This study is held in order to determine whether some Middle Eastern countries have converged EU terms of economy and politics as dimensions globalization. Existence any convergence tested via Harvey ve Leybourne (2008) linearity tests. It has been deduced that Quwait EU-27 average from the point economic globalization country also EU-15 social Similarly, Saudi Arabia EU-9 avearges socail Egypt...

Monte Carlo evidence [Evans (1991)] indicates that when speculative bubbles are collapsible, the traditional cointegration approach based on unit root tests has some serious drawbacks. We propose in this paper an alternative approach to test such bubbles. We demonstrate that the suggested test has some advantages over the traditional unit root based tests, especially for bubbles that are collap...

The preliminary unit root test has been found to be a useful tool for improving the accuracy of a one-step-ahead predictor and prediction interval for the first-order autoregressive process when an autoregressive coefficient is close to one. This paper applies the aforementioned concepts of the preliminary unit root test in order to improve the efficiency of prediction intervals for the Gaussia...

Time series from fifteen OECD countries for the period 1870–1994 are examined to determine if per capita incomes are stochastically converging. To perform our tests, we utilize a minimum Lagrange multiplier unit root test that endogenously determines two structural breaks in level and trend. In contrast to other tests, our test is not subject to rejections of the null in the presence of a unit ...

The research of Kim and Schmidt (1993) is extended to examine the properties of asymmetric unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, threshold autoregressive and momentum—threshold autoregressive asymmetric unit tests are shown to suffer greater size distortion than the original (implicitly symmetric) Dick...

Xuan Leng1 and Liang Peng2 Abstract. Motivated by a recent discovery that the two-step inference for Lee-Carter mortality model is inconsistent when the mortality index does not follow from a nearly integrated AR(1) process, we propose a test for unit root in a Lee-Carter model with an AR(2) process for the mortality index. Although testing for a unit root has been studied extensively in econom...

In practice a degree of uncertainty will always exist concerning what specification to adopt for the deterministic trend function when running unit root tests. While most macroeconomic time series appear to display an underlying trend, it is often far from clear whether this component is best modelled as a simple linear trend (so that long-run growth rates are constant) or by a more complicated...

A growing literature analyzes determinants of insurance prices using time series data on insurer underwriting margins. If the variables analyzed are stationary, conventional regression models may be appropriately used to test hypotheses. Based on pre-tests for a unit root, several studies have instead used cointegration analysis to analyze the long run relationship between purportedly non-stati...