A CUSUM test is proposed for testing structural breaks in a long-memory heterogeneous autoregressive model. The limiting distribution of the CUSUM test is shown to be a simple function of a standard Brownian bridge, contrasting with the nuisance parameter dependent asymptotics of other CUSUM...

After independence, the GCC countries relied heavily on foreign workers from fellow Arabs countries. Thus, remittances flowed from GCC to other countries in MENA. In the 1980s-1990s labor source switched to South Asia, which we econometrically verify. This deprived several MENA labor exporters...

The relationship between government revenue and government expenditure has been an important topic in public economics, given its relevance for policy especially with respect to the budget deficit. The main purpose of this paper is to examine the relationship between government revenue and...

This article considers savings, investment and economic growth for India using annual time series data for the period 1950/51 to 2003/04. The analysis uses Perron's innovational outlier model to conduct unit root tests which endogenously determines structural break. The empirical results show...

This paper examines the ASEAN-5 countries and explores the impact of structural breaks on the level of financial integration in that region. An extended cointegration procedure allowing for three types of structural break, is employed and compared with the standard Johansen procedure, for daily...

This paper employs a structural time series model designed with three components of stochastic seasonality, trigonometric expression of cyclicality and local linear trend to investigate the evolutionary process of China's GDP. In particular, the model is able to detect the stop–go feature of...

This paper explores the response of the divorce rate to law reforms introducing unilateral divorce after controlling for law reforms concerning the aftermath of divorce, which are omitted from most previous studies. We introduce two main policy changes that have swept the US since the late...

This paper examines whether Russia suffers from “Dutch Disease” by investigating the real appreciation of the Russian ruble and the relative de-industrialization in the post Soviet Union-era. According to UNDP Russia Report (2009) the Russian economy has indeed exhibited some typical...

In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution...

This paper investigates the existence of arbitrage between index linked bonds and conventional bonds. The long-run equilibrium relationship among two French bonds yields (The OAT yields and OATi) is also studied empirically. In practice, the Johansen methodology is applied to estimate different...