Evidence of panel stationarity from Chinese provincial and regional income

The aim of this paper is to examine whether Chinese provincial and regional real GDP and per capita real GDP are panel stationary for the period 1952–2003. We allow for multiple structural breaks based on a technique developed by Carrion-i-Silvestre et al. [Carrion-i-Silvestre, J. L., Barrio-Castro, T, D., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8, 159–175]. Allowing for at most five structural breaks, we find that for 67% of the provinces, per capita real GDP is stationary; while we only find stationarity of real GDP for 17% of the provinces. However, when we extend the analysis to panel data models, we find statistically strong evidence of panel stationarity of Chinese provincial and regional income.     

Convergence in car prices among European countries

This article contributes to the literature on price convergence in Europe by investigating the existence of stochastic and deterministic convergence of car prices in the EU15 countries. We apply recently developed econometric techniques that allow for multiple structural breaks to an up-to-date dataset. We find considerable evidence of both types of convergence in our sample of countries and car models, therefore suggesting a tendency for relative prices to equalize over time. In addition, we find evidence regarding the importance in this convergence process of both legislative changes taking place in the years 1996 and 2002, and the implementation of Economic and Monetary Union (EMU).     

Information and adjustment in a local housing market

Existing studies on bubbles have been mainly concerned with investigating the stationarity properties of stock prices and market fundamentals. We develop a new method of testing for bubbles that relates the bubble component of stock prices to the probability of bursting in the context of the Weibull distribution. There were several eruptions and subsequent collapses of seeming bubbles over the past three decades: 1987 (Black Monday), 2000 (information technology (IT) boom) and 2007 (housing market boom). Using US monthly data for the S&P 500 and NASDAQ series, we have found that the S&P 500 series contained an explosive bubble only during the boom of the housing market that occurred before the 2007 global economic crisis, and the NASDAQ market contained an explosive bubble during the surge of stock prices peaking in 1987 and 2007, although our stationarity tests fail to detect the bubbles. No bubble was found in both the S&P and NASDAQ series during the 2000 IT boom. Our evidence corroborates the criticism that the traditional unit root and cointegration tests may not be able to detect some important class of bubbles.     

Stationarity of a Markov-Switching GARCH Model

This article investigates some structural properties of theMarkov-switching GARCH process introduced by Haas, Mittnik,and Paolella. First, a sufficient and necessary condition forthe existence of the weakly stationary solution of the processis presented. The solution is weakly stationary, and the causalexpansion of the Markov-switching GARCH process is also established.Second, the general conditions for the existence of any integer-ordermoment of the square of the process are derived. The techniqueused in this article for the weak stationarity and the high-ordermoments of the process is different from that used by Haas,Mittnik, and Paolella and avoids the assumption that the processstarted in the infinite past with finite variance. Third, asufficient and necessary condition for the strict stationarityof the Markov-switching GARCH process with possibly infinitevariance is given. Finally, the strict stationarity of the so-calledintegrated Markov-switching GARCH process is also discussed.     

A J–function for inhomogeneous point processes

We propose new summary statistics for intensity‐reweighted moment stationary point processes, that is, point processes with translation invariant n‐point correlation functions for all , that generalise the well known J‐, empty space, and spherical Palm contact distribution functions. We represent these statistics in terms of generating functionals and relate the inhomogeneous J‐function to the inhomogeneous reduced second moment function. Extensions to space time and marked point processes are briefly discussed.     

Nonlinear trends in real exchange rates: A panel unit root test approach

We analyze the possibility of nonlinear trend stationarity as the alternative to unit roots in 23 OECD real exchange rates, 1974–1998, by adding nonlinear time terms to the CIPS panel unit root test of Pesaran (2007). We follow a thorough bootstrapping approach and propose a technique to adjust statistical significance for the use of multiple tests over several time trend orders. The unit root null that all real exchange rates have unit roots is rejected at better than the 0.05 level. Bootstrapped results from a procedure of Chortareas and Kapetanios (2009) suggest that the hypothesis that all are stationary is reasonable. We argue that nonlinear trend stationarity is the most likely alternative hypothesis for at least some of the real exchange rates because: (1) the strongest CIPS rejection occurs when quadratic trends are specified; (2) nonlinear time terms are statistically significant at the 0.10 level; (3) the actual CIPS statistics are more consistent with CIPS sampling distributions from bootstrapped nonlinear trend stationary processes than from linear trend or mean stationary processes.     

Supply and demand macro-econometric model of a small economy: evidence from Namibia

This study develops a macro-econometric model for the Namibian economy. This macro-econometric model estimates both the demand and supply sides of the Namibian economy. This model incorporates the price sector, in order to serve as a link between the supply and demand sides of the economy. The model consists of behavioural equations, linked by identities and definitions. These behavioural equations were estimated and simulated individually. They were then combined together to form a full macro-econometric model of the Namibian economy. The full macro-econometric model was closed using two models. The first model activates the supply side and marginalises the demand side. The second model is demand side orientated, which activates the demand side and marginalises the supply side. The results indicate that the estimated values closely approximate the actual values. This macro-econometric model can be used to apply policy simulations, in order to determine appropriate economic policies for Namibia.     

Second‐order analysis of anisotropic spatiotemporal point process data

Second‐order orientation methods provide a natural tool for the analysis of spatial point process data. In this paper, we extend to the spatiotemporal setting the spatial point pair orientation distribution function. The new space–time orientation distribution function is used to detect space–time anisotropic configurations. An edge‐corrected estimator is defined and illustrated through a simulation study. We apply the resulting estimator to data on the spatiotemporal distribution of fire ignition events caused by humans in a square area of 30 × 30 km² for 4 years. Our results confirm that our approach is able to detect directional components at distinct spatiotemporal scales. © 2014 The Authors. Statistica Neerlandica © 2014 VVS.     

Stochastic convergence of per capita carbon dioxide emissions and multiple structural breaks in OECD countries

This research applies an innovative panel data stationarity testing procedure developed by Carrion-i-Silvestre et al. [Carrion-i-Silvestre, J.L., Barrio-Castro, T.D. and Lopez-Bazo, E., 2005. Breaking the panels: An application to the GDP per capita, Econometrics Journal 8, 159–175.], which has the advantage of recognizing multiple structural breaks and the presence of cross-section dependence in order to re-investigate the hypothesis that per capita carbon dioxide (CO₂) emissions stochastically converge for 21 OECD countries from 1950 to 2002. Remarkably, the evidence clearly indicates that the panel dataset of relative per capita CO₂ emissions is stationary after the structural breaks and cross-sectional dependence are introduced into the model. These findings offer strong policy implications for governments, regardless of whether they are in “convergent group” or “divergent group” countries. We also find that the structural breaks in the 1960s and over the 1970–1982 period are associated with time periods of fossil fuel becoming the main source of productivity, higher oil prices, and the development of nuclear power.