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SIMPLE UNIT ROOT TEST ROBUST TO OUTLIERS

100%

Rosiak-Lada K.

Przegląd Statystyczny

2007

tom 54

nr 4

34-48

In this article an alternative method for analysis the integration of time series is proposed. The procedure is appropriate in the presence of outliers and was called 'linearized Dickey-Fuller test'. The method is based on the assumption that the data is generated by some ARIMA (Autoregressive integrated moving average) proces. In the first step, the outliers are identified on the basis of likelihood ratio tests, using REGARIMA model. Then, the estimated effect of outliers is removed from the data. In the last step, the Dickey-Fuller test is applied to the adjusted series. It is shown, via simulations, that the procedure leads to the unit root test with accurate finite sample size and considerably improved power.

CAN WE EXPLAIN THE LONG-TERM REAL EQUILIBRIUM EXCHANGE RATES THROUGH PURCHASING POWER PARITY?

100%

Feridun M.

Ekonomický časopis (Journal of Economics)

2005

tom 53

nr 3

273-282

Purchasing Power Parity (PPP) is the most conventional and fundamental means through which the long-term equilibrium exchange rate can be explained. This article examines the monthly and quarterly data from January 1965 - January 1995 aiming at testing the validity of PPP as a long-term equilibrium condition for the bilateral exchange rates between US Dollar and the currencies of a set of five industrialized countries, namely Germany, France, Australia, Canada, and the United Kingdom, using Augmented Dickey Fuller (ADF) unit root test. Results indicate that both monthly and quarterly US Dollar - Canadian Dollar real exchange rates are stationary. In case of US Dollar- Australian Dollar real exchange rate, only monthly data is found to be stationary. Strong evidence emerges that US Dollar - French Franc, US Dollar - German Mark, and US Dollar - Great Britain Pound exchange rates are non-stationary, which invalidates the PPP hypothesis.

REAL INTEREST RATE PARITY FOR CENTRAL AND EASTERN EUROPEAN COUNTRIES: A NEW UNIT ROOT TEST WITH TWO STRUCTURAL BREAKS

88%

Su C.-W. , Jiang X. , Chang H.-L.

2014

tom 62

nr 1

3 – 18

This study applies Narayan and Popp’s (2010) unit-root test with two endogenous breaks, which has been proven to be more powerful than the other unit root tests with two breaks (Narayan and Popp, 2013) to assess the non-stationary properties of the real interest rate parity (RIRP) for thirteen Central and Eastern European (CEE) countries. We examine the validity of RIRP from the unit root with two breaks of view and provide robust evidence which clearly indicates that RIRP holds true for six countries. Our findings point out their real interest rate convergence is mean reversion towards RIRP equilibrium values with two structural breaks. Our results have important policy implications for these CEE countries under study.

THE REAL CONVERGENCE OF CEE COUNTRIES: A STUDY OF REAL GDP PER CAPITA

88%

Zárembová A. , Lyócsa Š. , Baumöhl E.

nr 6

642 – 656

The paper examines the unconditional sigma and time-series convergence of a real GDP per capita (measured in national currencies and euros) for CEE8 countries during the 1995 : Q1 – 2011 : Q1 period by applying the unit root framework using the DF-GLS test and the Lee and Strazicich (2003; 2004) test, which allows for endogenous breaks in trends and constants. We selected Germany as a benchmark country for relative real GDP per capita because of its geographical and economical position relative to all CEE8 countries. We have found that both sigma convergence and time-series convergence were present for most of the CEE8 countries prior to the breaks in trends, but after the breaks, the convergence slowed or reversed and thus indicated divergence.

REAL CONVERGENCE OF EU ECONOMIES: DO STRUCTURAL BREAKS MATTER?

75%

Soriċ P.

Ekonomický časopis (Journal of Economics)

2017

tom 65

nr 8

691 – 714

This study examines the real GDP convergence of EU Member States. It adds to the abundance of conditional convergence studies by utilizing a unit root test with up to two structural breaks, finding that the crisis has not stopped the long-run convergence within the EU. Differing from similar studies, we discriminate between up and down breaks in the convergence process, and apply the non-parametric Wilcoxon signed-rank test to identify variables that are coincidental with these shifts. Convergence accelerations are characterized by nominal exchange rate and unit labour cost changes, while slowdowns are followed by investment shocks. The importance of external trade is particularly emphasized during convergence accelerations. Several different robustness checks leave these findings quite intact.