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Artículos de revistas sobre el tema "Panel data unit root test"

Autor: Grafiati

Publicado: 4 de junio de 2021

Última modificación: 1 de febrero de 2022

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1

Herwartz, Helmut, Simone Maxand, Fabian H. C. Raters y Yabibal M. Walle. "Panel Unit-root Tests for Heteroskedastic Panels". Stata Journal: Promoting communications on statistics and Stata 18, n.º 1 (marzo de 2018): 184–96. http://dx.doi.org/10.1177/1536867x1801800111.

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In this article, we describe the command xtpurt, which implements the heteroskedasticity-robust panel unit-root tests suggested in Herwartz and Siedenburg (2008, Computational Statistics and Data Analysis 53: 137–150), Demetrescu and Hanck (2012a, Economics Letters 117: 10–13), and, recently, Herwartz, Maxand, and Walle (2017, Center for European, Governance and Economic Development Research Discussion Papers 314). While the former two tests are robust to time-varying volatility when the data contain only an intercept, the latter test is unique because it is asymptotically pivotal for trending heteroskedastic panels. Moreover, xtpurt incorporates lag-order selection, prewhitening, and detrending procedures to account for serial correlation and trending data.

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2

Carrion-i-Silvestre, Josep Lluís y Kaddour Hadri. "PANEL DATA UNIT ROOT TEST WITH FIXED TIME DIMENSION". Bulletin of Economic Research 62, n.º 3 (25 de marzo de 2010): 269–77. http://dx.doi.org/10.1111/j.1467-8586.2009.00323.x.

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3

McCoskey, Suzanne K. y Thomas M. Selden. "Health care expenditures and GDP: panel data unit root test results". Journal of Health Economics 17, n.º 3 (junio de 1998): 369–76. http://dx.doi.org/10.1016/s0167-6296(97)00040-4.

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4

Karavias, Yiannis y Elias Tzavalis. "A fixed-T version of Breitung’s panel data unit root test". Economics Letters 124, n.º 1 (julio de 2014): 83–87. http://dx.doi.org/10.1016/j.econlet.2014.04.029.

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5

Hadri, Kaddour, Eiji Kurozumi y Daisuke Yamazaki. "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests". Manchester School 83, n.º 6 (8 de agosto de 2014): 676–700. http://dx.doi.org/10.1111/manc.12080.

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6

Hansen, Paul y Alan King. "Health care expenditure and GDP: panel data unit root test results—comment". Journal of Health Economics 17, n.º 3 (junio de 1998): 377–81. http://dx.doi.org/10.1016/s0167-6296(98)00028-9.

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7

Jönsson, Kristian. "The accuracy of normal approximation in a heterogeneous panel data unit root test". Statistical Papers 49, n.º 3 (24 de noviembre de 2006): 565–79. http://dx.doi.org/10.1007/s00362-006-0033-4.

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8

Jönsson, Kristian. "Finite-sample distribution of a recursively mean-adjusted panel data unit root test". Journal of Statistical Computation and Simulation 77, n.º 4 (abril de 2007): 293–303. http://dx.doi.org/10.1080/10629360600570988.

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9

Wu, Jyh-Lin. "Mean reversion of the current account: evidence from the panel data unit-root test". Economics Letters 66, n.º 2 (febrero de 2000): 215–22. http://dx.doi.org/10.1016/s0165-1765(99)00198-6.

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10

Dreger*, Christian y Hans-Eggert Reimers. "Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data". Allgemeines Statistisches Archiv 89, n.º 3 (agosto de 2005): 321–37. http://dx.doi.org/10.1007/s10182-005-0207-8.

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11

Wang, Shaoping, Peng Wang, Jisheng Yang y Zinai Li. "A generalized nonlinear IV unit root test for panel data with cross-sectional dependence". Journal of Econometrics 157, n.º 1 (julio de 2010): 101–9. http://dx.doi.org/10.1016/j.jeconom.2009.10.034.

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12

Shen, Xin y Mark J. Holmes. "Are stock prices stationary? Some new evidence from a panel data approach". Studies in Economics and Finance 31, n.º 4 (30 de septiembre de 2014): 387–405. http://dx.doi.org/10.1108/sef-09-2012-0106.

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Purpose – This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011. Design/methodology/approach – We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the power of panel data analysis but also account for cross sectional dependencies as well as identify which panel members are stationary. Findings – In contrast to a literature that offers mixed findings on stationarity, it was found that most of our sample is characterized as mean- or trend-reverting with approximated half-lives in the region of three to five years. Originality/value – In contrast to other panel unit root tests of stock prices, the authors identify which individual panel members are stationary and non-stationary using a SURADF test. A further novelty of our approach is that we also develop a SUR-based panel KSS test that allows us to explore the possibility that stock prices exhibit non-linear stationarity.

