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This paper develops an improved test of economic convergence or divergence using time series methods. The usefulness of the method is illustrated in an analysis of the growth pattern between Chinese regions in 1952–2007. Comparing all combinations of regional pairs, the analysis yields support...
Persistent link: https://www.econbiz.de/10010611606
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.
Persistent link: https://www.econbiz.de/10010629338
In this paper we show the consequences of applying a panel unit root test that assumes independence between the cross-sections when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (2003), are influenced by a...
Persistent link: https://www.econbiz.de/10010630052
This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is...
Persistent link: https://www.econbiz.de/10005328835
New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe; France, Germany, Italy and the United Kingdom for the post-Bretton Woods period. We test for purchasing power parity between these four countries and find that the...
Persistent link: https://www.econbiz.de/10010321326
This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent ‡oat period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods,...
Persistent link: https://www.econbiz.de/10010321519
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