Abstract: Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principles and recent developments. A numerical illustration and annotated references and bibliography are provided. Classification-JEL: C22

Abstract: Chapter 1 Introduction.- Chapter 2 Program Impact Estimation with Binary Outcome Variables: Monte Carlo Results for Alternative Estimators and Empirical Examples.- Chapter 3 Stochastic Frontier Models with Bounded Inefficiency.- Chapter 4 Estimating Consumer Surplus in eBay Computer Monitor Auctions.- Chapter 5 Inference in Two-Step Panel Data Models with Time-Invariant Regressors: Bootstrap versus Analytic Estimators.- Chapter 6 International Evidence on Cross-Price Effects of Food and Other Goods.- Chapter 7 Large-N and Large-T Properties of Panel Data Estimators and the Hausman Test.- Chapter 8 Comparison of Stochastic Frontier "Effect" Models Using Monte Carlo Simulation.- Chapter 9 Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework.- Chapter 10 More Powerful Unit Root Tests with Non-normal Errors.- Chapter 11 More Powerful LM Unit Root Tests with Non-normal Errors.- Chapter 12 Efficiency Selection Procedures for Capacity Utilization Estimation.- Chapter 13 Bartlett-type Correction of Distance Metric Test.

Abstract: This study extends the empirical literature on the determinants of renewable energy consumption in the case of 25 OECD countries for the period 1980–2011. Preliminary analysis suggests the presence of cross-sectional dependence within the panel data. As a result, second-generation panel unit root tests of Smith et al. (2004) and Pesaran (2007) are undertaken to find the respective variables that are integrated of order one. Panel cointegration and error correction modelling reveal that a long-run relationship exists between renewable energy consumption per capita, real GDP per capita, carbon dioxide emissions per capita and real oil prices. The long-run elasticity estimates are positive and statistically significant for real GDP per capita, carbon dioxide emissions per capita and real oil prices. The panel error correction model shows that a feedback relationship exists among the variables.

Abstract: An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement errors will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series. In this paper we develop instrumental variable (IV) methods for extracting information about the latent process. Our framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter. Our analysis is motivated by the recent literature on realized volatility measures that are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the Dow Jones industrial average stocks, we find the underlying volatility to be near unit root in all cases. Although standard unit root tests are asymptotically justified, we find them to be misleading in our application despite the large sample. Unit root tests that are based on the IV estimator have better finite sample properties in this context.

Abstract: Nigeria being a mono-product economy, where the main export commodity is crude oil, changes in oil prices has implications for the Nigerian economy and, in particular, exchange rate movements. The latter is mostly important due to the double dilemma of being an oil exporting and oil-importing country, a situation that emerged in the last decade. The study examined the effects of oil price, external reserves and interest rate on exchange rate volatility in Nigeria using annual data covering the period 1970 to 2011. The theoretical framework of this study is based on Generalized Autoregressive Conditional Heteroskedasity modeled by Tim Bolerslev (1986) and Exponential General Autoregressive Conditional heteroskedastic modeled by Daniel Nelson (1991). These models were used to estimate the relationship between oil price changes and exchange rate. Relevant descriptive and econometric analyses were employed. The econometric tests adopted include the unit root tests, Johansen co-integration technique and the Vector Error Correction Model (VECM); the time series property examined shows that all the variables were stationary at first difference. The long run relationship among the variables was determined using the Johansen Co-integration technique while the vector correction mechanism was used to examine the speed of adjustment of the variables from the short run dynamics to the long run. It was observed that a proportionate change in oil price leads to a more than proportionate change in exchange rate volatility in Nigeria; which implies that exchange rate is susceptible to changes in oil price. The study therefore recommend that the Nigeria government should diversify from the Oil sector to other sectors of the economy so that Crude oil will no longer be the mainstay of the economy and frequent changes in crude oil price will not influence exchange rate volatility significantly in Nigeria.

Abstract: This paper empirically examines the dynamic causal relationship between economic growth, electricity consumption, export values and remittance for the panel of three SAARC countries using the time series data for the period 1976- 2009. Using four different panel unit root tests it is found that all the panel variables are integrated of order 1. From the Johansen Fisher panel conintegration and Kao tests it is found that all the panel variables are cointegrated. The panel Granger F test results support that there is only bidirectional short-run causal relationship between economic growth and export values but there is no evidence of long-run causal relationship. It is found that the long-run elasticity of economic growth with respect to electricity consumption and remittance are higher than short run elasticity. This means that over time higher electricity consumption and higher remittance from manpower supply in the panel of SAARC countries give rise to more economic growth.

