The price adjustment coefficient model of Amihud and Mendelson (1987) is shown to be suitable for estimation by the Kalman filter. A techique that, under some commonly used conditions, is asymptotically efficient. By Monte Carlo simulations it is shown that both bias and mean squared error are...

In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...

This paper attempts to make an innovative contribution to the growth literature by proposing a trade-induced catch up model in which imitation benefit is explicitly modelled and trade knowledge spillover is considered. The resulting income dynamics is in the error correction form. The Pooled...

In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using...

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...

In this paper two techniques, long memory and panel data models, are combined in order to increase the power of unit root tests. The power is shown to be always better against fractional alternatives and usually against autoregressive alternatives. The test is then used to reanalyze data sets...

This paper develops an improved test of economic convergence or divergence using time series methods by introducing nonlinear trends in the form of logarithmic trend functions into the vector error correction model. The usefulness of the method is illustrated in an analysis of the growth pattern...

In this paper a seasonal version of the KPSS test for unit roots are proposed and its asymptotic distribution is stated. Further, a small Monte Carlo simulation is used to analyse some size and power properties.