This paper investigates the effects of consistent and inconsistent long-run variance estimation on a unit root test based on the generalization of the von Neumann ratio. The results from the Monte Carlo experiments suggest that the tests based on an inconsistent estimator have less size distortion and more stability of size across different autocorrelation speciÞcations as compared to the tests...

We investigate the performance of some homogenous first and second generation panel unit root tests under alternative forms of cross sectional dependence. We formalize contemporaneous correlation through factor models, spatial autoregressive error models and combinations thereof. Our findings confirm that while the first generation test of Levin, Lin, and Chu (2002) suffers from substantial siz...

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and heterogeneous, and the lagged level of the dependent variable is employed as the threshold variable. The asymp...

The Enders and Granger (1998) unit-root test against stationary alternatives with asymmetric adjustment is applied to the extended Nelson and Plosser dataset. The test rejects roughly as frequently as does the ADF test on these data. In only one of these cases, for the S&P500 index, does further testing suggest that the adjustment mechanism is asymmetric.

agriculture as one of the major economic sectors of iran, has an important role in gross domestic production by providing about 14% of gdp. this study attempts to forecast the value of the agriculture gdp using periodic autoregressive model (par), as the new seasonal time series techniques. to address this aim, the quarterly data were collected from march 1988 to july 1989. the collected data w...

This paper aims to examine whether a bubble is present in the housing market of China. Thus, we use the housing price-to-income ratios and housing price-to-rent ratios of 35 cities from 1998 to 2010. The methods of the panel KSS unit root test with a Fourier function and the SPSM process are likewise used. The panel KSS unit root test with a Fourier function considers the problem of non-lineari...