Unit root in unemployment – new evidence from nonparametric tests

Inflation Revisited: New Evidence from Modified Unit Root Tests

We propose a simple modification to the general-to-specific lag-length selection method typically employed in a standard augmented Dickey-Fuller (ADF) test and apply it to examine the stationarity of OECD countries’ inflation rates. Instead of using the entire set of lags selected by the general-to-specific method, we suggest using only the lags that are statistically significant. Our Monte Car...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

China’s Economic Growth: Evidence from Multiple-break Unit Root Tests

This paper performs multiple-break unit root tests on the data of China’s national and sectoral output and labour productivity, with finite-sample critical values bootstrapped through Monte Carlo simulations. We find strong evidence against the unit-root hypothesis in favour of the segmentedtrend-stationarity alternative. Based on breaking trend functions, the steady-state and transitional grow...

Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries

There is a large and growing literature that investigates evidence for mean reversion in stock prices. Empirically, there is no consensus as to whether stock prices are mean reverting or random walk processes; at best, the results are mixed. In this paper, we provide further evidence on the mean reversion hypothesis for seventeen European countries using the Levin and Lin (1992), seemingly unre...

Bootstrap Unit Root Tests

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 ...