This paper introduces two different non-parametric tests for panel unit root based on the wavelet decomposition of time series which may be used in the presence of cross-sectional dependency and an unknown structural break in the data. These tests are compared with the parametric IPS test...

This paper studies the impact of remittances on investment. Workers’ remittances to developing countries have grown to be an important source of financing, amounting to around $300 billion a year. The funds are used for both consumption and investment in the home countries of the migrants. The...

In this paper, we use simulated data to investigate the power of different causality tests in a two-dimensional vector autoregressive (VAR) model. The data are presented in a non-linear environment that is modelled using a logistic smooth transition autoregressive (LSTAR) function. We use both...

The cointegration technique, based originally on nonstationary component, reduced 'Dimension Reduction' to some linear combination that is stationary. The obtained dimension has unit minimum and s - 1 maximum linear combination setting, where s stands for number of components in the system. In...

The purpose of this study is to describe a misspecification testing strategy that is designed to ensure the appropriateness of the statistical assumptions underlying a system of equations. A systemwise test approach is used to test the statistical assumptions. The systemwise tests take into...

Applying VAR(5), a bootstrap simulation approach and a multivariate Rao's F-test indicate that government revenue Granger-causes spending in Finland. This does not agree with Barr's tax smoothing hypothesis. This explanation of this is due to the institutional factors that are specific for Finland.

We investigate the importance of ethnic origin and local labour markets conditions for self-employment propensities in Sweden. In line with previous research we find differences in the self-employment rate between different immigrant groups as well as between different immigrant cohorts. We use...

In innovation analysis the logit model used to be applied on available data when the dependent variables are dichotomous. Since most of the economic variables are correlated between each other practitioners often meet the problem of multicollinearity. This paper introduces a shrinkage estimator...

In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed...

A new shrinkage estimator for the Poisson model is introduced in this paper. This method is a generalization of the Liu (1993) estimator originally developed for the linear regression model and will be generalised here to be used instead of the classical maximum likelihood (ML) method in the...