IDEAS home Printed from https://ideas.repec.org/p/sol/wpaper/95-001.html
   My bibliography  Save this paper

Multivariate unit root tests

Author

Listed:
  • Renato Flôres
  • Pierre-Yves Preumont
  • Ariane Szafarz

Abstract

This paper presents a new multivariate test for the detection of unit roots. Use is made of the possible correlations between the disturbances of different series, and constrained and unconstrained SURE estimators are employed. The corresponding asymptotic distributions are obtained and a table with a few critical values, for the case of two series, is generated. Some simulations indicate that the procedure performs better than the existing alternatives.

Suggested Citation

  • Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:95-001
    as

    Download full text from publisher

    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/761/1/RePEc_sol_wpaper_95-001.pdf
    File Function: RePEc_sol_wpaper_95-001
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(1), pages 95-131, April.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    3. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
    4. Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
    5. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 33(3), pages 311-340, December.
    6. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
    7. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January.
    8. Renato Flôres & Ariane Szafarz, 1994. "Efficient markets do not cointegrate," ULB Institutional Repository 2013/697, ULB -- Universite Libre de Bruxelles.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ilias Lekkos, 2003. "Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 799-828, June.
    2. Camarero, Mariam & Flores, Renato Jr. & Tamarit, Cecilio R., 2006. "Monetary union and productivity differences in Mercosur countries," Journal of Policy Modeling, Elsevier, vol. 28(1), pages 53-66, January.
    3. Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane, 1999. "Multivariate unit root tests of the PPP hypothesis," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 335-353, October.
    4. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    5. Wang, Shaoping & Wang, Peng & Yang, Jisheng & Li, Zinai, 2010. "A generalized nonlinear IV unit root test for panel data with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 157(1), pages 101-109, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
    3. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
    4. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    5. Quintos, Carmela E., 1998. "Analysis of cointegration vectors using the GMM approach," Journal of Econometrics, Elsevier, vol. 85(1), pages 155-188, July.
    6. Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
    7. Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation for Research in Economics, Yale University.
    8. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
    9. Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(3), pages 528-533, December.
    10. Winkelried, Diego & Gutiérrez, José, 2012. "Dinámica inflacionaria regional y el esquema de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 24, pages 79-98.
    11. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
    12. Neeraj, & Panigrahi, Prasanta K., 2017. "Causality and correlations between BSE and NYSE indexes: A Janus faced relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 284-313.
    13. Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
    14. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
    15. Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
    16. Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
    17. Emirmahmutoglu, Furkan & Kose, Nezir, 2011. "Testing for Granger causality in heterogeneous mixed panels," Economic Modelling, Elsevier, vol. 28(3), pages 870-876, May.
    18. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
    19. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
    20. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.

    More about this item

    Keywords

    unit root; multivariate test; stationarity; panel data;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sol:wpaper:95-001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Benoit Pauwels (email available below). General contact details of provider: https://edirc.repec.org/data/cebulbe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.