(This abstract was borrowed from another version of this item.)}, journal = {Journal of Asian Economics}, volume = {14}, number = {3}, pages = {465-487} } @Article{bahmani1994imports, author = {Bahmani-Oskooee, M}, title = {Are imports and exports of Australia cointegrated?}, year = {1994}, journal = {Journal of Economic Integration}, volume = {9}, number = {4}, pages = {525{--}533} } @Article{RePEc-jae-japmet-v-18-y-2003-i-1-p-1-22, author = {Bai, J and Perron, P}, title = {Computation and analysis of multiple structural change models}, year = {2003}, URL = {http://ideas.repec.org/a/jae/japmet/v18y2003i1p1-22.html}, abstract = {In a recent paper, Bai and Perron (1998) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This algorithm is based on the principle of dynamic programming and requires at most least-squares operations of order O(T 2) for any number of breaks. Our method can be applied to both pure and partial structural change models. Second, we consider the problem of forming confidence intervals for the break dates under various hypotheses about the structure of the data and the errors across segments. Third, we address the issue of testing for structural changes under very general conditions on the data and the errors. Fourth, we address the issue of estimating the number of breaks. Finally, a few empirical applications are presented to illustrate the usefulness of the procedures. All methods discussed are implemented in a GAUSS program. Copyright {\textcopyright} 2002 John Wiley \& Sons, Ltd.}, journal = {Journal of Applied Econometrics}, volume = {18}, number = {1}, pages = {1-22} } @Article{RePEc-ecm-emetrp-v-66-y-1998-i-1-p-47-78, author = {Bai, J and Perron, P}, title = {Estimating and testing linear models with multiple structural changes}, year = {1998}, month = {January}, URL = {http://ideas.repec.org/a/ecm/emetrp/v66y1998i1p47-78.html}, abstract = {This paper develops the statistical theory for testing and estimating multiple change points in regression models. The rate of convergence and limiting distribution for the estimated parameters are obtained. Several test statistics are proposed to determine the existence as well as the number of change points. A partial structural change model is considered. The authors study both fixed and shrinking magnitudes of shifts. In addition, the models allow for serially correlated disturbances (mixingales). An estimation strategy for which the location of the breaks need not be simultaneously determined is discussed. Instead, the authors' method successively estimates each break point.}, journal = {Econometrica}, volume = {66}, number = {1}, pages = {47-78} } @Article{bineau2007imports, author = {Bineau, Y}, title = {Are imports and exports cointegrated: the case of bulgaria between 1967 and 2004}, year = {2007}, journal = {South East European Journal of Economics and Business}, volume = {2}, number = {2}, pages = {53{--}56} } @Article{tang2005malaysian, author = {Cheong, T.T}, title = {Are Malaysian exports and imports cointegrated? A comment}, year = {2005}, journal = {Sunway Academic Journal}, volume = {2}, pages = {101{--}107} } @Article{RePEc-eee-jimfin-v-29-y-2010-i-3-p-442-459, author = {Christopoulos, D and Le{\'{o}}n-Ledesma, M.A}, title = {Current account sustainability in the US: What did we really know about it?}, year = {2010}, month = {April}, URL = {http://ideas.repec.org/a/eee/jimfin/v29y2010i3p442-459.html}, abstract = {We analyze the sustainability of the US current account (CA) deficit by means of unit-root tests. First, we argue that there are several reasons to believe that the CA may follow a non-linear mean-reversion behavior under the null of stationarity. Using a non-linear ESTAR model we can reject the null of non-stationarity favoring the sustainability hypothesis. Second, we ask whether unit-root tests are a useful indicator of sustainability by comparing in-sample results for the 1960-2004 period to the developments observed up to the end of 2008. We find that the non-linear model outperforms the linear and random walk models in terms of forecast performance. The large shocks to the CA observed in the last five years induced a faster speed of mean reversion, ensuring the necessary adjustment to meet the inter-temporal budget constraint.