Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Testing for nonlinear panel unit roots under cross-sectional dependency: with an application to the PPP hypothesis
Jönköping University, Jönköping International Business School. (Economics, Finance and Statistics)
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.ORCID iD: 0000-0003-3144-2218
2014 (English)In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 38, 121-132 p.Article in journal (Refereed) Published
Abstract [en]

In this paper we propose a number of nonlinear panel unit root tests that are robust to cross-sectional dependency. These tests may be used to test the null hypothesis of non-stationarity against the alternative that some or all of the time series in the system of equations follow a stationary exponential smooth transition autoregressive (ESTAR) process. In contrast to previous research we relax the assumption that the cross-correlation structure is driven by a common-factor and consider an endogenous correlation structure. Based on the size and power results from the Monte Carlo simulations we recommend using the Wald version of our cross-sectional dependent robust nonlinear panel unit root (CDR-NPU) method.

Finally, in an empirical application we demonstrate that our more powerful nonlinear method, in contrast to previous methods, can provide support for PPP even in smaller samples. In consistency with the univariate tests in Bahmani-Oskooee et al. (2008) our CDR-NPU tests support the theory that less industrialized economies exhibit stronger and more distinct nonlinear adjustment patterns towards PPP.

Place, publisher, year, edition, pages
Jönköping, 2014. Vol. 38, 121-132 p.
Keyword [en]
panel data, unit roots, nonlinearity, ESTAR
National Category
Economics Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hj:diva-22885DOI: 10.1016/j.econmod.2013.12.013OAI: oai:DiVA.org:hj-22885DiVA: diva2:682013
Available from: 2013-12-20 Created: 2013-12-20 Last updated: 2017-06-08Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Månsson, KristoferSjölander, Pär
By organisation
Jönköping International Business SchoolJIBS, Economics, Finance and Statistics
In the same journal
Economic Modelling
EconomicsProbability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 327 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf