Seemingly Unrelated Regressions Augmented Dickey-Fuller Research Articles

RIPPLE EFFECT AND REGIONAL HOUSE PRICES DYNAMICS IN CHINA

This paper examines the stationarity properties, the long-run equilibrium and the leadlag relationship among the regional house prices in China from December 2000 to July 2013. Unlike traditional unit-root tests, the panel seemingly unrelated regressions augmented Dickey-Fuller (SURADF) unit-root test reveals that the regional house prices in China are a mixture of I(0) and I(1) processes. There is concrete evidence in favor of the hypothesis of a long-run equilibrium relationship among all regions, except for Shanghai region, and supporting the price diffusion or ripple effect among these Chinese cities. Finally, we determine that these regional house prices exhibit uni-directional causalities running from Beijing, Chongqing, and Shenzhen to Guangzhou and Tianjin, respectively.

Size and Growth of Mobile Phone Firms in Mainland China, Hong Kong, and Taiwan

Focusing on mobile phone firms in Mainland China, Hong Kong, and Taiwan, this study examined whether firm size is independent of firm growth and, specifically, whether Gibrat’s law exists in the contemporary mobile phone industry. This study empirically analyzed whether the growth process of the mobile phone industry, which centers on innovation and high technology, is random or is related to the stationary time-series properties and size of the mobile phone firms. Thus, we used the novel, advanced panel Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) test proposed by Breuer, McNown, and Wallace (2001) to examine the time-series properties and stability of the total assets of 10 mobile phone firms in each quarter of 2004 to 2012. The 10 firms are manufacturers based in Mainland China, Hong Kong, and Taiwan that are primarily involved in producing mobile phones or mobile phone components. This study performed five conventional panel unit root tests, with the results all significantly supporting Gibrat’s law (Gibrat, 1931). In other words, the results of the general unit root tests showed that the growth of the 10 mobile phone firms was independent of firm size, indicating a random growth process. However, using the panel SURADF test, which considers the effect of cross-sectional influence among panel members and the effect of individual members in panel data, yielded significantly different test results. Specifically, one-third of the firms in Mainland China and Hong Kong and four-sevenths of those in Taiwan did not support Gibrat’s law. In addition, when the panel data set included firms from different countries, the effect of horizontal competition on the growth of the firms was more significant.

MEAN REVERSION IN UNEMPLOYMENT: NEW FINDINGS FROM THE BALTIC TIGERS

The tendency of the unemployment rate to revert to the mean value or the natural rate of unemployment has been one of the most discussed topics in macroeconomics. This study focused on three Baltic countries – Estonia, Latvia and Lithuania – as case studies to investigate unemployment dynamics. Three unit root tests were performed for this purpose: 1) the Augmented DickeyFuller (ADF) test, 2) the Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) test and 3) the Fourier Augmented Dickey-Fuller (FADF) test. The null hypothesis was that unemployment in the Baltic countries is a unit root process. As the findings revealed, the ADF test and the SURADF test failed to reject the null hypothesis of a unit root for all the three Baltic countries. However, the nonlinear FADF test could not reject the null hypothesis for Lithuania. This means that unemployment in Lithuania could be described as a stationary process. As such, it has the tendency to revert to a sustainable level. By contrast, unemployment in Estonia and Latvia would be best characterised as a non-stationary process where the unemployment rate lacks the mean reverting behaviour.

Are Visitor Arrivals to China Stationary? An Empirical Note

The tourism industry is one of the earliest industries in China to be opened up to the world, with a more open market and relatively sufficient competition. In this article, we use the panel seemingly unrelated regressions augmented Dickey–Fuller (SURADF) tests advanced by Breuer, McNown, and Wallace [(2001). Misleading inferences from panel unit-root tests with an illustration from purchasing power parity. Review of International Economics, 9(3), 482–493] to investigate whether visitor arrivals to China are stationary for the period 1995–2010. The empirical results from numerous conventional unit root tests indicate that tourist arrivals from 18 countries studied are non-stationary; however, when Breuer et al.'s (2001) panel SURADF tests are conducted, evidence of a unit root in visitor arrivals is found in only 13 countries. From these results, one particularly important policy implication for China emerges.

