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Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test

Lau, Chi Keung Marco; Suvankulov, Farrukh; Su, Yongyang; … - In: Economic Modelling 29 (2012) 3, pp. 810-816

The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power performance as compared to its alternative of linear...

Persistent link: https://www.econbiz.de/10010573375

An empirical estimation for mean-reverting coal prices with long memory

Sun, Qi; Xu, Weijun; Xiao, Weilin - In: Economic Modelling 33 (2013) C, pp. 174-181

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

Persistent link: https://www.econbiz.de/10011048787

A new energy model to capture the behavior of energy price processes

Xu, Weijun; Sun, Qi; Xiao, Weilin - In: Economic Modelling 29 (2012) 5, pp. 1585-1591

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

Persistent link: https://www.econbiz.de/10010597504

Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

Persistent link: https://www.econbiz.de/10010636253

Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue

de Truchis, Gilles - In: Economic Modelling 34 (2013) C, pp. 98-105

decision on the stationarity of raw series does not lead to an erroneous conclusion. An application to the stock market …

Persistent link: https://www.econbiz.de/10010709338

Joint determinants of fiscal policy, income inequality and economic growth

Muinelo-Gallo, Leonel; Roca-Sagalés, Oriol - In: Economic Modelling 30 (2013) C, pp. 814-824

This paper analyses the relationship between income inequality and economic growth through fiscal policy. To this end, we present and estimate two systems of structural equations with error components through which gross income inequality determines different fiscal policy outcomes, which...

Persistent link: https://www.econbiz.de/10010608309

Regional divergence and club convergence in India

Ghosh, Madhusudan; Ghoshray, Atanu; Malki, Issam - In: Economic Modelling 30 (2013) C, pp. 733-742

This paper examines regional divergence in income across different states in India, and estimates convergence clubs endogenously. The paper makes two useful contributions. First, the data is analyzed using a novel method due to Phillips and Sul (2007) leading to different conclusions in...

Persistent link: https://www.econbiz.de/10010608278

Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic Modelling 34 (2013) C, pp. 52-58

This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against … identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the …-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is …

Persistent link: https://www.econbiz.de/10010709336

Testing for serial correlation and random effects in a two-way error component regression model

Wu, Jianhong; Zhu, Lixing - In: Economic Modelling 28 (2011) 6, pp. 2377-2386

In this paper, we test the existence of serial correlation and random effects in a two-way error component regression model with panel data. Under moment conditions alone, we suggest several easily implemented tests based on the parameter estimators for artificial autoregressions modeled by the...

Persistent link: https://www.econbiz.de/10010573292

Detecting sudden changes in volatility estimated from high, low and closing prices

Kumar, Dilip; Maheswaran, S. - In: Economic Modelling 31 (2013) C, pp. 484-491

In this paper, we assess the size and power properties of Inclan and Tiao's (1994) Iterated Cumulative Sum of Squares (IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high, low and closing prices proposed by Rogers and Satchell...

Persistent link: https://www.econbiz.de/10010636303