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13

Bai, Jushan y Serena Ng. "PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION". Econometric Theory 26, n.º 4 (4 de noviembre de 2009): 1088–114. http://dx.doi.org/10.1017/s0266466609990478.

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An effective way to control for cross-section correlation when conducting a panel unit root test is to remove the common factors from the data. However, there remain many ways to use the defactored residuals to construct a test. In this paper, we use the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) residuals to form two new tests. One estimates the pooled autoregressive coefficient, and one simply uses a sample moment. We establish their large-sample properties using a joint limit theory. We find that when the pooled autoregressive root is estimated using data detrended by least squares, the tests have no power. This result holds regardless of how the data are defactored. All PANIC-based pooled tests have nontrivial power because of the way the linear trend is removed.

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14

Timur, Aysegul. "Pharmaceutical Price Convergence In The EU: Preliminary Results From The Panel Data Unit Root Test". Journal of Business & Economics Research (JBER) 9, n.º 10 (26 de septiembre de 2011): 35. http://dx.doi.org/10.19030/jber.v9i10.5955.

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This paper explores the case of market integration and price convergence in the European Union, specifically in the pharmaceutical industry. The EU has been experiencing market integration since 1992, through the removal of trade barriers, the establishment of a single market, and the reduction of exchange rate volatility. In addition, there have been several structural reforms in product markets designed to increase competition, monitor cross-country price differences and increase transparency. One anticipated effect of market integration is price convergence, because of the reduced potential for price discrimination across the EU. This paper is aimed to analyze market integration and price convergence in the European pharmaceutical market, which is the fifth largest industry in the EU. Since 1985, many EU directives have been adopted to achieve a single EU-wide pharmaceutical market, with the aim of enhancing the quality of life for European citizens and the European pharmaceutical industrys competitiveness and research and development capability. Using annual 19942003 IMS Health panel data from five EU countries on prices of drugs used to treat cardiovascular disease and controlling drug and market characteristics; this paper examines how the integration process has affected cross-country drug price dispersion in the EU through the preliminary results from the panel data unit root test. Finally, the results show some evidence of price convergence in the pharmaceutical market, with long term price differences arising from country fixed effects.

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15

Maddala, G. S. y Shaowen Wu. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test". Oxford Bulletin of Economics and Statistics 61, S1 (noviembre de 1999): 631–52. http://dx.doi.org/10.1111/1468-0084.0610s1631.

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16

Maddala, G. S. y Shaowen Wu. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test". Oxford Bulletin of Economics and Statistics 61, s1 (noviembre de 1999): 631–52. http://dx.doi.org/10.1111/1468-0084.61.s1.13.

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17

Jönsson, Kristian. "Cross-sectional and serial correlation in a small-sample homogeneous panel data unit root test". Applied Economics Letters 12, n.º 14 (15 de noviembre de 2005): 899–905. http://dx.doi.org/10.1080/13504850500359510.

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18

Kumar Tiwari, Aviral y K. G. Suresh. "Mean reversion in per capita GDP of Asian countries". Journal of Economic Studies 41, n.º 1 (7 de enero de 2014): 2–11. http://dx.doi.org/10.1108/jes-09-2011-0109.

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Purpose – This study aims to examine the stationarity characteristics of per capita GDP of 17 Asian countries and subpanels for South Asia, East Asia, and high income Asian countries in nonlinear framework. Design/methodology/approach – The authors employed a recently developed nonlinear panel unit root test suggested by Ucar and Omaga in PESTAR framework for full panel and the subpanels. Findings – The results indicate that per capita GDP for the full panel of Asian countries and panel of South Asian countries are linear nonstationary, whereas for the panel of East Asia and high income developed countries have a nonlinear data generating process and are stationary. Originality/value – The use of newly developed nonlinear panel unit root test for Asian countries is the main contribution of the study. In that aspect, this is the first study to employ such a test in this area.

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19

Narayan, Paresh Kumar y Seema Narayan. "Mean reversion in stock prices: new evidence from panel unit root tests". Studies in Economics and Finance 24, n.º 3 (7 de agosto de 2007): 233–44. http://dx.doi.org/10.1108/10867370710817419.

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PurposeThere are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re‐examine mean reversion in stock prices.Design/methodology/approachThe authors use five different panel unit root tests, namely the Im, Pesaran and Shin t‐bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.FindingsThe main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.Research limitations/implicationsOne issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.Practical implicationsThe findings have implications for econometric modelling, in particular forecasting.Originality/valueThis paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

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20

Li, Yan Hong. "Granger Causality Test between Oil Consumption and Gross Domestic Product of China Based on the Provincial Panel Data Analysis". Applied Mechanics and Materials 209-211 (octubre de 2012): 1643–46. http://dx.doi.org/10.4028/www.scientific.net/amm.209-211.1643.

