Are fiscal deficits inflationary in Nigeria? New evidence from bounds testing to cointegration with structural breaks

Cointegration Testing in Dependent Panels with Breaks

In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence based on the Continuos-Path Block bootstrap. Simulation evidence shows that the proposed panel tests have satisfactory size and power properties, hence improving considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a pan...

How to Deal with Structural Breaks in Practical Cointegration Analysis

In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models. JEL Classification Code: C32, C52, E43.

Simple Tests for Cointegration in Dependent Panels with Structural Breaks∗

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...

Tests for cointegration with structural breaks based on subsamples

This paper considers tests for cointegration with allowance for structural breaks, using the extrema of residual-based tests over subsamples of the data. One motivation for the approach is to formalize the practice of data snooping by practitioners, who may examine subsamples after failing to …nd a predicted cointegrating relationship. Valid critical values for such multiple testing situations ...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks