Chien-Chiang Lee
Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan
[ 1 ] - A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks
T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christop...
[ 2 ] - Reopening the Convergence Debate when Sharp Breaks and Smooth Shifts Wed, 1870-2010
Abstract This paper attempts to re-investigate the catching-up (stochastic convergence) hypothesis among the selected 16 OECD countries applying the time series approach of convergence hypothesis with annual data over one century. To reach this aim, we propose a model which specifies a trend function, incorporating both types of structural breaks – that is, sharp breaks and smooth shifts usin...
[ 3 ] - Income Convergence toward USA: New Evidences for Latin and South American Countries
Abstract In this paper we test two versions of convergence hypothesis namely deterministic or conditional convergence and stochastic or catching up hypothesis using Carrion-i-Silvestre et al. (2005) stationary test. The results show Latin and South American countries (LSA) catching up process toward the USA failed in 1980s and somewhat in 1990s. But in 2000s most of them could lie in converge...
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