The performance of the Phillips and Perron unit root tests is examined using the optimal bandwidth selection procedure of Andrews and the pre-whitening procedure of Andrews and Monahan. It has been shown that they do not make significant improvements over the tests using fixed truncation lags.

This paper conducts the goodness of fit test of Bartlett (1954) on the stock prices of 12 countries during the period from January 1921 to December 1930 to examine the market efficiency hypothesis. The market efficiency hypothesis is not rejected for most European countries, but it is rejected...

This paper examines the accuracy of break point estimation using the endogenous break unit root tests of Zivot and Andrews (1992) and Perron (1997). We find that these tests tend to identify the break point incorrectly at one-period behind (T[subscript B] - 1) the true break point (T[subscript...

This paper proposes a cointegration approach to testing the validity long-run equilibrium in production, where capital and labour are taken as quasi-fixed inputs. Previous studies consider only capital as the quasi-fixed input and do not take account of the time series properties of the...

In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990. Recent studies by Ahrens and Sharma [1997], Berck and Roberts [1996], and Slade [1988], among others, find that many nonrenewable resource prices have a stochastic trend. We revisit this...

This paper empirically tests if U.S. regional per capita incomes are stochastically converging. We advance the issue by employing a LM panel unit root test that allows for region-specific structural breaks in compensating differentials. Both the number and location of the breaks are endogenously...