The Bierens test for certain nonstationary models

We adapt the Bierens (1990) test to the I-regular models of Park and Phillips (2001). Bierens (1990) defines the test hypothesis in terms of a conditional moment condition. Under the null hypothesis, the moment condition holds with probability one. The probability measure used is that induced by the variables in the model, that are assumed to be strictly stationary. Our framework is nonstationary and this approach is not always applicable. We show that the Lebesgue measure can be used instead in a meaningful way. The resultant test is consistent against all I-regular alternatives.     

Asset prices with non-permanent shocks to consumption

Most standard asset-pricing models assume that all shocks to consumption are permanent. We relax this assumption and allow also for non-permanent shocks. In our specification, the long-run mean of consumption growth is constant; consumption levels are subject to short-run deviations from their long-run trend. The implications of our model are dramatically different from those obtained in the prior literature. A canonical and parsimonious asset pricing model with CRRA preferences and non-permanent shocks can reproduce the equity premium, high return volatility and return predictability with a coefficient of relative risk aversion below ten. This finding suggests that non-permanent shocks can play an important role in explaining asset pricing puzzles.     

BOOTSTRAPPING COVARIATE UNIT ROOT TESTS: AN APPLICATION TO INFLATION RATES

This paper proposes a bootstrap procedure for the covariate point optimal tests (CP_T) of Elliott and Jansson. Although the covariate tests enjoy large power gains over the traditional univariate unit root tests, our simulations show that they still suffer from severe size distortions at finite samples. Through simulations, we demonstrate the superiority of the bootstrap procedure in the sense that it can yield desirable size and power properties for the CP_T tests when the Akaike's information criterion is used. Moreover, we show the empirical relevance of the bootstrap tests by applying them to inflation in the G‐10 countries, and then obtain strong evidence against the unit root hypothesis for most countries at the 5% significance level.     

失地农民权益保障问题研究

我国目前数以千万计的失地农民沦为了务农无田、务工无岗、社保无份的权益受损群体。必须改变旧的制度理念,树立权利平等、城乡统筹和市场经济等新的制度理念,大胆地、彻底地对各种相关制度加以改革。     

The great appreciation, the great depreciation, and the purchasing power parity hypothesis

Although there has been much recent work on purchasing power parity (PPP), neither univariate nor panel methods have produced strong rejections of unit roots in US dollar real exchange rates for industrialized countries during the post-1973 period. We investigate the hypothesis that these non-rejections can be explained by one episode, the large appreciation and depreciation of the dollar in the 1980s, by developing unit root tests which account for this event and maintain long-run PPP. Using panel methods, we can strongly reject the unit root null for those countries that adhere to the typical pattern of the dollar’s rise and fall.     

TESTING FOR STATIONARITY OF INFLATION RATES WITH COVARIATES

This paper distinguishes between the stationarity and nonstationarity of inflation in 18 OECD countries through several unit root tests with covariates. These covariate tests are more powerful than the conventional ones through correlated covariates. Both unit root and stationarity null hypotheses are tested in this study. Our empirical results indicate that the efficient univariate unit root tests fail to reject the unit‐root hypothesis for 15 countries, whereas the covariate tests provide strong evidence in support of mean reversion in inflation for almost all countries. Overall, the findings unveil new evidence in favor of stationarity in international inflation. Policy implications on the empirical results are provided as well.     

Shocks to Malaysia's Exports: Temporary or Permanent?

ABSTRACT

The export sector has been the primary source of growth and development in the Malaysian economy. However, a high degree of openness as well as dependence on a few product categories have rendered Malaysia vulnerable to external export shocks. In this paper, we use unit root testing to demonstrate that exogenous export shocks can have either a temporary or a permanent effect on the Malaysian domestic economy depending on their country of origin. The resulting merits of country-specific export policies are discussed.     

Random Walk in the MIST

The term MIST has been coined to describe the next tier of large emerging economies, namely Mexico, Indonesia, South Korea, and Turkey. This article reexamined whether the properties of mean reversion for stock prices held for the MIST emerging stock markets using the sample from April 2004 to April 2012. The authors utilized a panel unit test with Fourier transformation capable of taking multiple structural breaks into account to discover that MIST stock markets indeed follow a random walk process. This is consistent with the efficient market hypothesis, suggesting that historical information is not useful in predicting future prices in MIST stock markets.     

Testing for hysteresis: Unemployment persistence and wage adjustment

This paper proposes a new testing strategy for unemployment hysteresis as the joint restriction of a unit-root in the unemployment rate and no feedback effect of unemployment in the Phillips wage equation. The associated test statistics are derived when this joint restriction is imposed and when a sequential two steps testing strategy is adopted. An empirical application leads to reject the null hypothesis of wage hysteresis for most of our OECD countries. Evidence against hysteresis is reinforced when accounting for wage adjustments in the bivariate approach. First version received: July 1999/Final version received: May 2002 RID="*" ID="*"  We thank R. Boyer, F. Collard, F. Karamé, F. Langot, F. Mihoubi, W. Pohlmeier and two anonymous referees for fruitful comments. This paper has also benefited from discussions at the T2M conference (Montréal, may 1999) and ESEM99 (Santiago, august 1999). The traditional disclaimer applies.     

应用抽油机节能变速器实现稠油低冲次井的节能降耗

许多稠油井抽油机因为油稠、负荷重，必须采用低冲次采油，现场应用较多的是磁调速电机来调整冲次．虽然能够达到降低冲次的目的，但是电机损耗较高。抽油机节能变速器是一种针对低冲次高耗井的节能装置，是磁调速电机的替代产品。通过变速装置降低电机对抽油机变速箱的传递速度，改变电机扭矩，降低了电动机运行的均方根电流；既能达到到低冲次采油的目的，又有明显的节能效果。