In this paper we analyze the asymptotic properties of the popularly used distribution tail estimator by B. Hill (1975), for heavy-tailed heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for functionals of mixingales and L1-approximable processes with regularly...

The purpose of the paper is to examine the nature of Greek regional unemployment. The paper contributes to the literature assessing the stochastic properties of Greek unemployment rate in the context of the Greek regions by relying on various univariate and panel unit root tests. In particular,...

The purpose of this paper is to investigate the stochastic behavior of corporate debt ratios utilizing a balanced panel of 2,556 publicly traded US firms during the period 1997 - 2010. We partition the panel into ten economic sectors and perform panel unit root tests on each sector employing...

This study aims to investigate, for the first time in the literature, the stochastic properties of the US aggregate health-care price inflation rate series, using the data on health-care inflation rates for a panel of 17 major US urban areas for the period 1966-2006. Design/methodology/approach...

The purpose of this paper is to investigate the stochastic behavior of corporate debt ratios utilizing a balanced panel of 2,556 publicly traded US firms during the period 1997 - 2010. We partition the panel into ten economic sectors and perform panel unit root tests on each sector employing...

Purpose This study aims to investigate, for the first time in the literature, the stochastic properties of the US aggregate health-care price inflation rate series, using the data on health-care inflation rates for a panel of 17 major US urban areas for the period 1966-2006....

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...