In this paper, we show that the central limit theorem (CLT) satisfied by the data-driven Multidimensional Increment Ratio (MIR) estimator of the memory parameter d established in Bardet and Dola (2012) for d ∈ (−0.5, 0.5) can be extended to a semiparametric class of Gaussian fractionally integrated processes with memory parameter d ∈ (−0.5, 1.25). Since the asymptotic variance of this CLT can b...

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...

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for cross-sectionally uncorrelated panels. Given that real exchange rate panel data sets are – almost by construction – highly cross-sectionally correlated, ...

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...

Solberger, M. 2013. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model. Acta Universitatis Upsaliensis. Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences 90. 51 pp. Uppsala. ISBN 978-91-554-8754-6. Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people,...