“Note: The material contained herein is supplementary to the article named in and published in the American Journal of Agricultural Economics (AJAE).” Panel Unit Root Tests We use three tests to examine the time series properties of the price series in this study. In all cases, the null hypothesis is that the series are non-stationary of order one. In individual series, it is well-known that the power of unit root tests is low. Panel unit-root tests, however, have been shown in Monte Carlo analyses to have significantly higher power (Banjeree 1999; Levin, Lin, and Chu 2002). First, we use the test by Levin, Lin, and Chu (LLC, 2002), which was first published as a working paper in 1993 and was formerly known as Levin and Lin’s test. This tes...
International Economic Policy An IV approach, using as instruments nonlinear transformations of the ...
Weekly series of agricultural prices usually exhibit seasonal variations and the stationarity of the...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...
Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots r...
Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots r...
Endogenous variables in structural models of agricultural commodity markets are typically treated as...
This thesis is a collection of four essays with main focus on testing for a unit root under structur...
We propose unit root tests for panel data with a small number of time periods, T, and increments tha...
This study investigates whether shocks to the real international commodity prices are transitory or ...
We propose unit root tests for the AR(1) panel data model with AR(1) errors and a small number of ob...
This dissertation consists of three essays on time series and panel data econometrics. The first ess...
The perceived existence of unit roots in macroeconomic variables has significant effect on econometr...
2007 This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (20...
We use the well known USDA dataset of real exchange rates to address the question of whether PPP hol...
Purpose – There are several studies that investigate evidence for mean reversion in stock pric...
International Economic Policy An IV approach, using as instruments nonlinear transformations of the ...
Weekly series of agricultural prices usually exhibit seasonal variations and the stationarity of the...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...
Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots r...
Price theory suggests that commodity prices should be stationary series. Yet, tests for unit roots r...
Endogenous variables in structural models of agricultural commodity markets are typically treated as...
This thesis is a collection of four essays with main focus on testing for a unit root under structur...
We propose unit root tests for panel data with a small number of time periods, T, and increments tha...
This study investigates whether shocks to the real international commodity prices are transitory or ...
We propose unit root tests for the AR(1) panel data model with AR(1) errors and a small number of ob...
This dissertation consists of three essays on time series and panel data econometrics. The first ess...
The perceived existence of unit roots in macroeconomic variables has significant effect on econometr...
2007 This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (20...
We use the well known USDA dataset of real exchange rates to address the question of whether PPP hol...
Purpose – There are several studies that investigate evidence for mean reversion in stock pric...
International Economic Policy An IV approach, using as instruments nonlinear transformations of the ...
Weekly series of agricultural prices usually exhibit seasonal variations and the stationarity of the...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...