In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In this paper, we re-examine two important aspects of the dynamics of rel- ative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In this paper, we extend the heterogeneous panel data stationarity test of Hadri (2000) to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. The moments of the statistics corresponding to the four models are...

The KPSS test is very popular and used extensively by practitioners. The test considers two models under the null: stationarity around a deterministic level or around a deterministic trend. There is no study, as far as we know, on the statistical properties of the test when the wrong model is...

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T going to infinity, are shown to be standard normals. The effects of serial correlation and cross-sectional dependence...

In this paper, we derive an optimal test for determining break positions in Gaussian linear regressions. The procedure is an admissible rule in a multiple decision theory setting and the results are exact and valid in small samples. The analysis indicates that regression design can have a very...

It is well-known that the presence of serial correlation may result in an inefficient or even biased estimation in time series analysis. In this paper, we consider testing serial correlation when the model error follows a GARCH process which is frequently used in modelling financial data. Two...