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Killing four unit root birds in the US economy with three panel unit root test stones

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  • Par Osterholm

Abstract

This study tests for the presence of unit roots in four US macroeconomic time series using panel unit root tests. The Im, Pesaran and Shin (Journal of Econometrics, 115, pp. 53-74, 2003) test, the Multivariate Augmented Dickey-Fuller test (Taylor and Sarno, Journal of International Economics, 46, pp. 281-312, 1998) and the Johansen (Journal of Economic Dynamics and Control, 12, pp. 231-54, 1988) likelihood ratio test are applied to unemployment, the real exchange rate, the nominal interest rate and inflation. The three tests all have ways of controlling the obvious cross-sectional dependence in the panel. Using monthly data from 1960 to 2002 there is evidence that all time series are generated by stationary processes.

Suggested Citation

  • Par Osterholm, 2004. "Killing four unit root birds in the US economy with three panel unit root test stones," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 213-216.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:4:p:213-216
    DOI: 10.1080/13504850410001674821
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    Cited by:

    1. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, vol. 39(1), pages 51-76, August.
    2. Syed Basher & Joakim Westerlund, 2007. "Is there really a unit root in the inflation rate? More evidence from panel data models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 161-164.
    3. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
    4. Mauro Costantini & Giuseppe Arbia, 2006. "Testing the stochastic convergence of Italian regions using panel data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(12), pages 775-783.
    5. Dean Fantazzini, 2014. "Nowcasting and Forecasting the Monthly Food Stamps Data in the US Using Online Search Data," PLOS ONE, Public Library of Science, vol. 9(11), pages 1-27, November.
    6. Celia Melguizo Cháfer, 2015. "“An analysis of the Okun’s law for the Spanish provinces”," AQR Working Papers 201501, University of Barcelona, Regional Quantitative Analysis Group, revised Jan 2015.
    7. Celia Melguizo, 2017. "An analysis of Okun’s law for the Spanish provinces," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 37(1), pages 59-90, February.
    8. Matti Suominen & Petri Jylhä, 2009. "Arbitrage Capital and Currency Carry Trade Returns," 2009 Meeting Papers 84, Society for Economic Dynamics.
    9. Celia Melguizo Cháfer, 2015. "“An analysis of the Okun’s law for the Spanish provinces”," IREA Working Papers 201501, University of Barcelona, Research Institute of Applied Economics, revised Jan 2015.

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