}, journal = {Journal of International Money and Finance}, volume = {29}, number = {3}, pages = {442-459}, keywords = {Current account sustainability Stationarity Non-linear models} } @Article{RePEc-ecm-emetrp-v-49-y-1981-i-4-p-1057-72, author = {Dickey, D.A and Fuller, W.A}, title = {Likelihood ratio statistics for autoregressive time series with a unit root}, year = {1981}, month = {June}, URL = {http://ideas.repec.org/a/ecm/emetrp/v49y1981i4p1057-72.html}, abstract = {No abstract is available for this item.}, journal = {Econometrica}, volume = {49}, number = {4}, pages = {1057-72} } @Article{Enders, author = {Enders, W}, title = {Applied econometric time series}, year = {2005}, journal = {Willy Series in Probability and Statistics, Second edition} } @Article{RePEc-ecm-emetrp-v-55-y-1987-i-2-p-251-76, author = {Engle, R.F and Granger, C.W.J}, title = {Co-integration and error correction: Representation, estimation, and testing}, year = {1987}, month = {March}, URL = {http://ideas.repec.org/a/ecm/emetrp/v55y1987i2p251-76.html}, abstract = {The relationship between cointegration and error correction models, first suggested by Granger, is here extended and used to develop estimation procedures, tests, and empirical examples. A vector of time series is said to be cointegrated with cointegrating vector a if each element is stationary only after differencing while linear combinations a8xt are themselves stationary. A representation theorem connects the moving average , autoregressive, and error correction representations for cointegrated systems. A simple but asymptotically efficient two-step estimator is proposed and applied. Tests for cointegration are suggested and examined by Monte Carlo simulation. A series of examples are presented. Copyright 1987 by The Econometric Society.}, journal = {Econometrica}, volume = {55}, number = {2}, pages = {251-76} } @Article{erbaykal2008turkey, author = {Erbaykal, E and Karaca, O}, title = {Is Turkey{'}s foreign deficit sustainable? Cointegration relationship between exports and imports}, year = {2008}, journal = {International Research Journal of Finance and Economics}, volume = {14}, pages = {177{--}181} } @Article{doi-10.1080-10168739900000004, author = {Fountas, S and Wu, J.-L}, title = {Are the U.S. current account deficits really sustainable?}, year = {1999}, URL = {http://www.tandfonline.com/doi/abs/10.1080/10168739900000004}, abstract = {We have tested for a long-run relationship between four U.S. Export measures and analogous import measures (measured in nominal and real terms, levels and deflated by GNP) in the 1967-1994 period using quarterly data. Using various econometric tests that include standard Engle-Granger cointegration tests and two tests that allow for test-determined breaks in the cointegrating relationship, we have shown that the hypothesis of no long-run relationship between exports and imports cannot be rejected. This finding contrasts sharply with earlier literature and carries the important policy implication that US current account deficits are not sustainable. [F30]}, journal = {International Economic Journal}, volume = {13}, number = {3}, pages = {51-58}, doi = {10.1080/10168739900000004} } @Article{RePEc-fip-fedder-y-1996-i-qiv-p-10-20, author = {Gould, D.M and Ruffin, R.J}, title = {Trade deficits: Causes and consequences}, year = {1996}, URL = {http://ideas.repec.org/a/fip/fedder/y1996iqivp10-20.html}, abstract = {According to conventional wisdom, trade balances reflect a country's competitive strength-the lower the trade deficit, the stronger the country's industries and the higher its rate of economic growth. In this article, David Gould and Roy Ruffin review the history of the conventional wisdom and empirically examine whether large overall trade deficits or bilateral trade imbalances are associated with lower rates of economic growth. They find that, once the fundamental determinants of growth have been accounted for, trade imbalances have little effect on rates of economic growth.}, journal = {Economic and Financial Policy Review}, number = {Q IV}, pages = {10-20}, keywords = {Deficit financing ; Free trade} } @Article{RePEc-oup-ecinqu-v-29-y-1991-i-3-p-429-45, author = {Hakkio, C.S and Rush, M}, title = {Is the budget deficit \"too large?