Journal ArticleDOI
A Simple Panel Stationarity Test in the Presence of serial correlation and a common factor
Kaddour Hadri,Eiji Kurozumi +1 more
TLDR
This paper developed a simple test a la Pesaran (2007) for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor.About:
This article is published in Economics Letters.The article was published on 2012-04-01. It has received 156 citations till now. The article focuses on the topics: KPSS test.read more
Citations
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Financial development and economic growth: Some theory and more evidence
TL;DR: In this article, the authors developed a Solow-Swan growth model augmented with financial markets in the tradition of Wu, Hou, and Cheng (2010), and showed that debt from credit markets and equity from stock markets are two long run determinants of GDP per capita.
Journal ArticleDOI
Is there deterministic, stochastic, and/or club convergence in ecological footprint indicator among G20 countries?
Faik Bilgili,Recep Ulucak +1 more
TL;DR: Investigating the convergence in per capita ecological footprint among G20 countries by employing annual data for the period 1961 to 2014 finds confirmative results in favor of environmental convergence by exhibiting the stochastic and deterministic convergences and deriving the output of merging clubs.
Journal ArticleDOI
Geopolitical risk and tourism: Evidence from dynamic heterogeneous panel models
TL;DR: In this paper, an augmented tourism demand function was developed and empirically estimated in line with classical theory for a panel of 16 countries from 2005M1 to 2017M12 through the AMG and CCEMG estimation techniques that address underlying heterogeneity, non-stationarity, and cross-sectional dependence.
Journal ArticleDOI
A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks☆
Saban Nazlioglu,Cagin Karul +1 more
TL;DR: In this article, a simple panel stationarity test which takes into account structural shifts and cross-section dependency is proposed, where structural shifts are modelled as a gradual/smooth process with a Fourier approximation.
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Testing for causality between the foreign direct investment, current account deficit, GDP and total credit: Evidence from G7
TL;DR: In this paper, a causal relationship between current account deficit, GDP, foreign direct investment, and total credits of G7 countries was analyzed between 1990 and 2011 in order to determine whether a causal relation exists among these variables.
References
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Journal ArticleDOI
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
TL;DR: In this paper, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
Journal ArticleDOI
A Simple Panel Unit Root Test in the Presence of Cross Section Dependence
TL;DR: In this paper, a simple alternative test where the standard unit root regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is also considered.
Journal ArticleDOI
A simple panel unit root test in the presence of cross-section dependence
TL;DR: In this paper, a simple alternative where the standard ADF regressions are augmented with the cross section averages of lagged levels and first-differences of the individual series is proposed, and it is shown that the individual CADF statistics are asymptotically similar and do not depend on the factor loadings.
Journal ArticleDOI
Statistical inference in vector autoregressions with possibly integrated processes
Hiro Y. Toda,Taku Yamamoto +1 more
TL;DR: In this paper, the authors show how to estimate VAR's formulated in levels and test general restrictions on the parameter matrices even if the processes may be integrated or cointegrated of an arbitrary order.
Journal ArticleDOI
Testing for Stationarity in Heterogeneous Panel Data
TL;DR: In this article, a residual-based Lagrange multiplier (LM) test for a null that the individual observed series are stationary around a deterministic level or around deterministic trend against the alternative of a unit root in panel data is proposed.
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The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
Trevor Breusch,Adrian Pagan +1 more