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This paper, based on the Provincial Panel Data of 30 provinces during 1995~2010 period, applies the panel unit root, heterogeneous panel co-integration and panel based error correction models to re-investigate co-movement and the causality between oil consumption and GDP. The results show that there is one-way directional causality from energy consumption to GDP in the western area, and one-way causality from GDP to energy consumption in the central area, while no causality between energy consumption and GDP exists in the eastern area.

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21

Boğa, Semra. "Determinants of Foreign Direct Investment: A Panel Data Analysis for Sub-Saharan African Countries". EMAJ: Emerging Markets Journal 9, n.º 1 (5 de agosto de 2019): 80–87. http://dx.doi.org/10.5195/emaj.2019.175.

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The aim of this study is to investigate the determinants of FDI inflows in Sub-Saharan African countries. In this study, panel data analysis was performed by using annual data from 23 countries for the period of 1975-2017. The Pesaran (2004) Cross-Section Dependence Test was performed to test correlation and IPS Unit Root Test was applied to reveal the stationary level between the units. Based on the PMG estimator results GDP growth, trade openness, domestic credit, natural resources and telecommunication infrastructure are all found to be the determinants of FDI inflows in Sub-Saharan countries in the long term. But, in the short term, only the GDP growth and trade openness determines the FDI inflows.

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22

Jonsson, Kristian. "Cross-sectional Dependency and Size Distortion in a Small-sample Homogeneous Panel Data Unit Root Test*". Oxford Bulletin of Economics and Statistics 67, n.º 3 (junio de 2005): 369–92. http://dx.doi.org/10.1111/j.1468-0084.2005.00124.x.

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23

Long, Xingle, Mei Sun, Faxin Cheng y Jijian Zhang. "Convergence analysis of eco-efficiency of China’s cement manufacturers through unit root test of panel data". Energy 134 (septiembre de 2017): 709–17. http://dx.doi.org/10.1016/j.energy.2017.05.079.

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24

Ahmad, Nisar y Sara Nayyab. "Impact of Demographic Variables on Economic Growth in South Asian Countries: A Panel Data Analysis". Sustainable Business and Society in Emerging Economies 3, n.º 1 (31 de marzo de 2021): 49–58. http://dx.doi.org/10.26710/sbsee.v3i1.1814.

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This study find the impact of demographic variables on economic growth in selected South Asian countries; Pakistan, India, Bangladesh and Sri-Lanka using panel data from 1976 to 2017. Fertility rate and life expectancy are used as demographic variables and GDP is used to indicate the economic growth. Panel unit root tests including Levin-Lin & Chu, Im-Pesaran & Shin, ADF-Fisher χ2, PP-Fisher χ2 are applied to check the stationary of variables. Pedroni and Kao Panel Co-integration are employed to test the co-integration among variables. Fully Modified Ordinary Least Squares (FMOLS) estimators are obtained for long run relationship. Results show that total fertility rate and life expectancy have significant impact on economic growth in these four South Asian countries. For example, one unit increase in total fertility rate depresses the economic growth by 0.106 units. However, economic growth is accelerated by 0.196 units due to one year increase in life expectancy.

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25

Lee, Chien-Chiang, Ching-Chuan Tsong y Cheng-Feng Lee. "TESTING FOR THE EFFICIENT MARKET HYPOTHESIS IN STOCK PRICES: INTERNATIONAL EVIDENCE FROM NONLINEAR HETEROGENEOUS PANELS". Macroeconomic Dynamics 18, n.º 4 (3 de abril de 2013): 943–58. http://dx.doi.org/10.1017/s1365100512000697.

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Using international data, this paper explores whether the efficient market hypothesis for real stock prices is supported for different panels. The stationarity of a real stock price has important implications for modeling and forecasting financial activities. On a global scale, we implement the recently developed nonlinear heterogeneous panel unit root test, which allows us to account for possible nonlinearity and cross-section dependence and to identify how many and which countries of the panel contain a unit root. The primary conclusion is that the stationarity of real stock prices varies between regions and levels of economic development. Overall, our empirical results illustrate that real stock prices in these countries are a mixture of stationary (integrated of order zero) and nonstationary (integrated of order one) processes.

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26

Pan, Guochen, Sen-Sung Chen y Tsangyao Chang. "Does Gibrat’s law hold in the insurance industry of china? A test with sequential panel selection method". Panoeconomicus 59, n.º 3 (2012): 311–24. http://dx.doi.org/10.2298/pan1203311p.

