Small Sample Testing For Unit Roots<sup>†</sup>

Harris, Richard

doi:10.1111/j.1468-0084.1992.mp54004010.x

Cited by 16 publications

(2 citation statements)

References 29 publications

(20 reference statements)

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“…test instead of the conventional A.D.F. test, as the latter may be unreliable in case of small sample data is as the case of this study (DeJong et al, 1992;Harris, 1992Harris, , 2009 and is an improvement of the A.D.F. test (Elliot, Rothenberg, & Stock, 1996).…”

Section: Empirical Analysismentioning

confidence: 87%

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

Hussain

Khan

et al. 2019

Economic Research-Ekonomska Istraživanja

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Exchange rate fluctuations play a vital role in influencing macroeconomic variables including economic growth via the channels of net exports and investments. This study claims to be the first in assessing the asymmetric effect of exchange rate fluctuations on G.D.P. in Pakistan whose currency had the title of 'worst currency of South Asia' in 2018 after more than 20% depreciation in just three months. In this study, we employ a recently developed technique of Non-linear A.R.D.L. by Shin, Yu, and Greenwood-Nimmo (2014) to test for possible asymmetric effect of exchange rate on G.D.P. along with the proxies of fiscal and monetary policies. Both A.R.D.L. and N.A.R.D.L. are applied on annual data range from 1972 to 2014. The results of A.R.D.L. are found poor and co-integration relationship lost when the assumption of symmetry is taken into consideration. On the contrary, Non-linear A.R.D.L. technique carry more rich information related to the issue at hand and co-integration relationship is confirmed. From the results we found that week currency hurts G.D.P. growth, while strong currency adds to growth. Besides these, we confirm asymmetric impact of exchange rate on G.D.P. growth in Pakistan and find the evidence of short-run, long-run and adjustment asymmetry. To achieve the objective of sustained growth, exchange rate management should focus to restore stability and go for more strong currency in Pakistan. Future research needs to consider capital flows and exchange rate regimes in the form of 'Sudden Stop hypothesis' when investigating the asymmetric impact of exchange rate.

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Section: Empirical Analysismentioning

confidence: 87%

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

Hussain

Khan

et al. 2019

Economic Research-Ekonomska Istraživanja

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“…The ARDL techniques cannot be applied in such a situation (Pesaran et al, 2001). It has been shown that Augmented Dickey Fuller (ADF) test is not reliable in the small sample studies (DeJong et al, 1992;Elliot et al, 1996;Harris, 2009) as is the case with our study.…”

Section: Dynamic Analysis Of the Impact Of The Famentioning

confidence: 53%

A Dynamic Analysis of the Impact of Fiscal Adjustment on Economic Growth: Evidence From Pakistan

Hussain

Ali

et al. 2021

Sage Open

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This study claims to be the first in assessing the short-run and long-run impacts of both the size and composition of fiscal adjustment on the growth in Pakistan. Empirical calibration has been made on Mankiw et al.’s model, while the Autoregressive Distributed Lag (ARDL) techniques of Pesaran et al. have been employed to carry out the estimation. To cure the problem of degenerate cases, the ARDL techniques have been augmented with the model of Sam et al. The analysis supports the hypothesis of “expansionary fiscal contraction” in the long run. The analysis reveals that the spending-based adjustment enhances the economic growth, whereas the tax-based adjustment would reduce the growth in the long run in the case of Pakistan. The Granger causality test indicates that the fiscal adjustments have been weakly exogenous, thereby allowing feedback effect from the economic growth toward the fiscal adjustment. Thus, the objective of sustained economic growth can be achieved through the spending-based consolidation measures.

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Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

Cushman

Lee

Thorgeirsson

1996

Journal of International Money and Finance

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Small Sample Testing For Unit Roots^†

Cited by 16 publications

References 29 publications

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

A Dynamic Analysis of the Impact of Fiscal Adjustment on Economic Growth: Evidence From Pakistan

Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

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Small Sample Testing For Unit Roots†

Cited by 16 publications

References 29 publications

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

An analysis of the asymmetric impact of exchange rate changes on G.D.P. in Pakistan: application of non-linear A.R.D.L.

A Dynamic Analysis of the Impact of Fiscal Adjustment on Economic Growth: Evidence From Pakistan

Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

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Product

Resources

About

Small Sample Testing For Unit Roots^†