The Disappointing Properties of GLS-Based Unit Root Tests in the Presence of Structural Breaks

Abstract

It is well known that prior application of GLS detrending, as advocated by Elliot et al. [Elliot, G., Rothenberg, T., Stock, J. (1996). Efficient tests for an autoregressive unit root. Econometrica 64:813–836], can produce a significant increase in power to reject the unit root null over that obtained from a conventional OLS-based Dickey and Fuller [Dickey, D., Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. J. Am. Statist. Assoc. 74:427–431] testing equation. However, this paper employs Monte Carlo simulation to demonstrate that this increase in power is not necessarily obtained when breaks occur in either level or trend. It is found that neither OLS nor GLS-based tests are robust to level or trend breaks, their size and power properties both deteriorating as the break size increases.     

Spurious Instrumental Variables

Spurious regression phenomenon has been recognized for a wide range of Data Generating Processes: driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity, etc. The usual framework is Ordinary Least Squares. We show that the spurious phenomenon also occurs in Instrumental Variables estimation when using non stationary variables, whether the non stationarity component is stochastic or deterministic. Finite sample evidence supports the asymptotic results.     

Testing stability in a spatial unilateral autoregressive model

ABSTRACT

Least squares estimator of the stability parameter ? ? |α| + |β| for a spatial unilateral autoregressive process X_{k, ?} = αX_{k ? 1, ?} + βX_{k, ? ? 1} + ?_{k, ?} is investigated and asymptotic normality with a scaling factor n^5/4 is shown in the unstable case ? = 1. The result is in contrast to the unit root case of the AR(p) model X_k = α₁X_{k ? 1} + ??? + α_pX_{k ? p} + ?_k, where the limiting distribution of the least squares estimator of the unit root parameter ? ? α₁ + ??? + α_p is not normal.     

Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power

The literature on testing the unit root hypothesis in the presence of GARCH errors is extended. A new test based upon the combination of local-to-unity detrending and joint maximum likelihood estimation of the autoregressive parameter and GARCH process is presented. The finite sample distribution of the test is derived under alternative decisions regarding the deterministic terms employed. Using Monte Carlo simulation, the newly proposed ML t-test is shown to exhibit increased power of relative to rival tests. Finally, the empirical relevance of the simulation results is illustrated via an application to real GDP for the UK.     

中国制造还具有劳动力成本优势吗

本文利用2002-2011年的制造业数据核算比较了中国与主要竞争国家的制造业单位劳动力成本,发现我国单位劳动力成本已经高于印尼、泰国和马来西亚等东南亚国家。具体地,东部地区单位劳动力成本2002年以后高于印尼,2007年超过我国中西部地区和泰国,2011年超过马来西亚;中西部地区单位劳动力成本2002年以后高于印尼,2009年超过泰国,2011年超过马来西亚,主要原因在于我国小时劳动力成本上升过快。因而,与印尼、泰国、马来西亚等东南亚国家相比,我国已不具有劳动力成本优势,再加上近年来我国人口红利的消失,中西部地区劳动力成本也已高于东南亚国家,因而,可以解释我国中西部地区为何没能及时接收东部地区的产业转移。     

On the asymptotic distribution of a simple unit root test for trending and breaking series

In this paper, we derive the asymptotic distribution of Popp's (2008) innovational outlier unit root test for trending series with a break. The results of Zivot and Andrews (1992) are applied to provide the limiting results of these new test statistics. We tabulate their asymptotic and finite sample critical values, and illustrate the use of the new statistics with an application to the unemployment rate series for 23 OECD countries.     

论《单位》和《一地鸡毛》的成长主题

刘震云的小说《单位》和《一地鸡毛》是单位题材成长小说的经典。主人公小林从刚入单位的大学生逐渐成长为合格的单位人,其中蕴含着成长主题：成长的主体经过他人的命名和自我的定位,认识到＂成长＂在单位中的必要性以及它与改善私人生活的关联,逐渐由被动改造到主动改造。在这一＂成长＂历程中,小林通过对单位等级秩序的认同而逐渐成长,单位也通过特有成长仪式而接纳考验合格的他。     

德国内布拉星盘与中古时期中国北方民族的昴星团历法

德国内布拉星盘的出现是近年来欧洲乃至世界考古界的一件大事,然而目前学术界对其内容、功用和真实性仍然聚讼纷纭。本文通过系统发掘和梳理中国中古时期的北方民族、特别是操突厥语民族的昴星团历法后认为,在没有出现更多资料的情况下,将内布拉星盘所体现出的“昴星团历法”视为来自中古时期的亚洲高地民族似乎更为稳妥,这支持了一些学者认为星盘出自西伯利亚的萨满教僧人之手的观点。内布拉星盘或许曾是某种礼器,从技术角度来看,它更像是一种决定某种重大节日的工具。     

The relationship between Mean Cost Rating (MCR) and Kendall's rank correlation coefficient tau

Mean Cost Rating (MRC) has been used extensively in criminology to measure the power of prediction instruments. This paper shows that MCR is closely related to Kendall's rank correlation coefficient tau and demonstrates, by means of this relationship, how the significance of MCR can be tested. An example of its calculation is given.     

公司战略定位与竞争环境适应性实证分析

WTO环境下,中国企业将与世界一流企业直接交锋。面对激烈的竞争环境,公司如何根据自身的特点,采取相应的竞争战略确定自己的战略性市场定位是急需解决的问题。论文利用我国企业调研的实际数据,对竞争战略定位与市场竞争环境的关系进行了实证分析。研究揭示公司战略的选择受竞争对手、消费者需求等市场环境因素影响;并且,战略类型的积极与否与行业市场环境的复杂性、资源的稀缺性等存在一定的相关性。