Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests

Lee, Junsoo; Strazicich, Mark C.

doi:10.1111/1468-0084.00234

Cited by 247 publications

(192 citation statements)

References 12 publications

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“…This causes size distortion in such a way that the null hypothesis of unit root is often rejected than necessary. Further, Lee and Strazicich (2001) observed that Lumsdaine and Papell, (1997) calculate the break incorrectly at one period behind the true break which increases the size of break point. Strazicich, (2003, 2004) resolved this problem by proposing a different method of testing for unit root with an endogenous structural break that is not impaired by breaks under the null.…”

Section: Methodological Frameworkmentioning

confidence: 99%

Trivariate causality between economic growth, urbanisation and electricity consumption in Angola: Cointegration and causality analysis

2013

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This paper investigates the causal relationship between economic growth, urbanisation and electricity consumption in the case of Angola, utilizing the data over the period of . We have applied Strazicich (2003, 2004) unit root test to test the stationarity properties of the series. Gregory-Hansen structural break cointegration procedure as complement, we employed the ARDL bounds test to examine long run relationship. The VECM Granger causality test is subsequently used to examine the direction of causality between economic growth, urbanisation and electricity consumption. Our results indicate the existence of long run relationship. We further observe evidence in favour of bidirectional causality between electricity consumption and economic growth. The feedback hypothesis is also found between urbanization and economic growth. Urbanization and electricity consumption Granger cause each other. We conclude that Angola is an energy (electricity) dependent country. Consequently, the relevant authorities should boost electricity production as one of the means of achieving sustainable economic development for long span of time.

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Section: Methodological Frameworkmentioning

confidence: 99%

Trivariate causality between economic growth, urbanisation and electricity consumption in Angola: Cointegration and causality analysis

2013

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“…26 Thus, in this paper, we use the unit root test with two (endogenously determined) structural breaks proposed by Lee and Strazicich (2003) that have a higher power to detect the unit roots than previous tests. 27 26 See Perron and Ng, 1996;Lee and Strazicich, 2001. 27 For further details, see Lee and Strazicich (2003).…”

Section: Specification Issues and The Var Model Approachmentioning

confidence: 99%

Capital goods imports and long-run growth: Is the Chinese experience relevant to developing countries?

Herrerías¹,

Orts²

2013

Journal of Policy Modeling

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In this paper, we analyse the role played by capital goods imports in the long-run growth of developing countries. We focus in the case of the Chinese economy in the last few decades. We find evidence that the ratio of imported to domestic capital goods, that is, the composition of investment, as well as the capital accumulation (both physical and human) were key determinants of the long-run growth rate of per capita GDP over the analysed period. Furthermore, our results are also consistent with the hypothesis that the link between trade openness and long-run growth operates mainly through imports. This finding supports some recent developments of Schumpeterian models of growth, and the very specific economic policy recommendations arising thereof. In short, these models state that, in the early stages of growth, government intervention to encourage an investment-based strategy, with emphasis on large investment efforts and the adoption of foreign technology could be an appropriate strategy for development.JEL Classification: O40, O53, F1

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“…The ZA results indicate that the breakpoint occurs in 1988 for Number of station series, in 1974 for overall total series, in 1974 for line length series, in 1932 for passenger wagon series and in 1974 for freight series. To find out whether the inferences are affected by a different lag length procedure, the Schwarz bayesian criterion, as suggested by Lee and Strazicich (2001) was also used to determine the lag length. The break point was determined by the minimum SBC value.…”

Section: Data and Empirical Resultsmentioning

confidence: 99%

Transportation Sector in Turkey: Future Expectations About Railway Transportation of Turkey

Sevüktekin¹,

Keser²,

Ay³

et al. 2015

KAU İİBF

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Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests

Cited by 247 publications

References 12 publications

Trivariate causality between economic growth, urbanisation and electricity consumption in Angola: Cointegration and causality analysis

Trivariate causality between economic growth, urbanisation and electricity consumption in Angola: Cointegration and causality analysis

Capital goods imports and long-run growth: Is the Chinese experience relevant to developing countries?

Transportation Sector in Turkey: Future Expectations About Railway Transportation of Turkey

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