In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests...

We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...

This paper provides an empirical analysis on the determination of wages at the sectoral level in main industrial economies. Nominal wages are bargained between labour unions and employers in imperfect competitive markets, where spillovers across sectors might occur. Using a principal component...

The so-called Cauchy estimator uses the sign as instrument for the first lag in autoregressions, and the resulting t-type statistic has a standard normal distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF]...

Die Ergebnisse der Anpassung nach Arbeitsnachfrageschocks am Arbeitsort für Bundesländer und Kreise nach dem Modell von Blanchard/Katz (1992) entsprechen den Ergebnissen aus anderen Studien in diesem Bereich. Sie zeigen, dass die Anpassung auf regionsspezifische Schocks im Jahr des Schocks...

Die Studie untersucht Veränderungen der Arbeitslosenquote in westdeutschen Kreisen im Zeitraum 1992-2004 mit Hilfe der Chain Reaction Theory of unemployment (CRT). Die Schätzungen zeigen, dass sowohl Anpassungsprozesse als auch exogene Schocks für die Veränderungen verantwortlich waren....

Das Papier zeigt, dass die Verteilung der regionalen Arbeitslosenquoten in Deutschland stark persistentes Verhalten aufweist. Außerdem zeigen panel unit root tests und autoregressive modelle mit fixen Effekten, dass regionale Arbeitslosenquoten eher bedingter als unbedingter Konvergenz folgen....

We study the eventual structural differences of climate change leading 'actors' such as Northern EU countries, and 'lagging actors' - southern EU countries and the 'Umbrella group' - with regard to long run (1960-2001) carbon-income relationships. Parametric and semi parametric panel models show...

For spatial data with a sufficiently long time dimension, the concept of global cointegration has been recently included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...