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Are unemployment rates in OECD countries stationary? : evidence from univariate and panel unit root tests
Khraief, Naceur; Shahbaz, Muhammad; Heshmati, Almas; … - 2015
This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980-2013. Numerous … empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can … time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment …
Persistent link: https://www.econbiz.de/10011407928
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Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests
Khraief, Naceur - 2016
This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980-2013. Numerous … empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can … time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment …
Persistent link: https://www.econbiz.de/10013002448
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Getting PPP right : identifying mean-reverting real exchange rates in panels
Chortareas, Georgios E. (contributor);  … - 2008
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10003740322
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An intersection test for panel unit roots
Hanck, Christoph - 2008
This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for Multiple Tests of Significanceʺ] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only...
Persistent link: https://www.econbiz.de/10003835930
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The effects of variance breaks on homogenous panel unit root tests
Herwartz, Helmut; Siedenburg, Florian - 2009
Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...
Persistent link: https://www.econbiz.de/10003887238
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A factor analysis approach to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Borys, Magdalena Morgese - 2009
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...
Persistent link: https://www.econbiz.de/10003951784
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Are PPP tests erratically behaved? : some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than...
Persistent link: https://www.econbiz.de/10003394591
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Testing for unit roots in nonlinear dynamic heterogeneous panels
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....
Persistent link: https://www.econbiz.de/10002595402
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A factor analysis approach to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Borys, Magdalena Morgese - 2009
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...
Persistent link: https://www.econbiz.de/10008939455
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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/10010517695