The article proposes new tests for the number of unit roots in vector autoregressive models based on the eigenvalues of the companion matrix. Both stationary and explosive alternatives are considered. The limiting distributions of test statistics depend only on the number of unit roots. Size and...

The article proposes new tests for the number of unit roots in vector autoregressive models based on the eigenvalues of the companion matrix. Both stationary and explosive alternatives are considered. The limiting distributions of test statistics depend only on the number of unit roots. Size and...

This paper studies market segmentation, information asymmetry and diffusion on the Chinese stock exchanges. Previous studies indicate that the price difference between domestic investors' A shares and foreign investors' B shares are driven by a stochastic trend. In this paper we test the...

In this article we introduce and evaluate testing procedures for specifying the number k of nearest neighbours in the weights matrix of spatial econometric models. The spatial J-test is used for specification search. Two testing procedures are suggested: an increasing neighbours testing...

In this article, we introduce and evaluate testing procedures for specifying the number k of nearest neighbours in the weights matrix of a spatial econometric model. An increasing and a decreasing neighbours testing procedure are suggested. Kelejian's J-test for non-nested spatial models is used...