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This study applies the Sequential Panel Selection Method to investigate whether the growth rate of total insurance premium is independent of their size, as postulated by Robert Gibrat?s (1931) Law of Proportionate Effects. Time-series data for the total insurance premium of 35 insurance companies in China during the December 2005 to May 2011 period are used. Since other panel-based unit root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of I(0) and I(1) series in a panel setting, the SPSM, proposed by Georgios Chortareas and George Kapetanios (2009), classifies a whole panel into a group of stationary series and a group of non-stationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. The empirical results from the SPSM tests unequivocally indicate that Gibrat?s Law is only valid for one of these 35 companies studied here. Our study has important policy implications for insurance regulation, insurance market construction, and policyholder protection.

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27

Carvalho, Jaimilton V., Adolfo Sachsida, Paulo R. A. Loureiro y Tito Belchior S. Moreira. "UNCOVERED INTEREST PARITY IN ARGENTINA, BRAZIL, CHILE, AND MEXICO: A UNIT ROOT TEST APPLICATION WITH PANEL DATA". Review of Urban and Regional Development Studies 16, n.º 3 (noviembre de 2004): 263–69. http://dx.doi.org/10.1111/j.1467-940x.2005.00091.x.

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28

Jönsson, Kristian. "Time-specific disturbances and cross-sectional dependency in a small-sample heterogeneous panel data unit root test". Applied Economics 38, n.º 11 (20 de junio de 2006): 1309–17. http://dx.doi.org/10.1080/00036840500397671.

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29

Holmes, Mark J. y Yangru Wu. "Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test". Weltwirtschaftliches Archiv 133, n.º 1 (marzo de 1997): 76–89. http://dx.doi.org/10.1007/bf02707677.

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30

Kilic, Nazife Özge y Murat Beser. "Relationship of Foreign Trade and Economic Growth in Eurasian Economy: Panel Data Analysis". International Journal of Economics and Finance 9, n.º 9 (20 de julio de 2017): 1. http://dx.doi.org/10.5539/ijef.v9n9p1.

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In this study, relationship between foreign trade and economic growth had been examined for the countries of Eurasia Economic Union by using data in era of 1992-2015 with the help of panel data analysis. First of all, cross-sectional dependency and homogeneity test had been done in the study and it had been concluded that there is cross-sectional dependency in between the series. For this purpose, unit root and causality test considering the cross-sectional dependency had been applied. Relationship between the variables had been analyzed with the panel causality test developed by Konya (2006). It had been determined that there is bi-directional causality from growth to export and unidirectional causality from growth to import.

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31

Arnold, Martin y Christoph Hanck. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions". Journal of Risk and Financial Management 12, n.º 3 (12 de julio de 2019): 117. http://dx.doi.org/10.3390/jrfm12030117.

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Volatility break robust panel unit root tests (PURTs) recently proposed by Herwartz and Siedenburg (Computational Statistics & Data Analysis 2008, 53, 137–150) and Demetrescu and Hanck (Econometrics Letters 2012, 117, 10–13) have different performances under both the null and local alternatives. Common practice in empirical research is to apply multiple tests if none is uniformly superior. We show that this approach tends to produce contradictory evidence for the tests considered, making it unclear whether to reject the null. To address this problem, we advocate a combined testing procedure. Simulation evidence shows that the combined test has good size control and closely tracks the more powerful test. An empirical application reinvestigates whether there is a unit root in OECD inflation rates. We find evidence that inflation is stationary for long observation periods, but we cannot reject nonstationarity in most subsets of countries for the last three decades.

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32

Tripathi, Vanita y Arnav Kumar. "Relationship between Inflation and Stock Returns – Evidence from BRICS markets using Panel Co integration Test". International Journal of Accounting and Financial Reporting 1, n.º 1 (14 de enero de 2015): 647. http://dx.doi.org/10.5296/ijafr.v4i2.6671.

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Stocks are generally considered to be a good hedge against inflation because of their tendency to move together. This paper examines long term relationship between inflation and stock returns in BRICS markets using panel data for the period from March 2000 to September 2013. Correlation results reveal a significant negative relationship between stock index and inflation rate for Russia and a significantly positive relationship for India & China. ADF, PP and KPSS unit root tests indicate non-stationary characteristic of the data. Further we find no long term co-integrating relationship between stock index values and inflation rates using Pedroni panel co integration test. These findings have important implications for policy makers, regulators and investment community at large. There may seem to be short term contemporaneous relationship between inflation and equity returns but in the long run they do not seem to be significantly integrated. Changes in inflation may bring some short run movement in stock return but certainly equity does not seem to be a good hedge against inflation in long run at least in emerging BRICS markets. Keywords: BRICS, Stock Index, Inflation, Unit root test, Pedroni Panel Co integration Test, Johansen Co integration Test.

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33

Ogundari, Kolawole y Adebayo Aromolaran. "Nutrition and economic growth in sub-Saharan Africa: a causality test using panel data". International Journal of Development Issues 16, n.º 2 (3 de julio de 2017): 174–89. http://dx.doi.org/10.1108/ijdi-12-2016-0076.

