Is per capita real GDP stationary in China? Sequential panel selection method

This paper investigates the time-series properties of per capita real GDP in China. The Sequential Panel Selection Method (SPSM) using the Panel KSS test with a Fourier function, a novel approach to panel unit testing, is applied to the data on 31 Chinese provinces over the period of 1979 to 2009. The SPSM classifies the whole panel into the group of stationary and non-stationary series, which identifies how many and which series are characterized by stationary processes. The results indicate that the per capita real GDP are non-stationary in all of these 31 regions in China, providing important policy implications.     

Do real interest rates converge across East Asian countries based on China?

This study applies the sequential panel selection method (SPSM), proposed by Chortareas and Kapetanios (2009), to assess the non-stationary properties of the real interest rates relative to China for ten East Asian countries. SPSM can classify the whole panel into a group of stationary series and a group of non-stationary series. We clearly identify how many and which series in the panel are stationary processes and provide robust evidence to indicate that RIRP holds true for five countries. It implies that the choices and effectiveness of the monetary and fiscal policies in the East Asian economies will be highly influenced by external factors originating from China. Also, our findings point out that real interest rate convergence relative to China is mean reverting toward RIRP equilibrium values in a non-linear way.     

CO2 emissions converge in the 50 U.S. states — Sequential panel selection method

This study applies the sequential panel selection method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to investigate the time-series properties of CO₂ emissions for 50 U.S. states during the 1990 to 2010 period. SPSM classifies the whole panel into a group of stationary series and a group of non-stationary series. In doing so, we could clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the panel KSS unit root test (Ucar and Omay, 2009) with a Fourier function, indicate that CO₂ emissions only converge in 12 out of the 50 U.S. states in our analysis.     

Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function

This study applies the sequential panel selection method (SPSM) to investigate the time-series properties of provincial house prices for entire, large, medium and small middle-segments of South Africa. Quarterly time-series data were collected from nine provinces in South Africa for different house-size categories over the period of 1978.Q1 to 2012.Q4. Whereas other panel-based unit-root tests are joint tests of a unit root for all members of a panel and are incapable of determining the mix of integrated of order zero (I(0)) series and integrated of order one (I(1)) series in a panel setting, the SPSM proposed by Chortareas and Kapetanios (2009) can clearly identify how many and which series in the panel are stationary processes by classifying a whole panel into a group of stationary and nonstationary series. The empirical results from several panel-based, as well as standard pure time-series, unit-root tests, indicate that house prices for the nine provinces studied here are either stationary or nonstationary. However, results from the SPSM using the panel version of the Kapetanios et al. (KSS, 2003) test with a Fourier function unequivocally indicate that house prices are stationary for the nine provinces under study. Our test results have important economic and policy implications for South Africa.     

Revisiting purchasing power parity in Latin America: sequential panel selection method

This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity (PPP) in a sample of 15 Latin American countries using monthly data spanning from December 1994 to February 2010. SPSM classifies the whole panel into a group of stationary and nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel KSS unit root test (Ucar and Omay, 2009) with a Fourier function which accounts for any structural break in the data indicate that PPP holds in many of the Latin American countries studied.     

Purchasing power parity in transition countries: Sequential panel selection method

This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity (PPP) for a sample of 14 transition countries, using real effective exchange rates, from 1994 to 2012 (for both monthly and quarterly data). SPSM classifies the whole panel into a group of stationary series and a group of non-stationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel KSS unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these transition countries studied. Our results have important policy implications for these transition countries under study.     

Do real interest rates converge across Latin american countries?

In this study, we apply the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (Journal of Banking and Finance 33:390–404, 2009), to investigate and assess the non-stationary properties of the real interest rate parity (RIRP) for fourteen Latin American countries. Utilizing the SPSM, we can classify the entire panel into a group of stationary series and a group of non-stationary series. We clearly identify how many and which series in the panel are stationary processes and provide robust evidence that clearly indicate RIRP holds true for ten countries. Our findings note that these countries’ real interest rate convergence is a mean reversion toward RIRP equilibrium values in a non-linear way. Our results have important policy implications for these Latin American countries under study.     

我国城镇居民消费行为区域异质分析——基于动态面板分位数回归视角

笔者采用面板模型识别中的变系数变截距检验方法将全国31个省份划成5个区域,使得区域内的模型变为面板变截距模型,然后采用动态面板分位数回归方法对我国城镇居民的消费行为进行区域异质分析。研究结果表明,采用面板模型识别中的变系数变截距检验方法在区域划分中具有一定的优势,目前我国城镇居民消费行为存在显著的区域异质性。     

On the relevance of exports for regional output growth in China

Despite high economic growth during the past decades, China is still vulnerable to shocks arising from industrial states. The advanced economies strongly influence Chinese export performance, with subsequent effects on output growth. Using a production function, this article examines to which extent regional GDP growth in China is export driven. In a panel of 28 Chinese provinces, series are splitted into common and idiosyncratic components, the latter being stationary. The results indicate cointegration between the common components of GDP, the capital stock and exports. In equilibrium, exports increase GDP by more than their impact expected from the national accounts. While exports and capital are weakly exogenous, GDP responds to deviations from the long run. A similar adjustment pattern can be detected for most regions, except for some provinces in the Western part of the country.     

基于异质面板模型的我国省际旅游业发展与经济增长研究

利用1999—2007年中国31个省市的入境旅游人次、国际旅游(外汇)收入、国内旅游人次和国内旅游收入四个指标的面板数据衡量旅游业发展水平,并运用异质面板协整方法检验中国省际旅游业发展与经济增长之间的关系。研究发现:国内旅游与入境旅游的发展对全国及所有省市的经济增长均有显著的正效应,其中,入境旅游对经济增长的促进作用更显著;与此同时,经济增长和入境旅游人次、国际旅游(外汇)收入和国内旅游收入存在长期单向Granger因果关系,表明经济增长也推动着入境旅游和国内旅游的发展。     

A PANIC analysis on regional and sectoral inflation: the Spanish case

This article studies the stochastic properties of several inflation rates for the Spanish economy using the consumer price index (CPI) for the 17 regions and 12 groups of goods and services, and the producer price index (PPI) for 26 industrial sectors. To this end, we employ the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach proposed by Bai and Ng (2004, 2010). This methodology enables us to decompose the observed inflation rate series into a common and an idiosyncratic component, thus allowing us to identify the exact source of nonstationarity. Our analysis provides strong evidence of the presence of a common stochastic trend driving the observed series forming the panel of CPI-based inflation rates for the regions. This, coupled with the presence of a jointly stationary idiosyncratic component, implies the existence of pairwise cointegration across the regional CPI-based inflation rates, which show a clear pattern of convergence over time. This gives an indication of increased geographical homogeneity in consumption patterns. The evidence for the panels of CPI-based inflation of groups of goods and services and PPI-based inflation of industrial sectors indicates the existence of four independent common stochastic trends. This, combined with jointly stationary idiosyncratic series, provides much weaker evidence of cross-cointegration for these two panels.     

A REVISIT TO THE STATIONARITY OF OECD INFLATION: EVIDENCE FROM PANEL UNIT‐ROOT TESTS AND THE COVARIATE POINT OPTIMAL TEST*

This paper re‐examines the stationarity of inflation rates in 19 Organisation for Economic Cooperation and Development countries with the use of cross‐sectional information. We employ the panel unit‐root tests that allow for cross‐sectional dependency and the covariate point optimal test. These tests have high power in common due to the exploitation of cross‐sectional information, and they can assist mutually to draw a concrete conclusion on inflation dynamics for all series in the panel. Our empirical results show that allowing for cross‐sectional dependency rejects the null hypothesis that all series in the panel have a unit root, implying that there is at least one stationary series in the panel. With the help of the results of the covariate test, we can distinguish the panel into a group of stationary and a group of non‐stationary series. For robustness, the two groups of series are re‐confirmed by the panel tests. Our results reveal evidence of mean reversion in inflation for 15 of 19 countries, which is significantly stronger as compared to that obtained by the state‐of‐the‐art univariate unit‐root tests.     

Misleading Inferences from Panel Unit-Root Tests with an Illustration from Purchasing Power Parity

Simulations demonstrate that when unit-root behavior is rejected in a Levin and Lin panel test, it is incorrect to infer that all series are stationary. Recent tests proposed by Im, Pesaran and Shin, and by Sarno and Taylor, are also incapable of determining the mix of I (0) and I (1) series in a panel setting. This paper introduces a new unit-root test that allows the researcher to discern which series are I (0) and which ones are I (1). The test has double to triple the power of single-equation augmented Dickey–Fuller tests.     

我国商品房销售价格的影响因素——基于空间面板计量模型的实证分析

运用空间面板计量模型,利用2000—2009年中国31个省域的面板数据,实证分析了我国商品房销售价格与其影响因素的关系。实证结果显示:空间面板计量模型的拟合效果更好、解释力更强;我国的商品房销售价格存在正向的空间相关性,相邻地区商品房销售价格的提高能够推动本地区商品房销售价格的提高;城镇居民收入水平、城镇化水平、第三产业发展水平和对外开放程度对商品房销售价格有正向推动作用,政府对经济的干预程度和工业化水平的提升有助于降低商品房销售价格。     

Is there any evidence of tax-and-spend,spend-and-tax or fiscal synchronization from panel of Indian state?

