IO) as well as Additive Outlier models (Perron, 1997) are then used to test for non-stationarity of the Korean...

Many test statistics in econometrics have asymptotic distributions that cannot be evaluated analytically. In order to conduct asymptotic inference, it is therefore necessary to resort to simulation. Techniques that have commonly been used yield only a small number of critical values, which can...

In this paper, we propose a Nonlinear Dickey-Fuller F test for unit root against first order Logistic Smooth Transition Autoregressive LSTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller F test statistic is established under the null hypothesis of random walk...

Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models....

Evans (1991) demonstrates that the unit root tests recommended by Hamilton and Whiteman (1985) and Diba and Grossman (1988) will fail to detect periodically collapsing rational bubbles. Hall et al. (1999) however show that the power of this test procedure can be improved by incorporating a...

This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP, 2010) test and the Liu and...

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...

This paper uses the stochastic approach to convergence to investigate whether real per capita GDP in Portugal has been converging to the EU15 average. The estimation accounts for conditional convergence, transitional dynamics and up to two structural breaks. It is found that per capita GDP in...