This article attempts to re-evaluate the sustainability of the fiscal deficit as well as the long-run macroeconomic relationship between government spending and revenues for three South-European economies under financial market pressure and insolvency; Italy, Greece and Spain. The empirical...

This study tests for the stationarity of aggregate output (GDP at factor cost) and its three major components, namely GDP agriculture, GDP industry and GDP services in the presence of structural breaks during 1950-51 to 2011-12. Results indicate that (i) the GDP has three break points; (ii) GDP...

Our study analyses stochastic convergence of relative real GDP per capita in the West African Economic and Monetary Union (WAEMU) in the period 1960 to 2010. It highlights the importance of considering structural breaks and cross-section dependence in the panel unit root tests. Using the panel...

This paper employs the Bai and Perron (1998, 2003) structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample. The third break corresponds with a...

Success in accurately forecasting breaks requires that they are predictable from relevant information available at the forecast origin using an appropriate model form, which can be selected and estimated before the break.  To clarify the roles of these six necessary conditions, we distinguish...

This paper examines the validity of real interest parity (RIP) for 10 Asian economies over the period 1977–2012 (quarterly frequency). The evidence based on two-break unit root tests reveals that majority of the real interest rate differentials (RIDs) with respect to Germany and the US are...