Testing the Convergence Hypothesis for OECD Countries: RALS Panel Fourier SURADF Unit Root Test

Yıl 2020, Cilt: 28 Sayı: 44, 395 - 407, 19.04.2020

Veli Yılancı , Esra Canpolat Gökçe

https://doi.org/10.17233/sosyoekonomi.2020.02.18

Cited By: 3

Öz

The main aim of this study is to improve the SURADF panel unit root test of Breur et al. (2001) by considering structural breaks and the knowledge of non-normal distrubited residuals. Chang et al. (2012) introduce a new panel unit root test by allowing smooth structural breaks in SURADF test process, in this study, we also take into account of the information of the residuals that are nonnormally distrubited. We test the validity of stochastic convergence among 18 OECD countries using this suggested new test and find a supportive evidence of convergence for only 7 countries.

Anahtar Kelimeler

Panel, Unit Root, SUR-ADF, Fourier, RALS

OECD Ülkelerinde Yakınsama Hipotezinin Geçerliliği: Kalıntılarla Genişletilmiş Panel Fourier SURADF Birim Kök Testi

Öz

Bu çalışmanın amacı Breuer vd. (2001) tarafından önerilen SURADF birim kök testini yapısal değişim ve kalıntıların normal dağılmama bilgisini dikkate alan yapıya genişleterek OECD ülkeleri için gelir yakınsamasının geçerliliğini test etmektir. Breuer vd. (2001) tarafından geliştirilen panel SURADF birim kök testi, Chang vd. (2012) tarafından yumuşak kırılmalara izin verecek şekilde genişletilmiştir; bu çalışmada ise bu denklem sistemine Im ve Schmidt (2008) tarafından önerilen kalıntıların normal dağılmama bilgisinin de dâhil edildiği yeni bir test önerilmiştir. Önerilen bu yeni birim kök testi kullanılarak, seçilen OECD ülkeleri için yakınsama hipotezinin geçerliliği sınanmış ve ele alınan 18 ülkenin sadece yedisinde stokastik yakınsamanın geçerli olduğu sonucuna varılmıştır.

Anahtar Kelimeler

Panel, Birim Kök, SUR-ADF, Fourier, RALS

Kaynakça

• Barro, R.J. & X. Sala-i Martin (1992), “Convergence”, Journal of Political Economy, 100, 223-251.
• Barro, R.J. (1991), “Economiz Growth in a Cross-Section of Countries”, Quarterly Journal of Economics, 106(2), 407-443.
• Baumol, W.J. (1986), “Productivity Growth, Convergence and Welfare: What the Long Run Data Show”, American Economic Review, 76, 1072-1085.
• Bernard, A.B. & S.N. Durlauf (1996), “Interpreting Tests of the Convergence Hypothesis”, Journal of Econometrics, 71, 161-173.
• Breuer, J.B. & R. McNown & M.S. Wallace (2001), “Misleading Inferences from Panel Unit‐Root Tests with an Illustration from Purchasing Power Parity”, Review of International Economics, 9(3), 482-493.
• Carrion‐i‐Silvestre, L.J. & D. Barrio‐Castro & E. López‐Bazo (2005), “Breaking the panels: an application to the GDP per capita”, The Econometrics Journal, 8(2), 159-175.
• Chang, T. & C-H. Lee & P. Chou & S-C. Wang (2012), “Purchasing Power Parity for Transition Countries”, Eastern European Economics, 50(4), 42-59.
• De Long, J.B. (1988), “Productivity growth, convergence, and welfare: comment”, The American Economic Review, 78(5), 1138-1154.
• Durlauf, S.N. & P.A. Johnson (1995), “Multiple regimes and cross-country growth: Theory and policy implications”, Journal of Political Economy, 98, 1008-1038.
• Enders, W. & J. Lee (2012), “The flexible Fourier form and Dickey-Fuller type unit root tests”, Economics Letters, 117(1), 196-199.
• Gadea Rivas, M.D. & I. Sanz Villarroya (2017), “Testing the convergence hypothesis for OECD countries: A reappraisal”, Economics: The Open-Access, Open-Assessment E-Journal, 11(2017-4), 1-22.
• Greasley, D. & L. Oxley (1997), Time-series based tests of the convergence hypothesis: Some pozitive results”, Economics Letters, 56, 143-147.
• Im, K.S. & M.H. Pesaran & Y. Shin (2003), “Testing for unit roots in heterogeneous panels”, Journal of Econometrics, 115(1), 53-74.
• Im, K.S. & P. Schmidt (2008), “More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares”, Journal of Econometrics, 144(1), 219-233.
• Im, K.S. (1996), Least square approach to non-normal disturbances, (No. 9603), Faculty of Economics, University of Cambridge.
• Lee, C-C. & C-P. Chang (2009), “Stochastic convergence of per capita carbon dioxide emissions and multiple structural breaks in OECD countries”, Economic Modelling, 26, 1375-1381.
• Li, Q. & D. Papell (1999), “Convergence of international output time series evidence for 16 OECD countries”, International Review of Economics & Finance, 8(3), 267-280.
• Maddala, G.S. & S. Wu (1999), “A comparative study of unit root tests with panel data and a new simple test”, Oxf Bull Econ Stat, 61, 631-652.
• Margaritis, D. & R. Fare & S. Grosskopf (2007), “Productivity, convergence and policy: a study of OECD countries and industries”, 28(1-2), 87-105.
• Meng, M. & J.E. Payne & J. Lee (2013), “Convergence in per capita energy use among OECD countries”, Energy Economics, 36, 536-545.
• Mishra, A. & V. Mishra (2018), “Re-examination of convergence hypothesis among Indian states in panel stationarity testing framework with structural breaks”, Applied Economics, 50(3), 268-286.
• Reza, R. & K.T. Zahra (2008), “Evaluation of the Income Convergence Hypothesis in Ten New Members of the European Union. A Panel Unit Root Approach”, Panoeconomicus, 2, 157-166.
• Sala-i-Martin, X. (1996), “The classical approach to convergence analysis”, The Economic Journal, 106(437), 1019-1036.
• Solow, R.M. (1956), “A contribution to the theory of economic growth”, The Quarterly Journal of Economics, 70(1), 65-94.
• Strazicich, M.C. & J. Lee & E. Day (2004), “Are incomes converging among OECD countries? Time series evidence with two structural breaks”, Journal of Macroeconomics, 26(1), 131-145.
• Swan, T.W. (1956), “Economic Growth and Capital Accumulation”, Economic Record, November, 32, 334-361.
• Yeşilyurt, F. (2014), “Yakınsama Hipotezinin OECD Ülkelerinde İkili Yaklaşımla Test Edilmesi”, Sosyal ve Ekonomik Araştırmalar Dergisi, 27, 349-358.
• Zellner, A. (1962), “An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias”, Journal of the American Statistical Association, 57(298), 348-368.