TAR Panel Unit Root Tests and Real Convergence

Beyaert, Arielle; Camacho, Máximo

doi:10.1111/j.1467-9361.2008.00479.x

Cited by 50 publications

(54 citation statements)

References 13 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In this study, by employing the first approach, the existence of a convergence between the daily returns of cryptocurrencies are analyzed through the panel nonlinear TAR method. This method was developed by Beyaert and Camacho (2008) and was applied for the 12 European countries in order to determine whether their incomes are convergence. They found that there was convergence of income among 9 high-income countries but that when 3 low-income countries were included in the group, the convergence did not occur.…”

Section: Methodsmentioning

confidence: 99%

“…Based on findings also it is tried to developed suggestions for the investors who will form portfolios through these cryptocurrencies. Beyaert and Camacho (2008), examined the existence of a convergence in terms of national income per capita among European Union countries by nonlinear TAR unit root test for 1950-2004 period. As a result of the analysis, it was determined that there was convergence of income among 15 EU member countries, but the convergence disappeared when Eastern European countries are included in this group.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Investigation of Convergence in the Returns of Cryptocurrencies: Panel Nonlinear Tar Approach

Özyeşil

2019

isarder

View full text Add to dashboard Cite

Article Classification: Research ArticlePurpose -The main objective of this study is to establish/offer an optimal cryptocurrency portfolio for investors. For this purpose, the existence of convergence among the daily returns of cryptocurrencies is investigated. Through this study, it is aimed to determine whether cryptocurrencies are becoming alternative tools for each other or not.Design/methodology/approach -To conduct analysis a sample that includes six cryptocurrencies that have the highest market value and transaction volumes are built. The analysis is based on the daily returns of the cryptocurrencies for the 30.10.2016-12.05.2019 period. First, the linearity of the series of cryptocurrency returns is analyzed. The convergence among daily returns of these cryptocurrencies is examined by using a panel nonlinear TAR unit root test.Findings -According to Caner and Hansen (2001) Linearity Test Results, it is found out that the return of the cryptocurrencies is not linear. Based on Beyaert and Camacho (2008) Panel Nonlinear TAR Unit Root Test Results, it is determined that there is a convergence between the cryptocurrency returns on the condition that the daily cryptocurrency returns are higher than -5.958%.Discussion -According to the test results, it can be concluded that cryptocurrencies have not been substituted for each other yet. It seems, it is time to add cryptocurrencies to the portfolio for the investors and for the purpose of profit maximization, investors should consider making an optimal allocation/diversification among the cryptocurrencies.

show abstract

Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Investigation of Convergence in the Returns of Cryptocurrencies: Panel Nonlinear Tar Approach

Özyeşil

2019

isarder

View full text Add to dashboard Cite

show abstract

“…To do so, we use a heteroskedasticity-autocorrelation consistent Lagrange multiplier (LM) test and compute the p-values by a bootstrap method proposed by Hansen (1996). Second, we test whether the countries converge or diverge using a threshold autoregressive unit root test proposed by Caner and Hansen (2001) and extended for the panel-data model by Beyaert and Camacho (2008). In Model 3, if s1 = s2 = 0 then we say that the countries diverge.…”

Section: Threshold Regressions and Club Convergencementioning

confidence: 99%

“…Asterisks indicate a significance level of *1%, **5%, and ***10% at which the null of linearity is rejected. Dagger-reject the null of a unit root at the † 1% significance level based on the threshold autoregressive unit root test introduced by Caner and Hansen (2001) and extended for the panel-data model by Beyaert and Camacho (2008). Results for both tests are calculated using standard heteroskedasticity and autocorrelation corrected estimators.…”