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Purpose This study aims to investigate the causal relationship between nutrition and economic growth in sub-Saharan Africa. Design/methodology/approach A dynamic panel causality test based on the Blundell-Bond’s system generalized methods-of-moment was used. To make efficient inference for the estimates, the authors check for the panel unit root and co-integration relationship amongst the variables. Findings The variables were found to be non-stationary at level, stationary after first difference and co-integrated. The results of the causality tests reveal evidence of long and short-run bidirectional causality between nutrition and economic growth, which implies that nutritional improvement is a cause and consequence of economic growth and vice versa. Originality/value This is the first study to consider causality between nutrition and economic growth in the region.

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34

Nathaniel, Oladunjoye Opeyemi. "Validity of Purchasing Power Parity (PPP) Hypothesis in the Ecowas (1980–2017)". Emerging Economy Studies 5, n.º 2 (4 de octubre de 2019): 141–56. http://dx.doi.org/10.1177/2394901519870886.

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This study investigates the validity of a purchasing power parity (PPP) hypothesis in the ECOWAS. Secondary data on real exchange rates, domestic inflation rates, and foreign inflation rates were sourced from the World Development Indicators of the World Bank (2018). Unit root tests, Panel unit root tests, and panel cointegration tests were used to investigate the validity of the PPP hypothesis in the ECOWAS. The study found that the PPP hypothesis is valid individually in all the ECOWAS member countries. The results from the panel unit root tests also confirm the validity of the PPP hypothesis in the ECOWAS. Specifically, the LLC with individual intercept ( t = −5.97117, p < 0.0000), IPS with individual intercept ( t = −3.30564; p < 0.0000), Fisher ADF with individual intercept ( t = −3.43996; p < 0.0003), and Fisher PP with individual intercept ( t = −5.91557; p < 0.0000) while the panel cointegration test rejects the validity of the PPP hypothesis. Therefore, the study suggests that the ECOWAS can cautiously forge ahead with the implementation of their economic integration policies and programs in the sub-region.

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35

Holmes, M. "Does purchasing power parity hold in African less developed countries? Evidence from a panel data unit root test". Journal of African Economics 9, n.º 1 (1 de marzo de 2000): 63–78. http://dx.doi.org/10.1093/jae/9.1.63.

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36

Aslanidis, Nektarios y Stilianos Fountas. "Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data". Empirical Economics 46, n.º 1 (3 de febrero de 2013): 101–8. http://dx.doi.org/10.1007/s00181-012-0668-z.

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37

Falianty, Telisa Aulia. "Tinjauan terhadap Metode Ekonometrika Lanjutan". Jurnal Ekonomi dan Pembangunan Indonesia 4, n.º 1 (1 de julio de 2003): 59–74. http://dx.doi.org/10.21002/jepi.v4i1.133.

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Econometric models have been played an increasingly important role in empirical analysis in economics. This paper provides an overview on some advanced econometric methods that increasingly used in empirical studies.A panel data combines features of both time series and cross section data. Because of increasing availability of panel data in economic sciences, panel data regression models are being increasingly used by researcher. Related to panel data model, there are some methods that will be discussed here such as fixed effect and random effect. A new approach to panel data that developed by Im, Shin, and Pesaran (2002) for testing unit root in heterogenous panel is included in this overview.When we work with time series data, there are many problems that we must handle, most of them are unit root test, cointegration among non stationary variables, and autoregressive conditional heteroscedasticity. Provided these problems, author also review about ADF and Philips-Perron test. An approch to cointegration analysis developed by Pesaran (1999), ARCH and GARCH model are also interesting to be discussed here.Bayesian econometric, that less known than classical econometric, is includcd in this overview. The genctic algorithm, a relatively new method in econometric, has bcen increasingly employed the behavior of economic agents in macroeconomic models. The genetic algorithm is based on thc process of Darwin’s Theory of Evolution. By starting with a set of potential solutions and changing them during several iterations, the Genetic Algorithm hopes to converge on the most ‘fit’ solutions.

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38

Tsafa-Karakatsanidou, Maria y Stilianos Fountas. "Testing for Inflation Convergence Among European Union Countries: A Panel Approach". Special Issue on Applied Macroeconomics, Finance, and Banking 64, n.º 1 (1 de enero de 2018): 17–37. http://dx.doi.org/10.3790/aeq.64.1.17.

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Abstract This paper attempts to test for inflation convergence in a sample of 24 European Union countries. To tackle this issue, first- and second-generation panel unit root and stationarity tests are employed so as to provide evidence of inflation convergence before and after the launch of the single currency, the euro. We also test for and then allow for cross-sectional dependence. In general, the findings reveal that conditional inflation convergence exists for all panels under study. The estimation of half lives shows that the evidence for faster speed of convergence applies for the new member states followed by the core countries and the old member states. JEL classifications: C33, E3, F33 Keywords: Inflation Convergence, EU, Maastricht Criteria, Panel data

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39

Sehrawat, Madhu y A. K. Giri. "Financial development and poverty reduction: panel data analysis of South Asian countries". International Journal of Social Economics 43, n.º 4 (11 de abril de 2016): 400–416. http://dx.doi.org/10.1108/ijse-04-2014-0069.

