â  â â â  â  abstract â  this paper examines convergence of real gdp per capita in the selected east asian countries and this relationship with selected middle east countries during the period 1950-2009. the reason behind this refers to the fact that east asia countries (including china, hong kong, singapore, malaysia, indonesia, thailand, japan and south korea) have been involved in achieving ...

The unit root tests based on the robust estimator for the first-order autoregressive process are proposed and compared with the unit root tests based on the ordinary least squares (OLS) estimator. The percentiles of the null distributions of the unit root test are also reported. The empirical probabilities of Type I error and powers of the unit root tests are estimated via Monte Carlo simulatio...

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...

A lot of time series analysis in economics and nance is to determine whether a unit root and/or seasonal unit root is present in the data. These tests are usually based on unit root tests orginally developed by Dickey & Fuller(1981). Testing for the presence of a seasonal root has been considered by Dickey, Hasza & Fuller (1984). Li(1991) considered tests for the existence of a seasonal and a r...

T his paper is to examine the mean reverting properties of inflation rates for Iran’s 25 provinces over the period from 1990:4 to 2017:7. To the end, we use various conventional univariate linear and non-linear unit root tests, as well as quantile unit root test by Koenker and Xiao (2004). Results of conventional unit root tests indicate that the null hypothesis of the unit root test...

a r t i c l e i n f o JEL Classification: C22 F31 Keywords: Purchasing power parity Real effective exchange rate Transition countries Sequential Panel Selection Method Panel KSS unit root test Fourier function Policy implications This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity ...

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de…ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in …nite samples. Keywords:...

We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...

Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn ! 1 and Cn/n ! 0 as n ! 1. Strong consistency holds when Cn/...