Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...

The literature has been notably less definitive in distinguishing between finite sample studies of seasonal stationarity than in seasonal unit root tests. Although the use of seasonal stationarity and unit root tests is advised to determine correctly the most appropriate form of the trend in a...

Researchers focus more on the relationship between research output and economic growth. The study of such a relationship is not only of theoretical interest, but it can also influence specific policies to improve the quality, and probably the quantity of research output. This paper has studied...

This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...

This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...

The convergence of air pollutants is a major concern for policy makers since all the countries pursue the goal of allocating the emissions equally internationally in the future. Hence the examination of the existence of convergence is important for the climate change protection of the earth. In...

This article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in MENA countries during a black swan period that is characterized by rarity and devastating impacts. By using the nonlinear and asymmetric causality test of Kyrtsou and Labys...

This paper empirically examines the causal linkages between policy uncertainty and house prices in a panel of seven advanced countries including Canada, France, Germany, Italy, Spain, the UK and the US. We implement a bootstrap panel causality test on quarterly data from 2001Q1 to 2013Q1, which...

This paper investigates the effect of oil rents on agriculture value added in oil producing Middle Eastern and North African (MENA) countries. Annual data from 1970 to 2011, panel cointegration tests by Pedroni (1999), long ran panel causality tests by Canning and Pedroni (2008), and two-step...

The persistence of macroeconomic shocks is one of the most investigated issues in empirical economics. Given the importance of industrial production, a highly seasonal variable with possible breaks, as measure of output in econometric models, in this study, we investigate the persistence...