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Purpose – The purpose of this paper is to examine the contribution of financial development to poverty reduction in 11 South Asian developing countries using panel data set over the time period 1990-2012. Design/methodology/approach – The stationarity properties are checked by using Levin-Lin-Chu and Im-Pesaran-Shin panel unit root tests. The paper applied the Pedroni’s panel co-integration test to examine the existence of long-run relationship. The coefficients of co-integration are examined by fully modified OLS (FMOLS) and the causal link is checked by panel causality test. Findings – The empirical results of Pedroni co-integration test confirm a long-run relationship between financial development and poverty reduction in South Asian developing economies. The findings of FMOLS method confirm a strong and positive relationship between financial development, trade openness, inflation and poverty reduction. Results of panel causality test indicate that there is a unidirectional causality running from financial development to poverty reduction variable. Research limitations/implications – The present study recommends appropriate economic and financial reforms focussing on financial inclusion to reduce poverty in selected South Asian economies. Originality/value – This paper is the first of its kind to empirically examine the causal relationship between financial sector development and poverty reduction in South Asian economies using modern econometric techniques.

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Yildirtan, Dina Cakmur y Selin Sarili. "Panel Data Analysis of Monetary Transmission Mechanism for European Union Countries". Journal of Social Science Studies 4, n.º 2 (14 de marzo de 2017): 42. http://dx.doi.org/10.5296/jsss.v4i2.10731.

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Monetary transmission mechanism is the mechanism which shows in what ways and what extent interaction between the real economy-monetary policy, impacts aggregate demand and production. While transmission channels or mechanisms traditionally classified they divided into three categories; interest rates, Exchange rates and other asset prices.In this study to test the existence of the European debt crisis by the monetary transmission mechanism, 15 members of European Union country by using annual (2002-2014) data set were included into study. We use panel unit root tests to analyze whether the variables in the model are stationary or not. For the countries included in the study, panel causality tests developed by Granger is applied. Panel Vector Autoregressive Model has been estimated and results of Impulse-Response Analysis and Variance Decomposition have been interpreted.

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41

Lyulyov, Oleksiy, Tetyana Pimonenko, Alexey Kwilinski y Yana Us. "The heterogeneous effect of democracy, economic and political globalisation on renewable energy". E3S Web of Conferences 250 (2021): 03006. http://dx.doi.org/10.1051/e3sconf/202125003006.

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This paper summarises the arguments and counterarguments within the scientific discussion on international cooperation’s role in combatting climate change and its impacts. The primary purpose of the research is to determine renewable energy development reliance on democracy and globalisation levels. The objects for analysis are Ukraine and countries with different democracy regimes: full democracy (Finland, Denmark, Spain), flawed democracy (Poland, Slovakia, Hungary, and the Czech Republic) and hybrid democracy (Ukraine, Turkey and Montenegro). To gain the research goal, the authors examined data on the share of renewable energy, GDP per capita, labour force and gross fixed capital formation from 2012 to 2019. The data was retrieved from the Eurostat database, World Data Bank, KOF Swiss Economic Institute and the Economist Intelligence Unit. The following methods and tests were used: Levin, Lin, and Chu test; Augmented Dickey-Fuller Fisher and PhillipsPerron Fisher unit root test; Im, Pesaran, Shin’s panel unit root tests. The authors used the Pedroni test to cointegration among variables. The Fully Modified OLS and Dynamic OLS panel cointegration techniques were applied to evaluate a statistically significant longer-term relationship between variables. The findings confirmed that for countries with the hybrid regime, the changes in political and economic globalisation provoked the rapid growth of renewable energy compare with countries from full and flawed democracy.

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Ding, Yongxia y Shuwen Niu. "Spatial difference analysis of residential energy consumption, income and carbon emissions in China". International Journal of Energy Sector Management 11, n.º 4 (6 de noviembre de 2017): 541–56. http://dx.doi.org/10.1108/ijesm-01-2016-0004.

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Purpose This paper aims to analyze the internal relationships and tendency of residential energy consumption, income and carbon emissions. Design/methodology/approach Taking 30 provinces of China as the analysis unit and dividing them into two types of urban and rural consumer groups, the panel data model was built. In addition, panel unit root test, panel cointegration test and panel Granger causality test were also used. Findings The results showed that there are long-run equilibrium relationships between the three variables, which show the regular tendency in the spatial process. The elasticity coefficients of residential energy consumption and CO2 emissions vary across the three regions and decline continuously from the western to central and eastern regions. In addition, geographic location is also an important factor on the energy consumption and CO2 emissions in residential sector. Originality/value This paper provides some points for policies on cutting energy use and pollution in residential sector.