Abstract: This study investigates the validity of the Keynesian macroeconomic framework and the Classical perspective of a long run relationship and causality between government expenditure and economic growth in South Africa using the quarterly data from 1990-2010. A specific country study was used to investigate the long-run relationship between the former and the later on nation’s output. Testing for unit roots and co-integration was performed first before we engage in ganger causality for testing the causality relationship between government spending and growth. Unit root tests were conducted so as to avoid the generation of the spurious regression results and co-integration determines the existence of a long run relationship among the variables. ADF(Augmented-Dickey Fuller) and the Philips-Perron tests techniques were engaged to test for stationarity. This study applies the Johansen Maximum Likelihood test techniques using both the trace technique and the more powerful eigen maximum value test. Both procedures found that certainly a long run relationship exists between government spending and growth in South Africa. Using the results obtained from the study, increased government spending in South Africa has not led to a meaningful development of the economy of the country which is inconsistent of the Keynesian stance.

Abstract: Housing price-to-income and price-to-rent ratios are among the most widely monitored indicators of housing market conditions. While these ratios tend to fluctuate around a constant level or a mild trend over the long term, they also tend to deviate from these benchmarks for protracted periods. Traditional unit root tests often indicate the presence of a unit root. This article uses the framework of fractional integration to test the persistence of price-to-income and price-to-rent ratios in a sample of 16 OECD countries spanning four decades. The results indicate that the ratios are highly persistent. The possibility that persistence estimates may be affected by structural breaks in the series is also considered, but evidence of such breaks is found only in a very limited number of cases. Policy action may be required if high price-to-income and price-to-rent ratios have adverse social and economic consequences. Policies should be guided by a careful analysis of the factors behind high ratios.

Abstract: This study found the impact of inflation and unemployment on economic growth in Pakistan. The time series data used for the time period of 1980 to 2010 which is collected from world data bank. The unit root ADF and philliperron shows that economic growth is stationary on level as well as 1 st difference but unemployment and inflation are stationary on 1 st difference. The ARDL result shows that there is a long run relationship between the variable. Furthermore, the results of White Heteroskedasticity, Ramsey reset and Breusch-Godfrey Serial Correlation LM test shows that there is no problem of heteroskedasticity, misspecification of model and serial correlation respectively. Key w ords: Inflation, Unemployment, Economic Growth.

Abstract: This study investigates the validity of the Keynesian macroeconomic framework and the Classical perspective of a long run relationship and causality between government expenditure and economic growth in South Africa using the quarterly data from 1990-2010. A specific country study was used to investigate the long-run relationship between the former and the later on nation’s output. Testing for unit roots and co-integration was performed first before we engage in ganger causality for testing the causality relationship between government spending and growth. Unit root tests were conducted so as to avoid the generation of the spurious regression results and co-integration determines the existence of a long run relationship among the variables. ADF(Augmented-Dickey Fuller) and the Philips-Perron tests techniques were engaged to test for stationarity. This study applies the Johansen Maximum Likelihood test techniques using both the trace technique and the more powerful eigen maximum value test. Both procedures found that certainly a long run relationship exists between government spending and growth in South Africa. Using the results obtained from the study, increased government spending in South Africa has not led to a meaningful development of the economy of the country which is inconsistent of the Keynesian stance. DOI: 10.5901/mjss.2014.v5n1p109

Abstract: This paper empirically examines the time series behavior of primary commodity prices relative to manufactures with reference to the nature of their underlying trends and the persistence of shocks driving the price processes. The direction and magnitude of the trends are assessed employing a set of econometric techniques that is robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Specifically, the methods allow consistent estimation of the number and location of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. Further, a new set of powerful unit root tests is applied to determine whether the underlying commodity price series can be characterized as difference or trend stationary processes. These tests treat breaks under the unit root null and the trend stationary alternative in a symmetric fashion thereby alleviating the procedures from spurious rejection problems and low power issues that plague most existing procedures. Relative to the extant literature, we find more evidence in favor of trend stationarity suggesting that real commodity price shocks are primarily of a transitory nature. We conclude with a discussion of the policy implications of our results.

Abstract: We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the median of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.

