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A number of papers have documented a significant decline in real GDP volatility in several major OECD economies. Some authors have presented evidence to suggest that this is the outcome of a one-off structural break from a high to low volatility state whilst others have estimated regime...
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panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First …, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common …
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detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic …
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models. In this paper we set forth four key properties which tests of multiple inequality constraints should ideally satisfy … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We … tests. A full asymptotic theory is provided for the baseline. Simulation results show that the finite-sample performance of …
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