Panel Stationarity Test with Structural Breaks

In this paper, we extend the heterogeneous panel data stationarity test of Hadri [Econometrics Journal, Vol. 3 (2000) pp. 148–161] to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. Two of the models have been already proposed by Carrion-i-Silvestre et al.[Econometrics Journal,Vol. 8 (2005) pp. 159–175]. The moments of the statistics corresponding to the four models are derived in closed form via characteristic functions.We also provide the exact moments of a modified statistic that do not asymptotically depend on the location of the break point under the null hypothesis. The cases where the break point is unknown are also considered. For the model with breaks in the level and no time trend and for the model with breaks in the level and in the time trend, Carrion-i-Silvestre et al. [Econometrics Journal, Vol. 8 (2005) pp. 159–175]showed that the number of breaks and their positions may be allowed to differ acrossindividuals for cases with known and unknown breaks. Their results can easily be extended to the proposed modified statistic. The asymptotic distributions of all the statistics proposed are derived under the null hypothesis and are shown to be normally distributed. We show by simulations that our suggested tests have in general good performance in finite samples except the modified test. In an empirical application to the consumer prices of 22 OECD countries during the period from 1953 to 2003, we found evidence of stationarity once a structural break and cross-sectional dependence are accommodated.

ARE OECD MACROECONOMIC VARIABLES TREND STATIONARY? EVIDENCE FROM PANEL STATIONARITY TESTS ALLOWING FOR A STRUCTURAL BREAK AND CROSS-SECTIONAL DEPENDENCE

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based essentially on visual inspection of the break type or just applying the most general break model, we use a model selection procedure based on BIC. We do this for each time series so that heterogeneous break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break, cross-sectional dependence and choose the break models to be congruent with the data, then the null of stationarity cannot be rejected for all the 14 macroeconomic variables examined in this article. This is in sharp contrast with the results obtained by Hurlin (2004), using the same data but a different methodology.

TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

This paper investigates the performance of the tests proposed by Hadri and by Hadri and Larsson for testing for stationarity in heterogeneous panel data under model misspecification. The panel tests are based on the well known KPSS test (cf. Kwiatkowski et al.) which considers two models: stationarity around a deterministic level and stationarity around a deterministic trend. There is no study, as far as we know, on the statistical properties of the test when the wrong model is used. We also consider the case of the simultaneous presence of the two types of models in a panel. We employ two asymptotics: joint asymptotic, T, N -> infinity simultaneously, and T fixed and N allowed to grow indefinitely. We use Monte Carlo experiments to investigate the effects of misspecification in sample sizes usually used in practice. The results indicate that the assumption that T is fixed rather than asymptotic leads to tests that have less size distortions, particularly for relatively small T with large N panels (micro-panels) than the tests derived under the joint asymptotics. We also find that choosing a deterministic trend when a deterministic level is true does not significantly affect the properties of the test. But, choosing a deterministic level when a deterministic trend is true leads to extreme over-rejections. Therefore, when unsure about which model has generated the data, it is suggested to use the model with a trend. We also propose a new statistic for testing for stationarity in mixed panel data where the mixture is known. The performance of this new test is very good for both cases of T asymptotic and T fixed. The statistic for T asymptotic is slightly undersized when T is very small (

Testing the Prebish-Singer hypothesis using second-generation panel data stationarity tests with a break

In this paper, we test the Prebish-Singer (PS) hypothesis, which states that real commodity prices decline in the long run, using two recent powerful panel data stationarity tests accounting for cross-sectional dependence and a structural break. We find that the hypothesis cannot be rejected for most commodities other than oil.

Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for endogenous multiple structural breaks. Results show that all the series are stationary after allowing for endogenous multiple breaks. Test results on the Prebisch–Singer hypothesis, which states that relative commodity prices follow a downward secular trend, are mixed but with a majority of series showing negative trends. We also make a first attempt at identifying the potential drivers of the structural breaks. We end by investigating the dynamics of the volatility of the 25 relative primary commodity prices also allowing for endogenous multiple breaks. We describe the often time-varying volatility in commodity prices and show that it has increased in recent years.

Modified stiffened panel analysis methods for laser beam and friction stir welded aircraft panels

The introduction of advanced welding methods as an alternative joining process to riveting in the manufacture of primary aircraft structure has the potential to realize reductions in both manufacturing costs and structural weight. Current design and analysis methods for aircraft panels have been developed and validated for riveted fabrication. For welded panels, considering the buckling collapse design philosophy of aircraft stiffened panels, strength prediction methods considering welding process effects for both local-buckling and post-buckling behaviours must be developed and validated. This article reports on the work undertaken to develop analysis methods for the crippling failure of stiffened panels fabricated using laser beam and friction stir welding. The work assesses modifications to conventional analysis methods and finite-element analysis methods for strength prediction. The analysis work is validated experimentally with welded single stiffener crippling specimens. The experimental programme has demonstrated the potential static strength of laser beam and friction stir welded sheet-stiffener joints for post-buckling panel applications. The work undertaken has demonstrated that the crippling behaviour of welded stiffened panels may be analysed considering standard-buckling behaviour. However, stiffened panel buckling analysis procedures must be altered to account for the weld joint geometry and process altered material properties. © IMechE 2006.

Parenting practices in Northern Ireland: evidence from the Northern Ireland Household Panel Survey

The impact of parental child-rearing practices on child outcomes has been the subject of much research and debate for many years. Studies carried out within a variety of disciplines and across a number of different countries in the world have indicated that parents tend to use a different pattern of rearing their sons than their daughters, and that child-rearing practices are related to the gender of the parent, as well as to the age and developmental stage of the child. However, there has been little research in Northern Ireland on child-rearing behaviours. In order to address this shortfall, this paper presents an analysis of parents’ perceptions of their interactions with their children. Data from Wave 3 of the Northern Ireland Household Panel Survey were analysed to explore aspects of ‘‘negative’’ parenting practices (arguing, yelling and use of physical punishment) as well as ‘‘positive’’ parenting practices (talking, praising and hugging). The participants were all parents (aged 16 years and over) with children under the age of 16 years living in the same household. Each parent reported his/her interaction with each child (up to a maximum of six children), and in total 1,629 responses were recorded. The results of the research supported previous findings from the United Kingdom and elsewhere, and indicated that the parenting styles of respondents in Northern Ireland were indeed related to the gender and age of the children and to the gender of the parents. The survey found that parents in Northern Ireland tend to have a harsher, more negative style of parenting boys than girls and that children in their teenage years have fewer positive interactions with their parents than younger children. The same parents and children will be followed up in 2007 in order to provide a longitudinal analysis of parent/child relationships in Northern Ireland.

A panel of single locus minisatellite DNA probes for application to problems in salmonid aquaculture

Eleven minisatellite DNA locus specific probes, isolated from Atlantic salmon (Salmo salar) and brown trout (Salmo trutta) partial genomic DNA libraries, were tested for cross-hybridization to eleven other salmonid species, i.e. sockeye salmon (Oncorhynchus nerka); coho salmon (O. kisutch), chum salmon (O. keta); pink salmon (O. gorbuscha); chinook salmon (O. tshawytscha); rainbow trout (O. mykiss); brook trout (Salvelinus fontinalis); Arctic charr (S. alpinus); grayling (Thymallus thymallus); huchen (Hucho hucho); pollan (Coregonus autumnalis). Simple single locus profiles for each of these species were revealed by, from two to ten SLPs. These markers are likely to be of great value in addressing several problems in aquaculture of these species.