This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...

This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration tests in dynamic panels with and without cross-section dependence. In this note, we discuss the main idea behind the test and the publication process that led to Im, Pesaran...

Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...

Thanks to various Fourier DF unit root tests, time-varying fiscal reaction functions and threshold regressions, this study examines the stationarity and the sustainability of public finance for six industrial countries over the period spanning from 1870 to 2017. Longer-run debt sustainability is...

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...

We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of nonstationary regressors and to obtain its limiting...

We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...

Evidence-based policy of global warming is best relying on a relevant sample of data. We choose a sample of annual data from 1959 to-date to provide some statistically robust stylized facts about the relationships between actual CO2 and temperature. Visually, there is a clear upward trend in...

This study examines the factors affecting exchange rate fluctuations in Turkey by employing the quarterly data from 2008 to 2020. In this context, linear and nonlinear unit root tests were used to determine the stationarity levels of the variables. Then, symmetric and asymmetric causality...

Using five centuries of annual data from preindustrial England, Zivot-Andrews tests reject the null hypothesis of a unit root in real GDP. The tests identify structural breaks at the start of the Black Death (1348) and the Wars of the Roses (1457). The tests conclude that real GDP was otherwise...

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu and Yu (2011), the generalized SADF (GSADF) of Phillips, Shi and Yu...

In this research note, we accomplish two objectives. First, we reexamine the reliability of unit root findings in the study by Said and Dickey (1984) and show that their results are internally consistent. Second, we provide new results from the reanalysis of the original data that were not...

Over recent decades, various USA government regulations and incentives, at both federal and state levels, encourage the development of green energy sources and the reduction of CO 2 emissions. In this paper, we investigate the degree of persistency of shocks to CO 2 per capita series in 50...

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this...

This study aims to test the causal relationship between Saudi stock market index (TASI) and sectoral indices throughout the period from 2016-2020. The study data were extracted through the main index of the Saudi market and the indices of the available data of 19 sectors out of 21 sectors. The...

In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels, for five South-Eastern European countries, namely Bulgaria, Croatia, Greece, Romania and Turkey. Recent unit root and cointegration techniques in the presence of...

This paper employs a comprehensive set of “state-of-the-art” unit root tests, including the autoregressive neural network (ARNN) unit root test (Yaya et al. 2021; Oxford Bulletin of Economics and Statistics), to investigate unemployment hysteresis in five European countries: France, Italy, the...

This paper initiates a non-linear fractional unit root test also known as autoregressive neural network–fractional integration (ARNN–FI) test. The test is based on a new multilayer perceptron of a neural network process which is applied in Yaya et al. (2021). Further, to investigate the...

The primary purpose of this article is to conduct the Fourier Nonlinear Unit Root Test to check Purchasing Power Parity (PPP) for seven cryptocurrencies traded in seventeen countries from 2010 to 2021. The unit root test provides moderate support to the PPP hypothesis when we use each...

The paper introduces the HD(1), a Markovian process of order one with reversion rates that are faster the farther the process is from equilibrium. The aHD(1) approximation is introduced to allow for an estimation-calibration procedure based on available ARMA routines. Critical values of unit...

The global COVID-19 pandemic brought many challenges for the world including the downfall in foreign direct investment inflows (FDI). Although there are many other factors which cause a decline in FDI inflows in Pakistan but present study mainly focuses on COVID-19 pandemic as this resulted in...

The log-linearized present value model (PVM) has been widely used in corporate finance to understand the long-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric approaches that account for slope heterogeneity...

There was an unprecedented wave of foreclosures and evictions in Spain after the 2008 global financial crisis. The subsequent Great Recession had strong economic, social and environmental consequences. This paper explores the frequency of permanent shocks in foreclosure quarterly rates (defined...

This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...