This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common demeaning procedure to correct for the bias resulting from homogeneous cross-sectional dependence is not effective; more worryingly, ...

background over the last decade there has been an increase in healthcare expenditures while at the same time the inequity in distribution of resources has grown. these two issues have urged the researchers to review the determinants of healthcare expenditures. in this study, we surveyed the determinants of health expenditures in economic cooperation organization (eco) countries.   methods we us...

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present value relationship in the housing market. Three key findings are obtained. First, we fail to establish...

Meta-analytic panel unit root tests such as Fisher’s χ2 test, which consist of pooling the p-values of time series unit root tests, are widely applied in practice. Recently, several Monte Carlo studies have found these tests’ Error-in-Rejection Probabilities (or, synonymously, size distortion) to increase with the number of series in the panel. We investigate this puzzling finding by modelling ...

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...

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...

This supplement provides proofs of the main theoretical results in Pesaran, Smith and Yagamata (2012, PSY) for the case of models with linear trends, and models with intercepts and serially correlated idiosyncratic errors. It also provides theoretical results for the cross sectionally augmented Sargan-Bhargava statistics, gives the details of a number of di¤erent panel unit root tests used in t...

We conduct a systematic comparison of the performance of four commonly used P value combination methods applied to panel unit root tests: the original Fisher test, the modified inverse normal method, Simes test, and the modified truncated product method TPM . Our simulation results show that under cross-section dependence the original Fisher test is severely oversized, but the other three tests...

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...