Business cycle asymmetry is examined using annual observations on GDP for 22 economies over the period 1870 to 1994. The present paper extends recent research in a number of ways. First, a non-parametric testing procedure is adopted which is robust to outliers. Second, alternative methods of...

This paper uses data from the National Longitudinal Survey of Youth to answer two questions about the effects of the Aid to Families with Dependent Children (AFDC) program: (1) Does the length of time that one receives AFDC affect the likelihood of permanently leaving AFDC? (2) What personal and...

This report aims to highlight opportunities for developing ecosystem-linked insurance - that is, insurance that integrates the effect of ecosystems in products covering coastal hazards. These products can provide funds for ecosystem restoration after a disaster occurs. This report points to...

The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers’ expenditure provides further support for this hypothesis,...

The relationship between the initial condition of time series data and the power of the Dickey-Fuller (1979) test and a number of modified Dickey-Fuller tests is examined. The results obtained extend the asymptotic analysis of Muller and Elliott (2003) by both focussing upon finite-sample power...

Using local-to-unity detrending, a modified momentum-threshold autoregressive test is derived to allow the unit root hypothesis to be tested against an alternative of asymmetric stationarity about a deterministic trend. Monte Carlo evidence is presented to show the increased power of the...

The properties of the 'change in persistence'' tests developed by Leybourne et al. (2003) are considered in the presence of structural change under the null. Interestingly, it is found that while breaks in drift result in undersizing, breaks in level lead to severe oversizing. The implications...

This paper analyses the properties of Dickey-Fuller (1979) (DF) unit root tests in the presence of trend mis-specification. It is shown that while the performance of the DF coefficient test is as expected, the DF test in its t-ratio form exhibits unusual behaviour. In particular it is found that...