The so-called Cauchy estimator uses the sign of the first lag as instrument variable in autoregressions, and the resulting IV t-type statistic has a standard normal limiting distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF] test can be avoided. Moreover, the ADF test is affected by unconditional heterosk...

Countries consume large amounts of coal, oil, and natural gas due to the energy structure dominated by fossil fuels worldwide. For this reason, rate renewable energies in countries or country groups general is below global average level. In study, we aimed test stationarity consumption for Brazil, Russia, India, China, South Africa, Turkey (the BRICS-T countries), which are a rapid development....

This study applies a simple and powerful nonlinear unit root test to test the validity of long-run purchasing power parity (PPP) in a sample of 10 East-Asian countries (i.e., China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand) over the period of March 1985 to September 2008. The empirical results indicate that PPP holds true for half of these 10 Eas...

This paper examines the impact of government expenditure on the Nigerian economy for the period 1983 - 2012. The government expenditure components used as the explanatory variables in the model are: expenditures on Health, Education, Defense, Agriculture and Transportation and Communication. The Gross Domestic Product (GDP) was used as a parameter for measuring economic growth. In order to esta...

We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator. One hundred and six world-wide price series are tested for unit root bilinearity applying the test suggested by Charemza et al. (2002b). Applying the Maximum Likelihood estimator based on...

This paper investigates the so-called one-step local quasi–maximum likelihood estimator for the unit root process with GARCH~1,1! errors+ When the scaled conditional errors ~the ratio of the disturbance to the conditional standard deviation! follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition+ It is show...

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will sometimes carry out this classi.cation on the basis of n individual (univariate) unit root tests based...

The restricted likelihood ratio test, RLRT, for the autoregressive coefficient in autoregressive models has recently been shown to be second order pivotal when the autoregressive coefficient is in the interior of the parameter space and so is very well approximated by the χ1 distribution. In this paper, the non-standard asymptotic distribution of the RLRT for the unit root boundary value is obt...

This paper re-examines the stationarity of national health care expenditures and GDP in a panel setting utilizing data from 20 OECD countries over the period from 1960 to 1997. Previous research in this area has recognized the drawback of not allowing for structural breaks in their unit root tests and noted that their empirical results may not be robust. We advance the literature by utilizing a...