\"}, year = {1991}, month = {July}, URL = {http://ideas.repec.org/a/oup/ecinqu/v29y1991i3p429-45.html}, abstract = {Yes, specifically, the authors find that recently spending and taxing policies of the government{--}if continued{--}violate the government's intertemporal budget constraint. As a result, government spending must be reduced and/or tax revenues must be increased. These conclusions are based on tests of whether government spending and revenue are cointegrated. In addition to examining real spending and revenue, the authors also normalize these variables by real GNP and population. For a growing economy, these normalized measures are perhaps more pertinent. The authors also test and find support for the hypothesis that deficits have become a problem only in recent years. Copyright 1991 by Oxford University Press.}, journal = {Economic Inquiry}, volume = {29}, number = {3}, pages = {429-45} } @Techreport{RePEc-got-iaidps-111, author = {Herzer, D and Nowak-Lehmann, F.D}, title = {Are exports and imports of Chile cointegrated?}, year = {2005}, month = {Jul}, URL = {http://ideas.repec.org/p/got/iaidps/111.html}, abstract = {This study examines the long-run relationship between Chilean exports and imports during the 1975-2004 period using unit root tests and cointegration techniques that allow for endogenously determined structural breaks. The results indicate that there exists a long-run equilibrium between exports and imports in Chile, despite the balance-of-payments crisis of 1982-83. This finding implies that Chile\'s macroeconomic policies have been effective in the long-run and suggests that Chile is not in violation of its international budget constraint.}, institution = {Ibero-America Institute for Economic Research}, publication\_type = {type}, number = {111}, keywords = {Exports; imports; cointegration; structural break; Chile} } @Techreport{RePEc-ipe-ipetds-1154, author = {Hollauer, G and de Mendon{\c{c}}a, M.A.A}, title = {Testing Brazilians` imports and exports co-integration with monthly data for 1996-2005}, year = {2006}, month = {Jan}, URL = {http://ideas.repec.org/p/ipe/ipetds/1154.html}, abstract = {The goal of this paper is to test the Husted model and to inspect the long-runsustainability of Brazilian current account in a very specific period of time (1996-2005) by the use of monthly data. We have tested the inter-temporal budgetconstraints (IBC) condition via unit root test with structural break and co-integrationthrough Gregory-Hansen test in a 117 long nominal, GDP normalized and CPInormalized series for the Brazilian economy. The results indicated that the pure IBCcondition does not hold for the Brazilian economy. However, there is co-integrationamong the series used in this work and the balance of accounts is sustainable.}, institution = {Instituto de Pesquisa Econ{\^{o}}mica Aplicada - IPEA}, publication\_type = {type}, number = {1154} } @Article{RePEc-tpr-restat-v-74-y-1992-i-1-p-159-66, author = {Husted, S}, title = {The emerging U.S. current account deficit in the 1980s: A cointegration analysis}, year = {1992}, month = {February}, URL = {http://ideas.repec.org/a/tpr/restat/v74y1992i1p159-66.html}, abstract = {This paper seeks to understand the recent history of U.S. external imbalances by identifying the \"long-run tendency\" of the U.S. current account balance and investigating its behavior. The procedure that is adopted is to estimate cointegrating regressions between U.S. exports and imports of goods and services. Estimates from cointegrating regressions between several measures of U.S. exports and imports show that up to about the end of 1983 the U.S. current account tended toward zero. Since that time, there has been an apparent structural shift resulting in a long-run tendency for a deficit in excess of $100 billion per year. Copyright 1992 by MIT Press.}, journal = {The Review of Economics and Statistics}, volume = {74}, number = {1}, pages = {159-66} } @Article{RePEc-eee-dyncon-v-12-y-1988-i-2-3-p-231-254, author = {Johansen, S}, title = {Statistical analysis of cointegration vectors}, year = {1988}, URL = {http://ideas.repec.org/a/eee/dyncon/v12y1988i2-3p231-254.html}, abstract = {No abstract is available for this item.