The Phillips unit root tests for polynomials of integrated processes revisited

Stypka, Oliver; Wagner, Martin

doi:10.1016/j.econlet.2018.12.033

Cited by 5 publications

(4 citation statements)

References 10 publications

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“…Note that, as, e.g., discussed in Wagner (2012) and Stypka and Wagner (2019), polynomial transformations of integrated processes-in our case, {y t }-are not integrated processes (of any order). This is due to the basic fact that summation (integration) and polynomial transformation do not commute.…”

Section: Model Assumptions and Parameter Estimationmentioning

confidence: 77%

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions

2021

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This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be endogenous, and the stationary errors are allowed to be serially correlated. We consider five variants of monitoring statistics and develop the results for three modified least squares estimators for the parameters of the CPRs. The simulations show that using the combination of self-normalization and a moving window leads to the best performance. We use the developed monitoring statistics to assess the structural stability of environmental Kuznets curves (EKCs) for both CO2 and SO2 emissions for twelve industrialized countries since the first oil price shock.

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Section: Model Assumptions and Parameter Estimationmentioning

confidence: 77%

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions

2021

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“…It is pertinent to highlight here that EKC has faced strong criticism in the last decade by Wagner and others [50,52,53], especially regarding its empirical formulation. Their core argument is that working with integrated and cointegrated time series, which are nonlinearly transformed (logarithmic and quadratic), leads to nonlinear cointegration.…”

Section: Methodsmentioning

confidence: 99%

Analysis of the Dynamic Relationships among Renewable Energy Consumption, Economic Growth, Financial Development, and Carbon Dioxide Emission in Five Sub-Saharan African Countries

Qudrat‐Ullah

Nevo

2022

Energies

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This research investigates the relationships among renewable energy consumption, economic growth, and financial development in five sub-Saharan African nations utilizing panel data from 2000 to 2020. Econometric methods are used to ascertain the existence or absence of cross-sectional dependence and the short-run and long-run connections between the following factors: Pesaran cross-sectional dependence (CD) and cross-sectionally augmented IPS (CIPS) unit root tests, pooled mean group (PMG), and dynamic ordinary least squares (DOLS) estimations. The presence of cross-sectional dependence is found and represented with the CIPS unit root test. No significant short-run relationship is found between the variables of the study, yet a significant long-run relationship is present among them. A positive relationship exists between CO2 emissions and financial development, while financial development and renewable energy consumption are found to have negative relationships with CO2 emissions. The study also supports the scale effect of the environmental Kuznets curve hypothesis. Additionally, no causality is found among the variables, and impulse response and variance decomposition estimation are carried out to recommend future effects. Policy implications of findings are discussed, with accompanying suggestions.

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“…The first study by Harvey et al (2008) investigated whether linear or nonlinear activity of the Nigerian stock market methodologies has defined the market. We extend the earlier studies by Lawal, Omoju, Babajide, and Asaleye (2019b) and we have continued to assess EMH's validity by using the exponential smooth transition autoregressive procedure smooth and Eastern Settlement (STAR) self-recommended transformation (Stypka & Wagner, 2019;Yaya, Furuoka, Ling, Ikechukwu, & Ezeoke, 2020). We have also tested the EMH's validity using STAR (Lee,…”

Section: Introductionmentioning

confidence: 96%

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

Lawal

Oseni

Asaleye³

et al. 2021

Asian Economic and Financial Review

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This study re-examined the traditional research topic in finance-the efficient market hypothesis (EMH) within the context of a nonlinearity unit root test using daily data sourced on the Nigerian economy. This was premised on two key motivations. First, the study observed that most of the existing studies on EMH are based on an aggregate stock index and the presence of heterogeneity of listed firms on the floor of the exchange can make the results obtained from aggregate stock price-based tests misleading due to spuriousness. To overcome this, the study tested the validity of EMH at a sectorial level. The second motivation centers on the observed nonlinear property of the time series data used in the existing literature. The study first examines the unit root properties of the data by applying the Harvey, Leybourne, and Xiao ( 2008) methods. The results indicate rejections of the null hypothesis for all the series, an indication that stock market indices in Nigeria are nonlinear and asymmetric in nature. This suggests that results obtained from linear based models could be biased. In order to achieve more accurate results, the study applied the ESPAR model and observed that, overall, there is an abundance of evidence to show that the Nigerian stock exchange is mean reverting, thus investors are advised to adopt a contrarian investment strategy to maximize the opportunities in the market. Contribution/Originality:This study explored the validity of efficient market hypothesis in Nigeria within the context of nonlinear unit root estimates and observed that the market is mean reverting.

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The Phillips unit root tests for polynomials of integrated processes revisited

Cited by 5 publications

References 10 publications

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions

Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions

Analysis of the Dynamic Relationships among Renewable Energy Consumption, Economic Growth, Financial Development, and Carbon Dioxide Emission in Five Sub-Saharan African Countries

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

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