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43

Osinowo, Olatokunbo Hammed, Esther Toluwatope Tolorunju y Iyabosola Mary Osinowo. "Drivers of agricultural productivity: Evidence from transforming economies". Agricultura Tropica et Subtropica 54, n.º 1 (1 de enero de 2021): 14–23. http://dx.doi.org/10.2478/ats-2021-0002.

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Abstract This study empirically investigates the drivers of agricultural productivity in transforming economy. The study used a 35-year period (1980–2014) panel data sourced from World Development Indicators, Penn World Table, United States Department of Agriculture and Statistics on Public Expenditure for Economic Development. Data used for the study include Agricultural Productivity (AP), Real Gross Domestic Product (GDP), Government Agricultural Expenditure (EXP), Agricultural Trade Barrier (ATB), Consumer Price Index (CPI), Farm Machinery (MACH), Fertiliser (FERT), Human Capital (HCAP) and Irrigation (IRRG). Data were analysed using Impulse Response Function, Levin-Lin-Chu unit root test, Johansen-Fisher Panel Cointegration test and Panel Least Squares regression technique. Impulse Response Function revealed that ln (GDP)reacted negatively to a shock from ln (Agricultural Productivity). Levin-Lin-Chu unit root test revealed that the variables were stationary either at level or at first difference. The result of the Johansen-Fisher panel cointegration test showed that for every case at 5 percent level of significance, we reject null hypothesis of no cointegration. Panel Least Squares revealed that Agricultural Trade Barrier (α = 0.0531, p < 0.05), Human Capital (α = 1.2409, p < 0.01) and Irrigation (α = 0.0771, p < 0.01) increased Agricultural Productivity. However, Fertilizer (α = −0.0730, p < 0.01) decreased Agricultural Productivity. This study therefore concluded that Agricultural Productivity will grow in transforming economy with trade restriction on imported agricultural tradable commodities, increased investment in human capital and expansion in irrigation application. The study therefore recommends measures that will protect domestic agriculture, capacity building of the farmers and improved irrigation infrastructure that will enhance small scale farmers for all-season cropping.

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44

LI, JING-PING, OMID RANJBAR y TSANGYAO CHANG. "UNEMPLOYMENT HYSTERESIS IN PIIGS COUNTRIES: A NEW TEST WITH BOTH SHARP AND SMOOTH BREAKS". Singapore Economic Review 62, n.º 05 (diciembre de 2017): 1165–77. http://dx.doi.org/10.1142/s0217590815500782.

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In this empirical study, we apply the Panel stationary test with both sharp and smooth breaks to re-examine the hysteresis hypothesis of unemployment for five high-debt countries, Portugal, Ireland, Italy, Greece and Spain (PIIGS) from 1960 to 2011. We find that our proposed model has greater power than a linear method if the true data-generating process of unemployment is a stationary, non-linear process of unknown form with structural changes. Hysteresis in unemployment is confirmed for all PIIGS countries when traditional unit root tests are employed; however, hysteresis in unemployment is confirmed only for Greece when our proposed Panel stationary test with both sharp and smooth breaks is utilized.

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45

Wang, Huan, Zeng Min Wang y Qi Ling Xie. "Regional Differences between China's Telecom Industry Development and Economic Growth - an Empirical Study Based on Eastern and Western Panel Data". Applied Mechanics and Materials 411-414 (septiembre de 2013): 2410–16. http://dx.doi.org/10.4028/www.scientific.net/amm.411-414.2410.

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Through establishing a dynamic panel data model and based on panel data which were calculated at 2000 constant prices from 2000 to 2011 of 23 provinces in the eastern and western China, this paper studies the causal relationship between telecommunications development and economic growth of eastern and western China, using the method of unit root test, the differential method and Granger causality test. The empirical results show that there is a causal relationship from gross regional product to the direction of the telecom business volume in the eastern China, but not in the western. This result means that the improvement of telecommunications infrastructure is not enough to stimulate local economic growth, while the western region's economic growth is not significantly driven by the development of the local telecom industry as well.

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46

Lau, Evan, Ahmad Zubaidi Baharumshah y Siew-Voon Soon. "THE BEHAVIOR OF EXTERNAL DEBT IN ASIAN COUNTRIES: EVIDENCE BASED ON PANEL UNIT ROOT TESTS". Journal of Business Economics and Management 14, Supplement_1 (24 de diciembre de 2013): S377—S394. http://dx.doi.org/10.3846/16111699.2012.720589.

