The increasing works on parameter instability, structural changes and regime switches lead to the natural research question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have provided testing procedures of covariance stationarity and have shown empirical evidence for the unconditional time-variation of the dependence structure of ...

This paper presents user-friendly SAS macro and SAS programs to check the three parts of a time series: Trend, Cyclical patterns, and Stationarity. The SAS macro KENDALL performs the trend analysis. Seasonal Kendall Trend analysis, including summery statistics; overall Tau and the P-value of the test for trend; monthly Tau values, the corresponding P-values for each month; the Seasonal Kendall ...

This paper applies various recent panel unit root tests to 14 macroeconomic variables. These variables, observed for the OECD countries since the 50’s, are the same as those considered in the seminal paper by Nelson and Plosser (1982) for the United States. Two distinct generations of tests are used. The first one is based on a cross-sectional independence assumption. If we consider only tests ...

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...

Signal detection in certain noise environments fits naturally into a statistical hypothesis testing framework. In order to have moderately tractable models, the noise is often assumed to be additive with a multivariate normal distribution. Additionally, computational complexity requirements may demand the assumption of spatial stationarity, particularly in the case when the data is 2-dimensiona...

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...

This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...

The notion of a ripple effect in the housing market implies stationarity in regional:national house price ratios. The central aim of this study is to investigate whether the ripple effect exists in Taiwan’s regional house price ratio by implementing the Breuer et al. (2001) Panel SURADF unit root tests, which can improve upon the less efficient estimations of conventional unit root tests. The P...