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Kuma, Jitendra; Chaturvedi, Anoop; Afifa, Umme - 2016

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...

Persistent link: https://www.econbiz.de/10011784564

The persistence of suicides in G20 countries between 1990 and 2017 : an SPSM approach to three generations of unit root tests

Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative economic research : Central and Eastern Europe 24 (2021) 2, pp. 153-173

Suicides represent an encompassing measure of psychological wellbeing, emotional stability as well as life satisfaction, and they have been recently identified by the World Health Organization (WHO) as a major global health concern. The G20 countries represent the powerhouse of global economic...

Persistent link: https://www.econbiz.de/10012666866

Are US real house prices stationary? : new evidence from univariate and panel data

Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011431067

Incidental Trends and the Power of Panel Unit Root Tests

Moon, Hyungsik Roger; Perron, Benoit; Phillips, Peter C. B. - 2013

The asymptotic local powers of various panel unit root tests are investigated. The power envelope is obtained under homogeneous and heterogeneous alternatives. It is compared with asymptotic power functions of the pooled t-test, the Ploberger-Phillips (2002) test, and a point optimal test in...

Persistent link: https://www.econbiz.de/10014075867

A New Approach for Analyzing Panel AR(1) Series with Application to the Unit Root Test

Hu, Yu-Pin - 2013

This paper derives several novel statistics to improve on the t-statistic for testing AR(1) coefficients of panel time series under the scenario of "small n large p", where n is the sample size and p is the dimension of panel series. These tests aim at maximizing the average power of individual...

Persistent link: https://www.econbiz.de/10013078409

International migration to Germany : estimation of a time-series model and inference in panel cointegration.

Brücker, Herbert; Siliverstovs, Boriss; Trübswetter, … - 2003

null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The …

Persistent link: https://www.econbiz.de/10011439458

Are the current accounts of Asian-5 economies mean-reverting? : new evidence from Fourier panel stationarity tests

Husein, Jamal; Kara, S. Murat; Pier, Chuck - In: Cogent economics & finance 11 (2023) 2, pp. 1-11

mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …

Persistent link: https://www.econbiz.de/10014501140

Unit root and cointegration tests : time-series versus panel estimates for international health expenditure models

Okunade, Albert A.; Karakus, Mustafa C. - In: Applied economics 33 (2001) 9, pp. 1131-1137

Persistent link: https://www.econbiz.de/10001595340

Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing

Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265

Persistent link: https://www.econbiz.de/10014228424

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … estimators making use of variants of homoskedasticity and stationarity restrictions as suggested in the literature in a … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

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