The Experts below are selected from a list of 11724 Experts worldwide ranked by ideXlab platform

Myles S Wallace - One of the best experts on this subject based on the ideXlab platform.

  • series specific unit root Tests with panel data
    Social Science Research Network, 2003
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test.

  • series specific unit root Tests with panel data
    Oxford Bulletin of Economics and Statistics, 2002
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test. Copyright 2002 by Blackwell Publishing Ltd

Janice Boucher Breuer - One of the best experts on this subject based on the ideXlab platform.

  • series specific unit root Tests with panel data
    Social Science Research Network, 2003
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test.

  • series specific unit root Tests with panel data
    Oxford Bulletin of Economics and Statistics, 2002
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test. Copyright 2002 by Blackwell Publishing Ltd

Robert Mcnown - One of the best experts on this subject based on the ideXlab platform.

  • series specific unit root Tests with panel data
    Social Science Research Network, 2003
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test.

  • series specific unit root Tests with panel data
    Oxford Bulletin of Economics and Statistics, 2002
    Co-Authors: Janice Boucher Breuer, Robert Mcnown, Myles S Wallace
    Abstract:

    A unit root Testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root Tests. This Test (called SURADF) is based on seemingly unrelated regressions applied to Augmented Dickey-Fuller (ADF) Tests for a unit root. In contrast to extant panel unit root Tests, our Test allows for determination of which members of the panel reject the null hypothesis of a unit root and which ones do not. The power of the Test is investigated with Monte Carlo simulation and demonstrated with application to several panels of real exchange rates. We find that when the contemporaneous cross-correlations of the residuals are high, our procedure has substantially more power to reject a unit root than the single equation Dickey-Fuller Test. Copyright 2002 by Blackwell Publishing Ltd

George Kapetanios - One of the best experts on this subject based on the ideXlab platform.

  • the yen real exchange rate may be stationary after all evidence from non linear unit root Tests
    Oxford Bulletin of Economics and Statistics, 2004
    Co-Authors: Georgios Chortareas, George Kapetanios
    Abstract:

    The empirical literature that Tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The behaviour of the yen real exchange rate has most stubbornly challenged the PPP hypothesis and deepened this puzzle. This paper contributes to this discussion by providing new evidence on the stationarity of bilateral yen real exchange rates. We employ a non‐linear version of the augmented Dickey–Fuller Test, based on an exponentially smooth‐transition autoregressive model (ESTAR) that enhances the power of the Tests against mean‐reverting non‐linear alternative hypotheses. Our results suggest that the bilateral yen real exchange rates against the other G7 and Asian currencies were mean reverting during the post‐Bretton Woods era. Thus, the real yen behaviour may not be so different after all but simply perceived to be so because of the use of a restrictive alternative hypothesis in previous Tests.

  • the yen real exchange rate may be stationary after all evidence from non linear unit root Tests
    Research Papers in Economics, 2003
    Co-Authors: Georgios Chortareas, George Kapetanios
    Abstract:

    The empirical literature that Tests for purchasing power parity (PPP) by focusing on the stationarity of real exchange rates has so far provided, at best, mixed results. The yen real exchange rate behavior, as compared to other major currencies, has most stubornly challenged the PPP hypothesis and deepened this puzzle. This paper contributes to this discussion by providing new evidence on the stationarity of bilateral yen real exchange rates. We employ a non-linear version of the Augmented Dickey-Fuller Test, based on an exponentially smooth-transition autogregressive model (ESTAR) that enhances the power of the Tests against mean-reverting nonlinear alternative hypotheses. Our results suggest that the bilateral yen real exchange rates against the other G7 and Asian currencies were mean reverting during the post-Bretton Woods era. Thus, the real yen behavior may not be so different after all but simply perceived to be so due to the use of a restrictive alternative hypothesis in previous Tests.

  • nonlinear mean reversion in real exchange rates
    Economics Letters, 2002
    Co-Authors: Georgios Chortareas, George Kapetanios, Yongcheol Shin
    Abstract:

    Abstract This paper modifies a unit-root Test procedure in the nonlinear STAR framework recently advanced by Kapetanios et al. [Journal of Econometrics (2001) in press]. Using a detrending methodology suggested by Schmidt and Phillips [Oxford Bulletin of Economics and Statistics 54 (1992) 257], we derive an alternative unit-root Test and apply it to the bilateral real exchange rates for the G7 countries. We find that the use of our Test is able to uncover evidence of nonlinear mean-reversion for most cases whereas the standard Dickey–Fuller Test based on the linear model cannot.

Muhammad Mohsin - One of the best experts on this subject based on the ideXlab platform.

  • integrated effect of energy consumption economic development and population growth on co2 based environmental degradation a case of transport sector
    Environmental Science and Pollution Research, 2019
    Co-Authors: Muhammad Mohsin, Qaiser Abbas, Jijian Zhang, Muhammad Ikram, Nadeem Iqbal
    Abstract:

    The transportation sector consumes 25% of world energy with 23% of the world’s total carbon emission. Therefore, it is necessary to investigate the integrated effect of fossil fuel source of energy consumption, economic development, and total population on CO2 emission based on environmental degradation transportation sector. We employed the econometric methodologies such as a hybrid error correction model, regression coefficients, platykurtic distribution, Dickey-Fuller Test, and co-integration Test in order to justify empirical analysis for Pakistan transport sector. Results reveal that an increase in economic growth, urbanization, and energy consumption increased transport-based environmental degradation urbanization. Moreover, very interestingly, during this period, energy consumption has increased by 13.5%, and it shows a high dependence of economic growth on energy consumption. Further, the CO2 emission and energy consumption per capita has a positive relationship. Finally, this study has proposed some suggestion for policy and decision-makers to mitigate environmental degradation as well as make transport sector environmentally sustainable.