Abstract: In this article, we seek to study the relationship between education and economic growth. For this purpose, we studied multiple entrances (dimension ) information relating education and Economic Growth on theoretical and empirical background in the first, as the second part of study to analysis and examine the effect of Public spending on educa tion on economic growth in Algeria over the period 1974-2012. with the use of endogenous growth model. In this model, gross domestic product (GDP) is based on the Cobb Douglas form which is the function was adopted with five variables: Real Gross National Product (GDP), Capital (K), Labor (L), Expenditure on Education (SEDU). Two unit root tests (Philips-Perron Test) have been employed to test the integration order of the variables. study uses Ordinary Least Squares (OLS) and Johansen Co-integration test and Causality Test is as analytical techniques for this purpose. The empirical results support the main hypothesis of this study that Public spending on education aff ects positively economic growth in Algeria. Even though that the most important effect on economic g rowth is for education, the other three explanatory variables affect also, positively, the economic growth; yet their effect is relatively les s important than the effect of education.

Abstract: In this paper, we investigate the nature of structural breaks in inflation by estimating a version of the New Keynesian Phillips curve (NKPC) in the presence of a unit root in inflation. We show that, with a unit root in inflation, the NKPC implies an unobserved components model that consists of three components: a stochastic trend component, a component that depends upon current and future forecasts of real economic activity, and a stationary component which is potentially serially correlated (or a component of inflation that is not explained by the conventional forward-looking NKPC). Our empirical results suggest that, with an increase in trend inflation during the Great Inflation period, the response of inflation to real economic activity decreases and the persistence of the inflation gap increases due to an increase in the persistence of the unobserved stationary component. These results are in line with the predictions of Cogley and Sbordone (2008), who show that the coefficients of the NKPC are functions of time-varying trend inflation.

Abstract: This study examines the long-run and causal relationship between stock market performance and economic growth in Nigeria for the period from 1987Q1 to 2012Q4 ¬inclusive. The study employs the Augmented-Dickey Fuller test for unit root, the Johansen (1995) Maximum Likelihood cointegration technique and Vector Error Correction Model framework to capture long-run and short-run relationships in the cointegrating vectors of Nigerian stock market and economic growth. The study further employs Granger (1969) Causality, Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) to capture shocks transmission and AR root graph for stability. The optimum lag length was selected based on the Schwartz and Hannan-Quin information criteria. The results of the cointegration test confirm that there exists a long-run relationship between stock market performance and economic growth, while the causality test results suggest that stock market performance causes economic growth with feedback. The Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD) suggest that shocks from the stock market do not impede economic growth. Furthermore, the result of the AR root graph indicates that the Nigerian stock exchange market is not stable. Hence, the current reforms and policies going on in the Nigerian stock exchange should be sustained to boost investors’ confidence and participation.

Abstract: In this study, the validity of Wagner’s Law, which explains the relationship between public expenditures and economic growth, has been analyzed over its alternative models by using the data from 27 OECD economies between the years 1995- 2012. It has been carried out by utilizing unit root, co-integration and error correction tests panel data analyses, the long term co-efficiencies between public expenditures and economic growth. In order to test the relationship of co-integration, the Pedroni, Johansen-Fisher and Westerlund co-integration tests were utilized, whereas for the predictions of the long term co-efficiencies, the DOLS predictor was utilized. In addition, the PMGE and MGE error correction models were benefited from for predicting the short term parameters between the variables.

Abstract: A time-varying autoregression is considered with a similarity-based coefficient and possible drift. It is shown that the randomwalk model has a natural interpretation as the leading term in a small-sigma expansion of a similarity model with an exponential similarity function as its AR coefficient. Consistency of the quasi-maximum likelihood estimator of the parameters in this model is established, the behaviours of the score and Hessian functions are analysed and test statistics are suggested. A complete list is provided of the normalization rates required for the consistency proof and for the score and Hessian function standardization. A large family of unit root models with stationary and explosive alternatives is characterized within the similarity class through the asymptotic negligibility of a certain quadratic form that appears in the score function. A variant of the stochastic unit root model within the class is studied, and a large-sample limit theory provided, which leads to a new nonlinear diffusion process limit showing the form of the drift and conditional volatility induced by sustained stochastic departures from unity. The findings provide a composite case for time-varying coefficient dynamic modelling. Some simulations and a brief empirical application to data on international Exchange Traded Funds are included. Received 27 February 2013; Revised 7 June 2014; Accepted 7 June 2014