The link between life insurance activities and economic growth: Some new evidence

This paper applies the panel seemingly unrelated regressions augmented Dickey-Fuller (SURADF) test to re-investigate the stationarity properties of real life insurance premiums per capita and real gross domestic product (GDP) per capita for 41 countries within three levels of income covering 1979–2007. Our empirical results first reveal that the variables in these countries are a mixture of I(0) and I(1) processes, and that the traditional panel unit-root tests could lead to misleading inferences. Second, for the estimated half-lives, the degrees of mean reversion are greater in high-income countries. Third, there is concrete evidence favoring the hypothesis of a long-run equilibrium relationship between real GDP and real life insurance premiums after allowing for the heterogeneous country effect. The long-run estimated panel parameter results indicate that a 1% increase in the real life premium raises real GDP by 0.06%. Finally, we determine that the development of life insurance markets and economic growth exhibit long-run and short-run bidirectional causalities. These findings offer several useful insights for policy-makers and researchers.

Are we getting closer to purchasing power parity in Central and Eastern European economies?

In this article we examine the theory of Purchasing Power Parity (PPP) on a sample of Central and Eastern European economies. This article makes two main advances with respect to previous PPP studies. First, it employs a monthly database on real exchange rates for a panel of 12 Central and Eastern European economies by testing the theory separately with respect to the US dollar and to the euro for the period January 1994 to December 2008. Second, we utilize, among other panel unit root tests, the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) test proposed by Breuer et al. (2002), which allows us to identify how many and which members of the panel contain a unit root. As our study found support for the validity of PPP in some reforming European economies, special attention should be devoted to individual country-specific factors that cause PPP deviations.

An empirical test of the purchasing power parity for transition economies: Panel SURADF tests

Purchasing Power Parity (PPP) for transition economies is tested using Panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests of Breuer et al. (2001) for the period of January 1995 to December 2008. Although the other panel-based unit-root tests are joint tests of a unit root for all members of the panel and are incapable of determining the mix of I(0) and I(1) series in the panel setting, the Panel SURADF tests test a separate unit-root null hypothesis for each individual panel member and therefore identify how many and which series in the panel are stationary processes. The PPP hypothesis is not confirmed for all the nine transition countries except Estonia and Romania when Breuer et al.’s Panel SURADF tests are conducted.

Revisiting purchasing power parity for 16 Latin American countries: panel SURADF tests

In this study, we apply the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests developed by Breuer et al. (2001) to revisit the validity of Purchasing Power Parity (PPP) for 16 Latin American countries. The empirical results from several panel-based unit root tests indicate that PPP does not hold for these 16 countries under study. However, panel SURADF tests indicate that PPP is valid for 3 of these 16 countries. These results have important policy implications for these 16 Latin American countries under study.

Empirical Modelling of Regional House Prices and the Ripple Effect

This paper investigates the stationarity properties and long-run relationship of Taiwan’s regional house prices from 1993Q1 to 2009Q2. It applies the recent unit-root test of the panel seemingly unrelated regressions augmented Dickey–Fuller (SURADF) test developed by Breuer et al. The empirical results illustrate that Taiwan’s regional house prices are a mixture of stationary and non-stationary processes, showing that the stationarity properties of these prices are dependent on the structure and properties of the various regions. Secondly, the findings of the cointegration test provide substantive evidence for a long-run relationship among all regions except Taipei City, implying a diffusion of regional house prices among each regional market except Taipei City. Finally, the results of the weak exogeneity test indicate that uni-directional causality relationships exist for three regions—Taipei County, Taoyuan-Hsinchu and Tainan-Kaohsiung—towards Taichung. The regional house price efficiently diffuses itself among these regions, caused by a much smaller public housing sector and the pre-sale system in Taiwan.