}, journal = {Journal of Economic Dynamics and Control}, volume = {12}, number = {2-3}, pages = {231-254} } @Article{RePEc-bla-obuest-v-52-y-1990-i-2-p-169-210, author = {Johansen, S and Juselius, K}, title = {Maximum likelihood estimation and Inference on cointegration{--}With applications to the demand for money}, year = {1990}, month = {May}, URL = {http://ideas.repec.org/a/bla/obuest/v52y1990i2p169-210.html}, abstract = {This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors, where the model includes a constant term and seasonal dummies. The hypothesis of cointegration is given a simple parametric form in terms of cointegration vectors and their weights. The relation between the constant term and a linear trend in the non-stationary part of the process is discussed and related to the weights. Tests for the presence of cointegration vectors, both with and without a linear trend in the non-stationary part of the process are derived. Then estimates and tests under linear restrictions on the cointegration vectors and their weights are given. The methods are illustrated by data from the Danish and the Finnish economy on the demand for money. Copyright 1990 by Blackwell Publishing Ltd}, journal = {Oxford Bulletin of Economics and Statistics}, volume = {52}, number = {2}, pages = {169-210} } @Article{RePEc-prg-jnlpep-v-2005-y-2005-i-1-id-254-p-82-88, author = {Kalyoncu, H}, title = {Sustainability of current account for Turkey: Intertemporal solvency approach}, year = {2005}, URL = {http://ideas.repec.org/a/prg/jnlpep/v2005y2005i1id254p82-88.html}, abstract = {This paper examines sustainability of current account for Turkey during the period 1987:Q1 - 2002:Q4. Using the usual intertemporal borrowing constraint, I have tested for a long-run relationship between Turkey exports and imports (measured in real terms to real gross domestic product) using quarterly data. In my empirical analysis of the sustainability of current account for Turkey, cointegration approaches have been used. Empirical results suggest that there exists a unique long-run or equilibrium relationship among real exports and imports and their percentage to real GDP and their estimated cointegration factor (b) is very close to 1. The empirical findings suggest that the current account of Turkey is sustainable in the long-run.}, journal = {Prague Economic Papers}, volume = {2005}, number = {1}, pages = {82-88}, keywords = {sustainability; intertemporal budget constraint; current account deficits} } @Article{Katircioglu200917, author = {Katircioglu, S.T}, title = {Revisiting the tourism-led-growth hypothesis for Turkey using the bounds test and Johansen approach for cointegration}, year = {2009}, URL = {http://www.sciencedirect.com/science/article/pii/S0261517708000794}, abstract = {This paper empirically revisits and investigates the tourism-led-growth (TLG) hypothesis in the case of Turkey by employing the bounds test and Johansen approach for cointegration using annual data from 1960{\textendash}2006. Although Gunduz and Hatemi-J (2005; Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters. 12, 499{\textendash}504) support the TLG hypothesis for Turkey (suggesting unidirectional causation from tourism to economic growth) by making use of the leveraged bootstrap causality tests, and Ongan and Demiroz (2005; The contribution of tourism to the long-run Turkish economic growth. Ekonomick{\'{y}} {\v{c}}asopis [Journal of Economics]. 53(9), 880{\textendash}894.) suggest bidirectional causality between international tourism and economic growth in Turkey, this study does not find any cointegration between international tourism and economic growth in Turkey. Therefore, unlike the findings of Gunduz and Hatemi-J (2005) and Ongan and Demiroz (2005), this study rejects the TLG hypothesis for the Turkish economy since no cointegration was found and error correction mechanisms plus causality tests cannot be run for further steps in the long term.}, journal = {Tourism Management}, volume = {30}, number = {1}, pages = {17 - 20}, keywords = {Tourism-Led Growth}, doi = {10.1016/j.tourman.2008.04.004}, issn = {0261-5177} } @Article{RePEc-eee-econom-v-54-y-1992-i-1-3-p-159-178, author = {Kwiatkowski, D and Phillips, P.C.B and Schmidt, P and Shin, Y}, title = {Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?}, year = {1992}, URL = {http://ideas.repec.org/a/eee/econom/v54y1992i1-3p159-178.html}, abstract = {The standard conclusion that is drawn from this empirical evidence is that many or most aggregate economic time series contain a unit root. However, it is important to note that in this empirical work the unit root is set up as the null hypothesis testing is carried out ensures that the null hypothesis is accepted unless there is strong evidence against it. Therefore, an alternative explanation for the common failure to reject a unit root is simply that most economic time series are not very informative about whether or not there is a unit root; or, equivalently, that standard unit root tests are not very powerful against relevant alternatives.