We examine the government revenue and government expenditure nexus using a panel of 26 Indian states from 1980–1981 to 2014–2015. While most of the previous literature claims that revenue and expenditure series are non-stationary at level, we employ both Narayan and Popp two structural break and cross-sectional augmented Im-Pesaran-Shin (CIPS) panel unit root tests, and found two series are stationary. Further, our results derived from Dumitrescu–Hurlin panel causality test support the ‘fiscal synchronization’ hypothesis for Indian states. Finally, the revenue and expenditure of Indian state governments are segregated into revenue account and capital account, and again our results support the existence of ‘fiscal synchronization’ hypothesis.     

交通基础设施、空间溢出与经济增长:来自中国的实证研究

This paper develops an empirical model to test the spatial spillover effects of transport infrastructure on economic growth. It uses spatial econometric techniques and provincial panel data of China from 1993 to 2004 to analyze the contribution of transport infrastructure to the economic growth of local province and its spatial spillover effects on the economic growth of other provinces. The main findings include: (1) Transport infrastructure and economic growth of China show an evident pattern of spatial clustering. They largely congregate in developed eastern coastal regions, forming a gradient gradually diminishing from east to west. (2) Output elasticity of local transport infrastructure is 0.106, between the values calculated by early researchers with time series data and panel data. (3) Spatial output spillovers from transport infrastructure are largely positive, but evidences of negative spatial spillovers are also found with population density spatial weights matrix model.      

Impacts of star-rated hotel expansion on inbound tourism development: evidence from China

This article applies heterogeneous firm trade theory, developed for the manufacturing sector, to the hotel and tourism industry to detect expansion among star-rated hotels in the context of inbound tourism development at the macro level. This article adopts both a traditional ordinary least squares (OLS) panel model and a threshold panel model using data from 31 administrative regions (provinces) in China during the 2004–2013 period. The results reveal remarkable and significant nonlinear relationships between star-rated hotel expansion and inbound tourism development, thereby offering sound evidence supporting the research hypotheses. Star-rated hotel expansion in most provinces clusters in the standardized threshold between 0.48 and 0.83, while only a few hotels have realized ‘leapfrog development’ thus far. In addition, as in the particular case of star-rated hotels, inbound tourism development should be promoted through investments in human resources rather than through the exploitation of natural tourism resource endowments. The implications of our results are that rational development plans can be made according to different expansion levels of star-rated hotels in corresponding regions, when both hotel labour productivity and macro tourism environment are considered.     

Market Efficiency and Apparent Unit Roots: An Application to Exchange Rates

Prices in efficient markets are influenced by trading based on past patterns in the series. This induces parameter instability and near-random-walk behaviour in any time-series model of such data. Simulation results suggest that this parameter instability makes stationary series more likely to be erroneously classified as nonstationary, according to standard unit root or stationarity tests. It is shown that individual real exchange rate series appear individually non-stationary, especially for tests based on a null of stationarity, even though they appear stationary when treated as a panel.     

Price convergence across regions in India

The paper attempts to examine whether there is price convergence across various regions in India. Using panel unit root tests that are robust to cross-sectional dependence, it is found that relative price levels among various regions in India are mean-reverting. Further, we decompose each series into a set of common factors and idiosyncratic components. The decomposition enables us to test stationarity and estimate half-lives of the common factors and the idiosyncratic components separately. Both these components are found to be stationary. Idiosyncratic price shocks, however, are found to be more persistent as compared to the common factor. Results also indicate that transportation cost proxied by distance can explain a part of the variation in prices between two locations in India. The authors would like to thank Dibyendu Bhaumik for arranging the data for this study. Views expresed in the paper are personal and do not reflect the views of the organizations.     

基于CD-ESDA模型的中国产业用水增长质量的时空格局分析

产业用水增长质量评价应该耦合水资源约束、经济增长、技术进步与结构变动等因素。在构建中国31个省、市、自治区产业用水变化的全要素分解模型的基础上,基于经济学中的边际思想,计算了1997—2007年中国各地区产业用水规模边际、技术边际与结构边际,并对其进行了时空分异分析。然后计算出中国各地区1997—2007年产业用水增长质量指数,以此来评价产业用水增长质量状况。最后运用空间自相关分析探讨中国产业用水增长质量的空间关联模式。结果表明:研究期内,中国产业用水增长质量总体和局部都呈现提高的态势,与各地区经济发展状况相吻合,产业用水增长质量的空间自相关显著,区域空间差异明显,有很大的提升空间。