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This article investigates the mean-reverting behavior of the external debt ratio based on a clustered of 19 Asian countries from 1981 to 2010. For this purpose, we use a government's intertemporal budget constraint (GIBC) model popularized by Hamilton and Flavin (1986). Our conclusions were drawn from panel data based tests, including the newly developed test that accounts for both cross-sectional dependency and structural breaks. Two major findings are noteworthy; first majority debt ratios in the Asian countries are affected by structural breaks. Second, we find unit root tests that do not accommodate breaks are less likely to detect mean reversion in the debt ratios. In all, our results indicate debt sustainability is a general characteristic of all the Asian countries.

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Kumar, Jitendra, Anoop Chaturvedi, Umme Afifa, Shafat Yousuf y Saurabh Kumar. "Unit Root Test for Panel Data AR(1) Time Series Model With Linear Time Trend and Augmentation Term: A Bayesian Approach". Journal of Modern Applied Statistical Methods 16, n.º 2 (4 de diciembre de 2017): 138–56. http://dx.doi.org/10.22237/jmasm/1509494880.

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48

Choji, Niri Martha y Siok Kun Sek. "Investigating the ppp theory and long-run estimates for five Asian countries". International Journal of Engineering & Technology 7, n.º 4.28 (30 de noviembre de 2018): 26. http://dx.doi.org/10.14419/ijet.v7i4.28.22384.

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The theory of purchasing power parity (PPP) theory posits that the conversion rate between two currencies ought to be the same as the ratio of the total price levels between two currencies. Using monthly recent panel data for five Asian countries, from the period 1996M01-2016M08, the paper examined the PPP theory by utilizing robust methods of panel unit root and cointegration (Pesaran and Westerlund) tests that put into consideration cross-sectional dependence. The panel unit root test results show that all the variables considered are not stationary at levels but stationary at first difference (all variables are I(1)), because of that, the cointegration test was carried out. Results showed the presence of long-run relationship among the variables implying that the purchasing power parity theory exists in the long-run. Furthermore, the long-run relationships were estimated using the dynamic ordinary least squares (DOLS), fully modified ordinary least squares (FMOLS) and the mean group (MG) estimators. Surprisingly, all these estimators gave similar results, they showed that the domestic prices cause depreciation while the foreign prices cause appreciation of the nominal exchange rates in the five Asian countries. Generally, the effect of nominal exchange rate appreciation is more than depreciation in the five Asian countries.

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49

Jaén-García, Manuel. "Wagner’s Law, Public Employment, and Spanish Regions". Applied Economics Quarterly: Volume 64, Issue 3 64, n.º 3 (1 de julio de 2018): 179–98. http://dx.doi.org/10.3790/aeq.64.3.179.

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Abstract Following Peacock and Musgrave&#8217;s rediscovery of Wagner&#8217;s Law, the latter became a standard tool used in research on the relationship between growth of public spending and the factors by which it is influenced. However, conventional empirical tests are based on a specification error related to Wagner&#8217;s definition of the public sector, which he considered in its totality, including public companies. The present article attempts to correct this error and obtain an approximation to the size of the public sector by considering public employment as a whole, both in public administrations and services and in public companies. To this end, panel data for the Spanish autonomous regions are used in addition to data for the overall public sector. The empirical test is performed utilizing cointegration techniques and unit roots in panel data. Similarly, the possibility of structural breaks in the data is taken into consideration and they are estimated using fictitious variables. JEL classifications: H11; H50; E62 Keywords: public employment; gross domestic product; unit root; cointegration; panel data

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Chaudhry, Imran Sharif, Shumaila Iffat y Fatima Farooq. "Foreign Direct Investment, External Debt and Economic Growth: Evidence from some Selected Developing Countries". Review of Economics and Development Studies 3, n.º 2 (30 de junio de 2017): 111–24. http://dx.doi.org/10.26710/reads.v3i2.170.

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Purpose: The aim of this paper is to analyze the relationship between foreign direct investment, external debt and economic growth. The study is based on a sample of 25 region wise selected developing countries. Panel unit root tests suggested that the entire selected variables are stationary at the level of first difference. Using data from 1990 to 2014, results of FMOLS method suggest that the core variables, foreign direct investment and External Debt have significant positive relationship with economic growth. In addition, variables like labor, gross capital formation, Gross domestic saving and general government final consumption expenditure are control variables of the present study. Labor, Gross Domestic Saving and General Government final consumption expenditures have positive while Gross capital formation exerts negative impacts on economic growth as per findings of the study Moreover, FDI exerts outstanding effects on growth than growth because one unit rise in FDI raise the growth by 4.03 units while one unit rise in external debt upgrade the growth up to 2.13 units. It means that boundaries of selected developing nations are absorbent to FDI than external debt. The results of "Johansen Fisher Panel Co integration test" revealed that, there exists a long period relationship among all the explained and explanatory variables. In order to investigate the causal relation among selected variables, pair wise granger causality test is employed.

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