Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

The present paper suggests a set of unit root tests allowing up to two changes in the intercept, within the local-to-unity framework. The truncation lag and the break date are selected endogenously. The finite sample critical values are tabulates and Monte carlo experiments are used to analyze...

While panel unit root tests have been used to investigate a wide range of macroeconomic issues, the tests suffer from low power to reject the unit root null in panels of stationary series if the panels consist of highly persistent series, contain a small number of series, and/or have series with...

Remittances are private monetary transfers yet the rapidly growing literature on the subject seems to forget their monetary nature and thus ignore the role that exchange rate regimes play in determining the effect remittances have on a recipient economy. This paper uses a theoretical model and...

Many economic theories connecting the real interest rate and the per-capita consumption growth rate require that both rates evolve together over time. This paper investigates whether these rates present similar stationary behavior for the seven most industrialized countries over the 1957-2005...

This study investigates the stationary behavior of the inflation rates for the Euro- zone members and some neighboring countries, for the 1957:2 to 2007:3 period. The analysis uses univariate unit root tests with enhanced small-sample performances that allow up to two breaks in the intercept,...

Recently, Taylor (2002) concludes that long run PPP held over the 20th century for a set of 19 long term real exchange rates. We argue that this conclusion is quite sensitive to the use of sub-optimal lag selection in unit root tests. Using superior lag selection methods,we find that long run...

Using median-unbiased estimation, recent research has questioned the validity of Rogoff’s “remarkable consensus” of 3-5 year half-lives of deviations from PPP. These half-life estimates, however, are based on estimates from regressions where the resulting unit root test has low power. We...

We propose a new pooled panel unit root test allowing for serial and contemporaneous correlation. The new test combines Elliott, Rothenberg and Stock's (1996) local-to-unity transformation with a pooled panel ADF test. As initially advocated by O'Connell (1998), the new test accounts for...

We propose to combine recent developments in univariate and mul- tivariate unit root testing in order to construct a more powerful panel unit root test. We extend the GLS-detrending procedure of Elliott, Rothenberg and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power...