(This abstract was borrowed from another version of this item.)

(This abstract was borrowed from another version of this item.)

(This abstract was borrowed from another version of this item.)}, journal = {Journal of Econometrics}, volume = {54}, number = {1-3}, pages = {159-178} } @Article{RePEc-tpr-restat-v-85-y-2003-i-4-p-1082-1089, author = {Lee, J and Strazicich, M.C}, title = {Minimum lagrange multiplier unit root test with two structural breaks}, year = {2003}, month = {November}, URL = {http://ideas.repec.org/a/tpr/restat/v85y2003i4p1082-1089.html}, abstract = {The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity. {\textcopyright} 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.}, journal = {The Review of Economics and Statistics}, volume = {85}, number = {4}, pages = {1082-1089} } @Article{RePEc-tpr-restat-v-79-y-1997-i-2-p-212-218, author = {Lumsdaine, R.L and Papell, D.H}, title = {Multiple trend breaks and the unit-root hypothesis}, year = {1997}, month = {May}, URL = {http://ideas.repec.org/a/tpr/restat/v79y1997i2p212-218.html}, abstract = {Ever since Nelson and Plosser (1982) found evidence in favor of the unit-root hypothesis for 13 long-term annual macro series, observed unit - root behavior has been equated with persistence in the economy. Perron (1989) questioned this interpretation, arguing instead that the \"observed\" behavior may indicate failure to account for structural change. Zivot and Andrews (1992) restored confidence in the unit-root hypothesis by incorporating an endogenous break point into the specification. By allowing for the possibility of two endogenous break points, we find more evidence against the unit-root hypothesis than Zivot and Andrews, but less than Perron. {\textcopyright} 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology}, journal = {The Review of Economics and Statistics}, volume = {79}, number = {2}, pages = {212-218} } @Incollection{Mackinnon1991, author = {Mackinnon, J.G}, title = {Critical values for cointegration tests, in long-run economic relationships}, year = {1991}, editor = {Engle, R.F and Granger, C.W.J.}, publication\_type = {type}, publisher = {Oxford university press}, address = {Oxford}, pages = {267-276} } @Article{RePEc-jae-japmet-v-11-y-1996-i-6-p-601-18, author = {MacKinnon, J.G}, title = {Numerical distribution functions for unit root and cointegration tests}, year = {1996}, month = {Nov.-Dec.}, URL = {http://ideas.repec.org/a/jae/japmet/v11y1996i6p601-18.html}, abstract = {This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P-values for any of the tests. Graphs of some of the tabulated distribution functions are provided. An empirical example deals with interest rates and inflation rates in Canada. Copyright 1996 by John Wiley \& Sons, Ltd.}, journal = {Journal of Applied Econometrics}, volume = {11}, number = {6}, pages = {601-18} } @Article{RePEc-aea-jecper-v-16-y-2002-i-3-p-131-152, author = {Mann, C.L}, title = {Perspectives on the U.S. current account deficit and sustainability}, year = {2002}, month = {Summer}, URL = {http://ideas.repec.org/a/aea/jecper/v16y2002i3p131-152.html}, abstract = {The US current account has been in deficit for 25 years, accumulating a negative net international investment position of some $20 trillion dollars. This article reviews three frameworks for analyzing the causes of large US external imbalances: The NIPA; income, relative-prices, and trade flows, and portfolio allocation of cross-border capital flows. It presents two approaches to considering how long these imbalances can persist. Rather than focusing on the current account as a share of U.S. GDP, understanding the behavior of the global investors and their investment choices is key to the trajectory of the current account and the US dollar.