Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Zivot, Eric; Andrews, Donald W.K.

doi:10.1198/073500102753410372

Cited by 1,863 publications

(698 citation statements)

References 23 publications

Supporting

Mentioning

662

Contrasting

Unclassified

Order By: Relevance

“…These tests provide biased and spurious results due to non-availability of information about structural break points in series. In doing so, Zivot-Andrews [2] developed three models to test the stationarity properties of the variables in the presence of structural break point in the series: (i) this model allows a one-time change in variables at level form, (ii) this model permits a one-time change in the slope of the trend component i.e. function and (iii) model has one-time change both in intercept and trend function of the variables to be used for empirical analysis.…”

Section: Iiiii Zivot-andrews Unit Root Testmentioning

confidence: 99%

“…function and (iii) model has one-time change both in intercept and trend function of the variables to be used for empirical analysis. Zivot-Andrews [2] followed three models to validate the hypothesis of one-time structural break in the series as follows: …”

Section: Iiiii Zivot-andrews Unit Root Testmentioning

confidence: 99%

“…The present study contributes in energy economics by four ways: (i), we augmented the CO 2 emissions function by incorporating globalization as potential determinant of energy intensity, economic growth and CO 2 emissions; (ii) Zivot-Andrews [2]) unit root test has been applied in determining integrating order of the variables; (iii) Gregory-Hansen structural break cointegration test is used to examine the robustness of long run relationship between the variables and (iv), direction of causal relation is investigated by applying the VECM Granger causality test. Our findings confirm the existence of long run relationship between economic growth, energy intensity, globalization and CO 2 emissions.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Revisiting the environmental Kuznets curve in a global economy

Shahbaz

Öztürk

Afza

et al. 2013

Renewable and Sustainable Energy Reviews

288

104

View full text Add to dashboard Cite

Abstract:The present study deals with an empirical investigation between CO 2 emissions, energy intensity, economic growth and globalization using annual data over the period of 1970-2010 for Turkish economy. We applied unit root test and cointegration approach in the presence of structural breaks. The direction of causality between the variables is investigated by applying the VECM Granger causality approach. Our results confirmed the existence of cointegration between the series. The empirical evidence reported that energy intensity, economic growth (globalization) increase (condense) CO 2 emissions. The results also validated the presence of Environmental Kuznets curve (EKC). The causality analysis shows bidirectional causality between economic growth and CO 2 emissions. This implies that economic growth can be boosted at the cost of environment.

show abstract

Section: Iiiii Zivot-andrews Unit Root Testmentioning

confidence: 99%

Section: Iiiii Zivot-andrews Unit Root Testmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Revisiting the environmental Kuznets curve in a global economy

Shahbaz

Öztürk

Afza

et al. 2013

Renewable and Sustainable Energy Reviews

288

104

View full text Add to dashboard Cite

show abstract

“…However, Banerjee et al (1992) argues that the unit root test hypothesis could be biased if there is endogenous structure shock in the macroeconomic variables. In the same year, Zivot and Andrews (1992) proposed a unit root test, which identifies the single break point in the series. Later on, Lumsdaine and Papell (1997) further extended the ZA unit root test to identify two break points.…”

Section: Theoretical Backgroundmentioning

confidence: 99%

The sheer scale of China’s urban renewal and CO2 emissions: multiple structural breaks, long-run relationship, and short-run dynamics

Ahmed

2016

Environ Sci Pollut Res

View full text Add to dashboard Cite

In the light of urban environmental transition (UET) theory, this study explores the relationship between carbon dioxide (CO 2 ) emissions, economic growth, urbanization and trade openness using updated Chinese data over the extended period . After confirming that all the underlying series are stationary and adjusted with single structural break point, the results of auto-regressive distributed lag (ARDL) bounds test approach to cointegration confirms the cointegration between the variables. The long-and short-run dynamics reveal that urbanization reduces the CO 2 emissions both in short-and long-run, but statistically insignificant. These findings contrast with previous literature and sounds the validation of urban environmental transition theory (UET). However, economic growth and trade openness contribute environmental degradation both in long-and short-run paths. The causality analysis reports bidirectional causal link between trade openness and urbanization in the short-run. However, in the long-run, economic growth ranger cause carbon dioxide emissions, urbanization and trade openness. Similarly, trade openness Granger cause carbon dioxide emissions, economic growth and urbanization in the long-run. The overall results imply that rural to urban immigration is still mostly driven by exports related manufacturing sectors. In addition, the higher GDP also contributes to urbanization as a feedback effect. In the end, stability of the model is also checked, model found stable and findings are suitable for environmental policy control use.2

show abstract

“…Because ADF test and PP tests yielded very conflicting results for IND variable, the stationarity of the variables were also analyzed with the unit root test of Zivot and Andrews (1992) (ZA) considering a structural break. The test revealed a structural break in 2008 and IND variable was I(1).…”

Section: Unit Root Testmentioning

confidence: 99%

Financial development and tax revenues in Turkey: A non-linear cointegration analysis

Bayar¹,

Karamelikli²

2017

Eur J Appl Econ

View full text Add to dashboard Cite

Abstract:In this study, we investigated the interaction between tax revenue and major indicators of financial development including banking sector development and stock market development in Turkey using monthly data during the period January 2006 -January 2016 by employing the asymmetric ARDL cointegration method by Shin, Yu and GreenwoodNimmo (2014). Our findings suggested that development levels of both stock market and banking sector affected total tax revenues positively when nonlinearities were considered. However, we found that there was no relationship between financial development indicators and tax revenue when nonlinearities were ignored. So, our findings demonstrated that the appropriate modelling method considering the characteristics of the dataset is important to get the right results.

show abstract

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

Cited by 1,863 publications

References 23 publications

Revisiting the environmental Kuznets curve in a global economy

Revisiting the environmental Kuznets curve in a global economy

The sheer scale of China’s urban renewal and CO2 emissions: multiple structural breaks, long-run relationship, and short-run dynamics

Financial development and tax revenues in Turkey: A non-linear cointegration analysis

Contact Info

Product

Resources

About