This paper investigates the possible existence of dynamic causality between energy price, trade openness and economic growth using data thirty-six emerging economies over period 1980 to 2014. Panel unit root tests, panel cointegration, fully modified least squares (FMOLS) methods tests are used investigate this relationship. The FMOLS estimation reveals that higher international reserve, consum...

Recent studies of purchasing power parity (PPP) account for the possible presence of unit roots in nominal exchange rates and relative price indices by applying standard unit-root tests to real exchange rates, which are ratios of nominal exchange rates and relative price indices. These studies occasionally find evidence of PPP, but as a whole, the evidence is not definitive. Standard unit-root ...

In this paper we describe a method for testing the null of no cointegration in dynamic panels with multiple regressors and compute approximate critical values for these tests. Methods for non-stationary panels, including panel unit root and panel cointegration tests, have been gaining increased acceptance in recent empirical research. To date, however, tests for the null of no cointegration in ...

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-root processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to apply and accommodates cross section dependence. Monte Carlo sim...

a r t i c l e i n f o JEL classification: C23 F31 Keywords: Purchasing power parity Panel SURKSS test with a Fourier function Latin American countries This study applies Panel SURKSS test with a Fourier function to investigate the properties of long-run purchasing power parity (PPP) in fifteen Latin American countries over the period of December 1994 to February 2010. The empirical results from...

This paper examines the asymptotics of the QMLE for unit root spatial dynamic panel data models with …xed e¤ects. When the exogenous variables or …xed e¤ects are included in the DGP, the estimate for the dynamic coe¢ cient is p nT 3 consistent and the estimates of other parameters are p nT consistent, and all of them are asymptotically normal. Also, sum of the contemporaneous spatial e¤ect and ...

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small s...

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and futures prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are b...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the presence of cointegration across cross-sectional levels. Unbalanced panels and panels with differing indivi...