}, journal = {Journal of Economic Perspectives}, volume = {16}, number = {3}, pages = {131-152} } @Article{RePEc-taf-applec-v-37-y-2005-i-17-p-1979-1990, author = {Narayan, P.K}, title = {The saving and investment nexus for China: Evidence from cointegration tests}, year = {2005}, URL = {http://ideas.repec.org/a/taf/applec/v37y2005i17p1979-1990.html}, abstract = {The saving and investment nexus as postulated by Feldstein and Horioka (FH) (1980) is revisited. The saving investment correlation for China is estimated over the periods 1952-1998 and 1952-1994, the latter culminating in a period of fixed exchange rate regime. Amongst the key results, it is found that saving and investment are correlated for China for both the period of the fixed exchange rate and the entire sample period. With high saving-investment correlation, the results suggest that the Chinese economy is in conformity with the FH hypothesis. This is a valid outcome, for in China capital mobility was fairly restricted over the 1952-1994 period as indicated by the relatively low foreign direct investment.}, journal = {Applied Economics}, volume = {37}, number = {17}, pages = {1979-1990} } @Article{RePEc-ecm-emetrp-v-69-y-2001-i-6-p-1519-1554, author = {Ng, S and Perron, P}, title = {LAG length selection and the construction of unit root tests with good size and power}, year = {2001}, month = {November}, URL = {http://ideas.repec.org/a/ecm/emetrp/v69y2001i6p1519-1554.html}, abstract = {It is widely known that when there are errors with a moving-average root close to - 1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the \"AIC\" and the \"BIC\" tend to select a truncation lag (\"k\") that is very small. We consider a class of Modified Information Criteria (\"MIC\") with a penalty factor that is sample dependent. It takes into account the fact that the bias in the sum of the autoregressive coefficients is highly dependent on \"k\" and adapts to the type of deterministic components present. We use a local asymptotic framework in which the moving-average root is local to - 1 to document how the \"MIC\" performs better in selecting appropriate values of \"k\". In Monte-Carlo experiments, the \"MIC\" is found to yield huge size improvements to the \"DF-super-GLS\" and the feasible point optimal \"P-sub-T\" test developed in Elliott, Rothenberg, and Stock (1996). We also extend the \"M\" tests developed in Perron and Ng (1996) to allow for \"GLS\" detrending of the data. The \"MIC\" along with \"GLS\" detrended data yield a set of tests with desirable size and power properties. Copyright The Econometric Society.}, journal = {Econometrica}, volume = {69}, number = {6}, pages = {1519-1554} } @Article{1995, author = {Ng, S and Perron, P}, title = {Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag}, year = {1995}, URL = {http://www.jstor.org/stable/2291151}, abstract = {We analyze the choice of the truncation lag in the context of the Said-Dickey test for the presence of a unit root in a general autoregressive moving average model. It is shown that a deterministic relationship between the truncation lag and the sample size is dominated by data-dependent rules that take sample information into account. In particular, we study data-dependent rules that are not constrained to satisfy the lower bound condition imposed by Said-Dickey. Akaike's information criterion falls into this category. The analytical properties of the truncation lag selected according to a class of information criteria are compared to those based on sequential testing for the significance of coefficients on additional lags. The asymptotic properties of the unit root test under various methods for selecting the truncation lag are analyzed, and simulations are used to show their distinctive behavior in finite samples. Our results favor methods based on sequential tests over those based on information criteria, because the former show less size distortions and have comparable power.