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Phouphet Kyophilavong - One of the best experts on this subject based on the ideXlab platform.
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Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal Unit Root Test
Research in International Business and Finance, 2017Co-Authors: Süleyman Bolat, Aviral Kumar Tiwari, Phouphet KyophilavongAbstract:We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal Unit Root Test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal Unit Root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.
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new evidence from the random walk hypothesis for brics stock indices a wavelet Unit Root Test approach
Economic Modelling, 2014Co-Authors: Aviral Kumar Tiwari, Phouphet KyophilavongAbstract:Abstract We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based Unit Root Test by Fan and Gencay (2010) along with a battery of Unit Root Tests. We also examine the sensitivity of the wavelet-based Unit Root Test. Our wavelet-based Unit Root Tests show evidence that rejects the null of the Unit Root for all of the BRICS countries except for the Russian Federation. Hence, the Tests provide support for the predictability of stock market indices in these economies on the basis of historical information. However, there is a need for caution because the results are based on a relatively small sample of only 11 years of monthly observations.
Mario Cerrato - One of the best experts on this subject based on the ideXlab platform.
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a nonlinear panel Unit Root Test under cross section dependence
Advances in Latent Variables - Methods Models and Applications, 2013Co-Authors: Christian De Peretti, Mario Cerrato, Rolf Larsson, Nicholas SarantisAbstract:We propose a nonlinear heterogeneous panel Unit Root Test for Testing the null hypothesis of Unit-Roots processes against the alternative that allows a proportion of Units to be generated by globally stationary ESTAR processes and a remaining nonzero proportion to be generated by Unit Root processes. The proposed Test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the Test statistic is free of nuisance parameters as (N;T) tends to infinity. Monte Carlo simulation shows that our Test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent Test proposed in Pesaran (2007). Various applications are provided.
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a nonlinear panel Unit Root Test under cross section dependence
Research Papers in Economics, 2011Co-Authors: Mario Cerrato, Christian De Peretti, Rolf Larsson, Nicholas SarantisAbstract:We propose a nonlinear heterogeneous panel Unit Root Test for Testing the null hypothesis of Unit-Roots processes against the alternative that allows a proportion of Units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by Unit Root processes. The proposed Test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the Test statistic is free of nuisance parameters as (N, T) −∞. Monte Carlo simulation shows that our Test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent Test proposed in Pesaran [2007]. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided.
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IJCNN - An artificial neural network based heterogeneous panel Unit Root Test in case of cross sectional independence
2009 International Joint Conference on Neural Networks, 2009Co-Authors: Christian De Peretti, Carole Siani, Mario CerratoAbstract:In this paper we propose an artificial neural network (ANN) based panel Unit Root Test, extending [1] neural Test to a dynamic heterogeneous panel context, and following the [2] panel methodology. New asymptotic results are obtained both for the individual ANN-t Test statistics for Unit Root, and the panel Unit Root Test statistic. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided.
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a bootstrap panel Unit Root Test under cross sectional dependence with an application to ppp
Computational Statistics & Data Analysis, 2007Co-Authors: Mario Cerrato, Nicholas SarantisAbstract:A bootstrap methodology for dealing with cross-sectional dependence in panel Unit Root Tests of real exchange rates is suggested. Monte Carlo simulations are employed to investigate the size distortion and the power of the bootstrap Test-statistic. It is shown that the statistic has good power and no size distortions for moderate and large samples. The panel Unit Root Test procedure is then applied to the long-run purchasing power parity (PPP) hypothesis, using a panel of 20 OECD countries over the recent float period, and the results are compared to those obtained by other Tests.
Aviral Kumar Tiwari - One of the best experts on this subject based on the ideXlab platform.
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Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal Unit Root Test
Research in International Business and Finance, 2017Co-Authors: Süleyman Bolat, Aviral Kumar Tiwari, Phouphet KyophilavongAbstract:We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal Unit Root Test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal Unit Root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.
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new evidence from the random walk hypothesis for brics stock indices a wavelet Unit Root Test approach
Economic Modelling, 2014Co-Authors: Aviral Kumar Tiwari, Phouphet KyophilavongAbstract:Abstract We examine the use of the random walk hypothesis on the BRICS stock indices. Our examination of the stock indices uses a recently developed wavelet-based Unit Root Test by Fan and Gencay (2010) along with a battery of Unit Root Tests. We also examine the sensitivity of the wavelet-based Unit Root Test. Our wavelet-based Unit Root Tests show evidence that rejects the null of the Unit Root for all of the BRICS countries except for the Russian Federation. Hence, the Tests provide support for the predictability of stock market indices in these economies on the basis of historical information. However, there is a need for caution because the results are based on a relatively small sample of only 11 years of monthly observations.
