Nonparametric tests for unit roots and cointegration

Breitung, Jörg

doi:10.1016/s0304-4076(01)00139-7

Cited by 341 publications

(334 citation statements)

References 28 publications

Supporting

Mentioning

321

Contrasting

Unclassified

Order By: Relevance

“…To check the order of integration, we applied unit root tests, including the Levin-Lin-Chu (LLC) test (Levin et al 2002), Breitung (2002, Im-Pesaran-Shin (Im et al 2003) and the Fisher-type augmented Dickey-Fuller test (Maddala and Wu, 1999). The applicability of these tests was confirmed by the results of the cross-section dependence test (Pesaran, 2007), and the results are provided in Table-1.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

Exploring the relationship between energy usage segregation and environmental degradation in N-11 countries

Sinha

Shahbaz

Balsalobre

2017

Journal of Cleaner Production

269

109

View full text Add to dashboard Cite

Numerous studies regarding the economic growth-environmental pollution link have struggled to determine the effects of various forms of energy consumption on environmental degradation, particularly in the context of emerging economies. This study examines the environmental Kuznets curve (EKC) for CO 2 emissions in N-11 countries during 1990-2014 by segregating three forms of energy consumption (renewable, biomass and non-renewable). Urbanization and trade openness are additional explanatory variables that are used in the empirical framework. Using the Generalized Moments Method (GMM), the empirical evidence confirms the presence of an N-shaped relationship between economic growth and environmental degradation for N-11 countries. This study analyzed the interaction effects among trade openness, biomass consumption and economic growth; these interactions had a negative impact on CO 2 emissions levels of N-11 countries. Suitable policy recommendations have been provided based on the detailed results.

show abstract

Section: Empirical Results and Discussionmentioning

confidence: 99%

Exploring the relationship between energy usage segregation and environmental degradation in N-11 countries

Sinha

Shahbaz

Balsalobre

2017

Journal of Cleaner Production

269

109

View full text Add to dashboard Cite

show abstract

“…The nonparametric BVR test, that should perform well in light of nonlinear dynamics (see [67]), does not gain the upper hand in this setting, but slightly improves its relative positioning for φ L = φ U = 0.95 and stronger threshold nonlinearities. PGFF and PP remain at the top of the ranking.…”

Section: Results Type IVmentioning

confidence: 97%

On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts

Krauß

Herrmann

2017

JRFM

View full text Add to dashboard Cite

This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and MR(3)-STAR(1)-GARCH(1,1) processes contaminated with reversible and non-reversible jumps are used to model the cointegration relationship. In a Monte Carlo simulation, the power and size properties of ten cointegration tests are assessed. We find that in high-frequency settings typical for stock price data, power is still acceptable, with the exception of strong or very frequent non-reversible jumps. Phillips-Perron and PGFF tests perform best.

show abstract

“…Pioneered by Saikkonnen (1991) and generalized by Stock and Watson (1993), the econometrics technique allows for the estimation of a mixture of I(I) and I(0) variables, is robust in testing small samples, and avoids endogeneity. Normally, when applying PDOLS, the stochastic nature of the variables is tested using procedures developed by (i) Levin, Lin and Chu (LLC) (2002) and Breitung (2002), which both have a common unit root process as the null hypothesis; (ii) Lm, Pesaran and Shin (IPS) (2003) and Augmented Dickey Fuller -Fisher Chi square (ADF), which both have individual unit root processes as the null hypothesis; and (iii) the Hadri z -statistic, which has a null hypothesis ISSN 1948-5433 2014 of no unit root.…”

Section: The Econometric Method: Debt-growth Dynamics (Using Pdols)mentioning

confidence: 99%

Determining Optimal Public Debt and Debt-Growth Dynamics in the Caribbean

Wright¹,

Grenade²

2014

RAE

View full text Add to dashboard Cite

This study (i) investigates the debt-growth nexus and the non-linearity issue using panel dynamic ordinary least squares estimations and threshold dynamics in 13 Caribbean countries, (ii) calibrates an optimal debt/GDP ratio for each country using a modified Blanchard (1983) exercise, and (iii) tests the crowding out hypothesis by examining the debt-investment link. The empirical results support the view that there is a non-linear relationship between debt and growth. The findings suggest that there is a global tipping point for the debt/GDP ratio of 61 percent beyond which debt adversely impacts growth and investment. At the country level, the results show marked divergence between actual debt/GDP ratios and the calibrated optimal ratios. The empirical findings have policy relevance for Caribbean countries that are challenged by persistent high debt and low growth in the context where development is financed largely by debt accumulation.

show abstract

Nonparametric tests for unit roots and cointegration

Cited by 341 publications

References 28 publications

Exploring the relationship between energy usage segregation and environmental degradation in N-11 countries

Exploring the relationship between energy usage segregation and environmental degradation in N-11 countries

On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts

Determining Optimal Public Debt and Debt-Growth Dynamics in the Caribbean

Contact Info

Product

Resources

About