}, journal = {Journal of the American Statistical Association}, volume = {90}, number = {429}, pages = {268-281}, issn = {01621459} } @Article{RePEc-eaa-ijaeqs-v-5-y2008-i-1\_6, author = {Perera, N and Varma, R}, title = {An empirical analysis of sustainability of trade deficit: Evidence from Sri Lanka}, year = {2008}, URL = {http://ideas.repec.org/a/eaa/ijaeqs/v5y2008i1\_6.html}, abstract = {In this paper, the long-run relationship between Sri Lankan exports and imports during the period 1950 to 2006 is examined using unit root tests and cointegration techniques that allow for an endogenously determined structural break. The results failed to support the existence of a long-run equilibrium between exports and imports in Sri Lanka. This finding questions the effectiveness of Sri Lanka{'}s current long-term macroeconomic policies and suggests that Sri Lanka is in violation of its international budget constraint.}, journal = {International Journal of Applied Econometrics and Quantitative Studies}, volume = {5}, number = {1}, pages = {79-92}, keywords = {Trade Deficit; Unit root; Structural Breaks; Cointegration; Sri Lanka} } @Article{RePEc-eee-econom-v-80-y-1997-i-2-p-355-385, author = {Perron, P}, title = {Further evidence on breaking trend functions in macroeconomic variables}, year = {1997}, month = {October}, URL = {http://ideas.repec.org/a/eee/econom/v80y1997i2p355-385.html}, abstract = {No abstract is available for this item.}, journal = {Journal of Econometrics}, volume = {80}, number = {2}, pages = {355-385} } @Article{1990, author = {Perron, P}, title = {Testing for a unit root in a time series with a changing mean}, year = {1990}, URL = {http://www.jstor.org/stable/1391977}, abstract = {This study considers testing for a unit root in a time series characterized by a structural change in its mean level. My approach follows the "intervention analysis" of Box and Tiao (1975) in the sense that I consider the change as being exogenous and as occurring at a known date. Standard unit-root tests are shown to be biased toward nonrejection of the hypothesis of a unit root when the full sample is used. Since tests using split sample regressions usually have low power, I design test statistics that allow the presence of a change in the mean of the series under both the null and alternative hypotheses. The limiting distribution of the statistics is derived and tabulated under the null hypothesis of a unit root. My analysis is illustrated by considering the behavior of various univariate time series for which the unit-root hypothesis has been advanced in the literature. This study complements that of Perron (1989), which considered time series with trends.}, journal = {Journal of Business \& Economic Statistics}, volume = {8}, number = {2}, pages = {pp. 153-162}, issn = {07350015} } @Article{RePEc-bes-jnlbes-v-10-y-1992-i-4-p-467-70, author = {Perron, P and Vogelsang, T.J}, title = {Testing for a unit root in a time series with a changing mean: Corrections and extensions}, year = {1992}, month = {October}, URL = {http://ideas.repec.org/a/bes/jnlbes/v10y1992i4p467-70.html}, abstract = {This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the data even if the appropriate order of the autoregression is selected. The authors present a simple modification that yields statistics with the same asymptotic distributions (free of nuisance parameters) as stated earlier.}, journal = {Journal of Business \& Economic Statistics}, volume = {10}, number = {4}, pages = {467-70} } @Incollection{Pesaran1999, author = {Pesaran, M.H and Shin, Y}, title = {An autoregressive distributed lag modelling approach to cointegration analysis}, year = {1999}, booktitle = {Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium}, editor = {Strom, S.}, publication\_type = {type}, publisher = {Cambridge University Press}, address = {Cambridge}, chapter = {11} } @Article{RePEc-jae-japmet-v-16-y-2001-i-3-p-289-326, author = {Pesaran, M.H and Shin, Y and Smith, R.J}, title = {Bounds testing approaches to the analysis of level relationships}, year = {2001}, URL = {http://ideas.repec.org/a/jae/japmet/v16y2001i3p289-326.html}, abstract = {This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests are based on standard F- and t-statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic distributions of these statistics are non-standard under the null hypothesis that there exists no level relationship, irrespective of whether the regressors are I(0) or I(1). Two sets of asymptotic critical values are provided: one when all regressors are purely I(1) and the other if they are all purely I(0). These two sets of critical values provide a band covering all possible classifications of the regressors into purely I(0), purely I(1) or mutually cointegrated. Accordingly, various bounds testing procedures are proposed. It is shown that the proposed tests are consistent, and their asymptotic distribution under the null and suitably defined local alternatives are derived. The empirical relevance of the bounds procedures is demonstrated by a re-examination of the earnings equation included in the UK Treasury macroeconometric model. Copyright {\textcopyright} 2001 John Wiley \& Sons, Ltd.