e d In the Box-Jenkins approach to analyzing time series, a key question is whether to difference th ata, i.e., to replace the raw data {x } by the differenced series {x −x }. Experience indicates that m t t t −1 ost economic time series tend to wander and are not stationary, but that differencing often yields a e r stationary result. A key example, which often provides a fairly good descriptio...

This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency componen...

This study tests for the stationarity and sustainability of current account deficits for ten transition economies. For this purpose, a new test is employed that allows one to test for unit roots in heterogeneous panel datasets. While the benefits from creating a panel to overcome low test power are well known, this test also offers key advantages over existing alternative panel data unit root t...

We propose a unit root test for panels with cross-sectional dependency. We allow general dependency structure among the innovations that generate data for each of the cross-sectional units. Each unit may have di®erent sample size, and therefore unbalanced panels are also permitted in our framework. Yet, the test is asymptotically normal, and does not require any tabulation of the critical value...

The paper investigates the persistence of profits for industrial firms in Brazil during the periods 1986-98 and 1994-1/1999-3. A simple theoretical framework justifies an autoregressive formulation for excess profits. A strong form of persistence can then be related to the presence of a unit root. Recently developed panel data unit tests enable the consideration of short time periods. The resul...

Using recently developed panel unit root and panel cointegration tests and the FullyModified OLS (FMOLS) methodology, this paper estimates the impact of remittances on the economic growth of selected upper and lower income Latin American & Caribbean countries. Despite a large flow of remittances to the region, there have been relatively few empirical studies assessing the impact of remittances ...