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Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear Unit Root Test
Economic Change and Restructuring, 2014Co-Authors: Aviral Kumar Tiwari, Muhammad ShahbazAbstract:This study examines the Purchasing Power Parity (PPP) hypothesis in case of India for her five major trading partners over the period of 1991M_1–2009M_2. The study used the DF-GLS Unit Root Test and threshold autoregressive (TAR) model as well as momentum-TAR (M-TAR) models for empirical analysis. However, we relied on TAR and MTAR models based cointegration Tests to draw conclusions because of their superiority to traditional cointegration techniques as these models have limit cycles, amplitude dependent frequencies, and jump phenomena. These models are capable of producing asymmetric limit cycles and are suitable for time series data. Our empirical exercise reveals that PPP hypothesis does not exist for all major trading partners in case of India. This reveals that intermediate goods face high barriers to trade in this sampled countries. This supports the argument that Indian government has not been able to strike out the proper balance between flexibility and stability between real bilateral exchange rates and thus unable to maintaining confidence in the domestic currency that has been evident from the recent fall of rupee in relation to the US dollar.
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Unemployment hysteresis in the Eurozone area: evidences from nonlinear heterogeneous panel Unit Root Test
Applied Economics Letters, 2014Co-Authors: Süleyman Bolat, Aviral Kumar Tiwari, Ahmet Utku ErdayiAbstract:Our article Tests for hysteresis of unemployment rate for 17 Eurozone countries over the period 2000:1 to 2013:1 through the use of new nonlinear panel Unit Root Tests by adopting the sequential panel selection method (SPSM), proposed by Chortareas and Kapetanios (2009) and a nonlinear panel Unit Root Test developed by Ucar and Omay (2009). The results show that the unemployment rates for 17 Eurozone countries are not stationary and conform to the hysteresis hypothesis for both panel Unit Root Tests of Ucar and Omay (2009) and SPSM without Fourier. We reported the results of the Panel Kapetanios, Shin and Snell (KSS) Test with a Fourier function and found that the unemployment rates in 11 countries are stationary and this result is in accord with natural rate hypothesis. On the other hand, unemployment rates in six countries, namely Netherlands, Slovakia, Slovenia, Italy, Portugal and Cyprus, show hysteresis effect.
Stephan Popp - One of the best experts on this subject based on the ideXlab platform.
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an application of a new seasonal Unit Root Test to inflation
Social Science Research Network, 2011Co-Authors: Paresh Kumar Narayan, Stephan PoppAbstract:In this paper, we apply the modified seasonal Unit Root Test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this Test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal Unit Root in Canada's inflation rate, a semi-annual Unit Root in Germany's inflation rate, and no seasonal Unit Root at the annual frequency for any of the G7 countries.
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new innovational outlier Unit Root Test with a break at an unknown time
Journal of Statistical Computation and Simulation, 2008Co-Authors: Stephan PoppAbstract:The Perron Test which is based on a Dickey–Fuller Test regression is a commonly employed approach to Test for a Unit Root in the presence of a structural break of unknown timing. In the case of an innovational outlier (IO), the Perron Test tends to exhibit spurious rejections in finite samples when the break occurs under the null hypothesis. In the present paper, a new Perron-type IO Unit Root Test is developed. It is shown in Monte Carlo experiments that the new Test does not over-reject the null hypothesis. Even for the case of a level and slope break for trending data, the empirical size is near its nominal level. The Test distribution equals the case of a known break date. Furthermore, the Test is able to identify the true break date very accurately even for small breaks. As an application serves the Nelson–Plosser data set.
Nicholas Sarantis - One of the best experts on this subject based on the ideXlab platform.
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a nonlinear panel Unit Root Test under cross section dependence
Advances in Latent Variables - Methods Models and Applications, 2013Co-Authors: Christian De Peretti, Mario Cerrato, Rolf Larsson, Nicholas SarantisAbstract:We propose a nonlinear heterogeneous panel Unit Root Test for Testing the null hypothesis of Unit-Roots processes against the alternative that allows a proportion of Units to be generated by globally stationary ESTAR processes and a remaining nonzero proportion to be generated by Unit Root processes. The proposed Test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the Test statistic is free of nuisance parameters as (N;T) tends to infinity. Monte Carlo simulation shows that our Test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent Test proposed in Pesaran (2007). Various applications are provided.
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a nonlinear panel Unit Root Test under cross section dependence
Research Papers in Economics, 2011Co-Authors: Mario Cerrato, Christian De Peretti, Rolf Larsson, Nicholas SarantisAbstract:We propose a nonlinear heterogeneous panel Unit Root Test for Testing the null hypothesis of Unit-Roots processes against the alternative that allows a proportion of Units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by Unit Root processes. The proposed Test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the Test statistic is free of nuisance parameters as (N, T) −∞. Monte Carlo simulation shows that our Test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent Test proposed in Pesaran [2007]. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided.
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a bootstrap panel Unit Root Test under cross sectional dependence with an application to ppp
Computational Statistics & Data Analysis, 2007Co-Authors: Mario Cerrato, Nicholas SarantisAbstract:A bootstrap methodology for dealing with cross-sectional dependence in panel Unit Root Tests of real exchange rates is suggested. Monte Carlo simulations are employed to investigate the size distortion and the power of the bootstrap Test-statistic. It is shown that the statistic has good power and no size distortions for moderate and large samples. The panel Unit Root Test procedure is then applied to the long-run purchasing power parity (PPP) hypothesis, using a panel of 20 OECD countries over the recent float period, and the results are compared to those obtained by other Tests.
