A new unit root test against ESTAR based on a class of modified statistics

Kruse, Robinson

doi:10.1007/s00362-009-0204-1

Cited by 198 publications

(294 citation statements)

References 21 publications

(35 reference statements)

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“…The order of lags to compute the tests has been chosen using the modified AIC (MAIC) suggested by Ng and Perron (2001). The last three columns refer to the KSS (2003), Kruse (2011) and BBC (2004) tests. The Ng-Perron tests include an intercept, whereas the KSS, Kruse and BBC test have been applied to the de-meaned data.…”

Section: Resultsmentioning

confidence: 99%

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A further investigation of unemployment persistence in European transition economies

Cuestas

Gil-Alana

Stæhr

2011

Journal of Comparative Economics

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This paper analyses the dynamics of the unemployment rate in the eight countries from Central and Eastern Europe which joined the EU in 2004. Unit root tests allowing for nonlinearities and structural changes suggest that the unemployment rate is not stationary in most of the sample countries. Tests allowing for fractional integration, however, reveal that shocks are highly persistent, implying a slow rate of convergence to the natural rate of unemployment. The unemployment rate is least persistent in Hungary and Slovenia, more persistent in the Czech Republic, Slovakia and the Baltic States and extremely persistent in Poland. The degree of persistence appears to reflect the different levels of economic and institutional development in the countries and possibly also the role of the government. J.E.L. Classification: C32, E24

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Section: Resultsmentioning

confidence: 99%

“…Superscripts * and ** mean rejection of the null hypothesis at the 10% and 5% significance levels respectively. The critical values for the Ng-Perron, Kruse and BBC tests have been taken from Ng and Perron (2001), Kruse (2011) and BBC (2004) …”

Section: Resultsmentioning

confidence: 99%

A further investigation of unemployment persistence in European transition economies

Cuestas

Gil-Alana

Stæhr

2011

Journal of Comparative Economics

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“…To check the robustness of the results from the KSS nonlinear unit root tests, the study applied the Kruse (2011) nonlinear unit root tests. The results from the Kruse (2011) procedure are presented in Table 7. The results from the Kruse (2011) unit are consistent with those obtained from the KSS nonlinear unit root tests.…”

Section: Data and Description Statisticsmentioning

confidence: 99%

“…The results from the Kruse (2011) procedure are presented in Table 7. The results from the Kruse (2011) unit are consistent with those obtained from the KSS nonlinear unit root tests. In all of the cases, the results in Table 7 suggest that bonds, all, equity, and mortgage REIT returns are level stationary at the 1 percent level of significance.…”

Section: Data and Description Statisticsmentioning

confidence: 99%

Empirical Evidence on the Asymmetric Relationship between Bond and REIT Returns

Anoruo¹,

Elike²

2015

International Journal of Financial Research

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This paper examines the asymmetric relationship between bonds and REITs using monthly data from January 1972 through October 2014. In particular, the paper uses the nonlinear Granger causality test developed by Diks and Panchenko to underpin the dynamic interactions between bond yields and REIT returns. The results from the various unit root tests indicate that bond and REIT returns are level stationary. The results from the linear Granger causality test indicate that bond and REIT returns are not causally related. However, the results from the nonlinear Granger causality test results suggest that both bond and REIT returns have causal influence on each other. The results of this study suggest that diversification benefits cannot be attained by combining either all REITs or equity REITs in a portfolio with bonds. However, after the establishment of the 1992 Revenue Reconciliation Act, the results reveal that it is possible for investors to reduce their portfolio risks by combining bonds and mortgage REITs in their portfolios.

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“…The main advantage of this test is that results are not affected by the level of stationary. Concerning nonlinearity findings, the convergence of energy intensity among OECD countries is reviewed by using the nonlinear unit root tests of Kapetanios et al, [14] and tests of Kruse [15] and symmetric and unit root tests allowing for symmetric and asymmetric nonlinear adjustments which were developed by Sollis [16]. In this study, we considered the sensitivity of the relevant tests to lag length and selected appropriate lag length which was not used in various studies using these tests.…”

Section: Introductionmentioning

confidence: 99%

Convergence of Energy Intensity in OECD Countries

Canel¹,

Güri̇ş²,

Güri̇ş³

et al. 2017

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This paper investigates whether there is energy intensity convergence in the Organization for Economic Cooperation and Development (OECD) countries or not by using annual data from the 1980-2011 period. OECD countries are Australia, Austria, Belgium, Canada, Chile, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, North Korea, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, Turkey, UK, and USA. Energy intensity is measured by the ratio of total energy consumption to total output. Energy intensity measures the energy consumption of an economy and its overall energy efficiency. We used linear and nonlinear unit root tests from the recent literature to accomplish this goal. An analysis of the test results shows that there is no convergence in Chile, Finland, Greece, Ireland, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Portugal, Spain, Sweden, Switzerland, and the UK. These countries should start implementing changes to their energy policies to achieve effective energy use.

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A new unit root test against ESTAR based on a class of modified statistics

Abstract: (2003) is compared with the new test. The results suggest that the new test is generally superior in terms of power. An application to a real effective exchange rate underlines its usefulness.

Cited by 198 publications

References 21 publications

A further investigation of unemployment persistence in European transition economies

A further investigation of unemployment persistence in European transition economies

Empirical Evidence on the Asymmetric Relationship between Bond and REIT Returns

Convergence of Energy Intensity in OECD Countries

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