}, journal = {Journal of Applied Econometrics}, volume = {16}, number = {3}, pages = {289-326} } @Article{PHILLIPS01061988, author = {Phillips, P.C.B and Perron, P}, title = {Testing for a unit root in time series regression}, year = {1988}, URL = {http://biomet.oxfordjournals.org/content/75/2/335.abstract}, abstract = {This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey \& Fuller. Simulations are reported on the performance of the new tests in finite samples.}, journal = {Biometrika}, volume = {75}, number = {2}, pages = {335-346}, doi = {10.1093/biomet/75.2.335} } @Article{Pindyck1991, author = {Pindyck, R.S and Rubinfeld, D.L}, title = {Models and economic forecasts}, year = {1991}, journal = {McGraw-Hill Inc.} } @Article{RePEc-ora-journl-v-1-y-2009-i-1-p-163-168, author = {Ramona, D and Razvan, S}, title = {Analysis of the romanian current account sustainability}, year = {2009}, month = {May}, URL = {http://ideas.repec.org/a/ora/journl/v1y2009i1p163-168.html}, abstract = {This paper explores the sustainability of the Romanian current account. For this purpose we test the stationarity and cointegration of the monthly credit and debit transactions of the current account. It results these time series have unit roots for level}, journal = {Annals of Faculty of Economics}, volume = {1}, number = {1}, pages = {163-168}, keywords = {Romanian Current Account; Sustainability; Cointegration} } @Techreport{RePEc-nbr-nberwo-2772, author = {Stock, J.H and Watson, M.W}, title = {A probability model of the coincident economic indicators}, year = {1988}, month = {Nov}, URL = {http://ideas.repec.org/p/nbr/nberwo/2772.html}, abstract = {The Index of Coincident Economic Indicators, currently compiled by the U.S. Department of Commerce, is designed to measure the state of overall economic activity. The index is constructed as a weighted average of four key macroeconomic time series, where the weights are obtained using rules that dare to the early days of business cycle analysis. This paper presents an explicit rime series model (formally, a dynamic factor analysis or \"single index\" model) that implicitly defines a variable that can be thought of as the overall state of the economy. Upon estimating this model using data from 1959-1987, the estimate of this unobserved variable is found to be highly correlated with the official Commerce Department series, particularly over business cycle horizons. Thus this model provides a formal rationalization for the traditional methodology used to develop the Coincident Index. Initial exploratory exercises indicate that traditional leading variables can prove useful in forecasting the short-run growth in this series.}, institution = {National Bureau of Economic Research, Inc}, publication\_type = {type}, number = {2772} } @Article{RePEc-eee-ecolet-v-72-y-2001-i-2-p-219-224, author = {Wu, J.-L and Chen, S.-L and Lee, H.-Y}, title = {Are current account deficits sustainable?: Evidence from panel cointegration}, year = {2001}, month = {August}, URL = {http://ideas.repec.org/a/eee/ecolet/v72y2001i2p219-224.html}, abstract = {No abstract is available for this item.}, journal = {Economics Letters}, volume = {72}, number = {2}, pages = {219-224} } @Article{RePEc-bes-jnlbes-v-10-y-1992-i-3-p-251-70, author = {Zivot, E and Andrews, D.W.K}, title = {Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis}, year = {1992}, month = {July}, URL = {http://ideas.repec.org/a/bes/jnlbes/v10y1992i3p251-70.html}, abstract = {Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the \"estimated break point\" test statistic is determined and the data considered by Perron are reanalyzed. The authors find less evidence against the unit root hypothesis than Perron finds for many of the data series, but stronger evidence against it for several of the series.}, journal = {Journal of Business \& Economic Statistics}, volume = {10}, number = {3}, pages = {251-70} }