Section: Evidence From Threshold Regression Models 421 Testing For mentioning

confidence: 99%

Barriers to price convergence

Glushenkova

Kourtellos

Zachariadis

2018

J of Applied Econometrics

View full text Add to dashboard Cite

This paper uncovers novel empirical patterns in the cross-country price mechanism using a nonlinear factor model and threshold regression analysis based on individual goods retail price data for a large panel of countries. To our knowledge, this is the first paper to find strong evidence for club convergence of retail prices. These clubs emerge due to the interaction of traded and nontraded factors. For example, countries physically closer to potential trade partners converge faster than countries in the high distance regime as long as they have low initial labor productivity or low initial income. Moreover, we find an asymmetry in the extent that arbitrage opportunities related to international trade are exploited, with low initial price regime countries exhibiting faster convergence from below than high initial price regime countries exhibit from above, consistent with less resistance to exporting than to importing due to political economy considerations. We interpret our findings as evidence of a local law of one price due to barriers to price convergence influencing the duration of the effect of price shocks. INTRODUCTIONThis paper contributes to the long-standing debate about price convergence by investigating the existence of club convergence in prices using semi-annual micro price-level data for 40 countries and 96 goods and services over the period 1990-2010. Our goal was to answer the following set of questions: Do retail prices for individual goods and services across countries globally converge to a single price or diverge? Do countries form price convergence clubs? If so, what factors determine these? To our knowledge, ours is the first study to find evidence of meaningful convergence clubs in the cross-country price mechanism. This means that there exists a tendency for prices across countries with identical structural characteristics to converge to one another if their initial prices are in the basin of attraction of the same steady-state equilibrium. We find that this tendency is induced by the interaction of traded and nontraded input components of retail prices.At the heart of the debate about price convergence is the law of one price (LOP), which asserts that, as a result of arbitrage, identical goods sold in different locations will have identical prices when expressed in terms of the same currency. Empirical evidence in favor of the LOP is mixed. According to one strand of the literature, the LOP does hold in the long run, conditional on cross-country structural heterogeneity due to transport costs and other barriers to trade. During the last decade, a number of studies have utilized micro price levels to assess the rate of price convergence and understand the mechanisms that determine cross-country price convergence. This includes Crucini and Shintani (2008) using Economist Intelligence Unit (EIU) annual price-level data for 1990-2005, Burstein and Jaimovich (2012) using barcode prices, and Andrade and Zachariadis (2016), who find relatively low half-lives using semi-annual EIU prices, also u...

show abstract

“…Utilizou-se uma versão adaptada da rotina em Gauss disponibilizada por esses autores na realização destes testes. e covariância utilizada por Beyaert e Camacho (2008), rejeitou-se a hipótese nula de não integração entre as séries de preço analisadas, conforme a Tabela 3. Esse resultado indica um processo de convergência entre as séries de preço de tomate nos 13 mercados analisados.…”

Section: Estimação Do Modelo Econométricounclassified

Convergência de mercados intrarregionais: o caso do mercado atacadista brasileiro do tomate

Tabosa

Ferreira

Castelar

2014

Rev. Econ. Sociol. Rural

View full text Add to dashboard Cite

Resumo: O objetivo deste artigo é analisar a existência de integração nos mercados atacadistas brasileiros de tomate, utilizando um painel dinâmico que permite efeitos limiares (threshold) para testar a hipótese de convergência desse mercado para a Lei do Preço Único. Os resultados favorecem a hipótese de integração entre os principais mercados brasileiros de tomate e, nesse processo, há evidências empíricas de custos de transação. Palavras-chaves:Tomate, convergência, integração de mercados, Brasil. Abstract: The objective of this paper is to examine the existence of integration in the

show abstract

TAR Panel Unit Root Tests and Real Convergence

Cited by 50 publications

References 13 publications

Investigation of Convergence in the Returns of Cryptocurrencies: Panel Nonlinear Tar Approach

Investigation of Convergence in the Returns of Cryptocurrencies: Panel Nonlinear Tar Approach

Barriers to price convergence

Convergência de mercados intrarregionais: o caso do mercado atacadista brasileiro do tomate

Contact Info

Product

Resources

About