Revisiting purchasing power parity for major oil-exporting countries using panel SURADF tests

The panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests advanced by Breuer et al.(2001) are used to test the validity of Purchasing Power Parity (PPP) for eight major oil-exporting countries over the 1992:06 to 2008:02. Empirical results from several panel-based unit root tests indicate that PPP does not hold for eight major oil-exporting countries under study; however, Breuer et al.’s (2001) panel SURADF tests unequivocally indicate that PPP is valid for five countries with the exception of three countries, Kuwait, Nigeria and Saudi Arabia. These results have important policy implications for these eight oil-exporting countries under study.

Purchasing power parity for 15 COMESA and SADC countries: evidence based on panel SURADF tests

In this study, the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for 15 countries belonging to the Common Market for Eastern and Southern Africa (COMESA) and the Southern African Development Community (SADC) over the period of December 1994 to July 2008. The empirical results from the univariate unit root and panel-based unit root tests indicate that PPP does not hold for these 15 countries; however, Breuer et al.'s (2001) panel SURADF tests unequivocally indicate that PPP is valid for three of these 15 countries.

Purchasing power parity for G-7 countries: panel SURADF tests

In this study, the panel Seemingly Unrelated Regressions Augmented Dickey–Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for G-7 countries over the period 1980M1 to 2008M5. The empirical results from several panel-based unit root tests indicate that PPP does not hold for G-7 countries under study; however, Breuer et al.'s (2001) panel SURADF tests unequivocally indicate that PPP is valid for half of the G-7 countries.

Income and CO 2 emissions: Evidence from panel unit root and cointegration tests

This paper re-investigates the stationarity properties of per capita carbon dioxide (CO 2) emissions and real Gross Domestic Product (GDP) per capita for 109 countries within seven regional panel sets covering 1971–2003. We apply the recent unit-root test of the panel seemingly unrelated regressions augmented Dickey–Fuller (SURADF) test developed by Breuer et al. [2001. Misleading inferences from panel unit-root tests with an illustration from purchasing power parity. Review of International Economics 9, 482–493; 2002. Series-specific unit-root tests with panel data, Oxford Bulletin of Economics and Statistics 64, 527–546]. The panel SURADF test accounts for the presence of cross-country correlations in the data, and the parameters in the panel specification vary across countries. More importantly, this test allows us to identify how many and which members of the panel contain a unit root. Overall, our empirical results illustrate that real GDP and CO 2 emissions in these countries are a mixture of I(0) and I(1) processes, and that the traditional panel unit-root tests could lead to misleading inferences as well as the conduct of cointegration analysis being perhaps inappropriate. The results of our analysis carry critical implications for the modeling of CO 2 emissions and GDP because of the different orders of integration for the two variables.

New evidence on the convergence of per capita carbon dioxide emissions from panel seemingly unrelated regressions augmented Dickey–Fuller tests

Abstract Using the data for per capita carbon dioxide (CO 2 ) emissions relative to the average per capita emissions for 21 countries in the organisation for economic co-operation and development (OECD) covering the period 1960–2000, this paper seeks to determine whether the stochastic convergence and β-convergence of CO 2 emissions are supported in countries with the same level of development. In other words, are shocks to relative per capita CO 2 emissions temporary in industrialized countries? We respond to this question by utilizing Breuer et al.'s [Breuer JB, McNown R, Wallace MS. Misleading inferences from panel unit-root tests with an illustration from purchasing power parity. Review of International Economics 2001;9(3):482–93; Breuer JB, McNown R, Wallace MS. Series-specific unit-root tests with panel data. Oxford Bulletin of Economics and Statistics 2002 64(5):527–46] panel seemingly unrelated regressions augmented Dickey–Fuller (SURADF) unit-root tests, which allow us to account for possible cross-sectional effects and to identify how many and which members of the panel contain a unit root. Our empirical findings provide evidence that relative per capita CO 2 emissions in OECD countries are a mixture of I(0) and I(1) processes, in which 14 out of 21 OECD countries exhibit divergence. The results reveal that conventional panel unit-root tests can lead to misleading inferences biased towards stationarity even if only one series in the panel is strongly stationary.