The purchasing power parity revisited : new evidence for 16 OECD countries from panel unit root tests with structural breaks

In this paper, we apply a range of univariate unit root tests including the Lagrangian multiplier (LM) univariate and panel unit root tests to examine PPP for 16 OECD countries. In addition to incorporating structural breaks in the univariate exchange rate series, we also incorporate structural breaks in the panel exchange rate models. Our main finding from univariate tests, with and without structural breaks and panel LM test with one break, is that real exchange rates are not stationary, inconsistent with PPP hypothesis. However, when we incorporate two structural breaks in the univariate LM test, for most countries we find that real exchange rates are stationary. Moreover, we obtain overwhelming support for PPP when we apply panel LM unit root tests with two structural breaks.

Is Asian per capita GDP panel stationary?

The goal of this paper is to examine whether per capita GDP for 15 Asian countries is panel stationary. We apply a panel test for stationarity that allows for multiple structural breaks developed by Carrion-i-Silvestre et al. (Econ J 8: 159–179, 2005). Our main findings are: (1) when we apply conventional tests, such as the ADF and KPSS univariate tests without structural breaks, we find little evidence for stationarity; (2) when we apply the KPSS univariate test with multiple structural breaks, we find evidence of stationarity for 10 out of 15 countries; and (3) when we apply the KPSS panel test with multiple structural breaks, we find overwhelming evidence of panel stationarity of per capita real GDP for different panels of Asian countries.

A panel data analysis of the military expenditure-external debt nexus : evidence from six middle eastern countries

While a number of studies examine the nexus between military expenditure and economic growth, little consideration has been give to the effect of military expenditure on external debt. This article examines the impact of military expenditure and income on external debt for a panel of six Middle Eastern countries - Oman, Syria, Yemen, Bahrain, Iran, and Jordan - over the period 1988 to 2002. The Middle East represents an interesting study of the effect of military expenditure on external debt because it has one of the highest rates of arms imports in the world and it is one of the most indebted regions in the world. The study first establishes whether there is a long-run relationship between military expenditure, income, and external debt in the six countries using a panel unit root and panel cointegration framework and then proceeds to estimate the long-run and short-run effects of military expenditure and income on external debt. The study finds that external debt is elastic with respect to military expenditure in the long run and inelastic with respect to military expenditure in the short run. For the panel of six Middle Eastern countries, in the long run a 1% increase in military expenditure results in between a 1.1 % and 1.6% increase in external debt, while a 1% increase in income reduces external debt by between 0.6% and 0.8%, depending on the specific estimator employed. In the short run, a 1% increase in military expenditure increases external debt by 0.2%, while the effect of income on external debt is statistically insignificant.

The effect of inflation and real wages on productivity: new evidence from a panel of G7 countries

This article examines the effect of inflation and real wages on productivity within a panel unit root and panel cointegration framework for the G7 countries over the period 1960 to 2004. The main contribution of the article is to provide panel long-run estimates of the effect of inflation and real wages on productivity in the G7 countries over this period. The article finds that for the panel as a whole a 1% increase in real wages generates a 0.6% increase in productivity, while the effects of inflation on productivity are statistically insignificant for most of the individual countries and for the panel as a whole.

A panel data analysis of the determinants of oil consumption : the case of Australia

The goal of this paper is to examine the determinants of oil consumption for a panel consisting of six Australian States and one territory, namely Queensland, New South Wales, Victoria, Tasmania, South Australia, Western Australia, and the Northern territory, for the period 1985–2006. We find that oil consumption, oil prices and income are panel cointegrated. We estimate long-run elasticities and find that oil prices have had a statistically insignificant impact on oil consumption, while income has had a statistically significant positive effect on oil consumption.

Non-standard work schedules and health outcomes in Australia : some evidence from the HILDA Panel

What does the around-the-clock economic activity mean for workers' health? Despite the fact that non-standard work accounts for an increasing share of the job opportunities, relatively little is known about the potential consequences for health and the existing evidence is ambiguous. In this paper I examine the associations between non-standard job schedules and workers' physical and mental health outcomes using longitudinal data from the Household, Income and Labour Dynamics in Australia (HILDA). Specifically, the four health indicators considered are self-rated health and the SF-36 health indices for general health, mental health and physical functioning. Overall results generally suggest a negative relationship between non-standard work schedules and better health for both males and females. Regarding the statistical significance and magnitudes of the associations, however, we observe apparent differences between males and females. Among females, most of the coefficients in all models are statistically insignificant, which implies very small magnitudes in terms of the correlation between non-standard working hours and health. These results apply uniformly to all health measures investigated. Among males, on the other hand, the negative relationship is more noticeable for self-rated health, general health and physical functioning than for mental health. The pooled OLS and random effects coefficients are usually larger in magnitude and more significant than the fixed effects parameters. Nonetheless, even the more significant coefficients do not imply large effects in absolute terms.

Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks

In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary process. We find that (1) conventional univariate unit root tests without any structural breaks generally reveal that the inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the inflation rate for panels consisting of countries which were declared nonstationary by univariate tests.

Tourism and economic growth: a panel data analysis for Pacific Island countries

The contribution of tourism to the economic growth of Pacific Island countries (PICs) has achieved significance in the past decade. The shift in the economic policies of the PICs from the late 1980s has been decisively away from import substitution and agriculture to urban-based manufacturing and services sectors. Tourism is the main component of the services sector in the PICs. The contribution of tourism to economic growth in Fiji, Tonga, the Solomon Islands and Papua New Guinea is expected to grow. The authors use panel data for the four PICs to test the long-run relationship between real GDP and real tourism exports. They find support for panel cointegration and the results suggest that a 1% increase in tourism exports increases GDP by 0.72% in the long run and by 0.24% in the short run.

Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

This paper examines whether stock prices for a sample of 22 OECD countries can be best represented as mean reversion or random walk processes. A sequential trend break test proposed by Zivot and Andrews is implemented, which has the advantage that it can take account of a structural break in the series, as well as panel data unit root tests proposed by Im et al., which exploits the extra power in the panel properties of the data. Results provide strong support for the random walk hypothesis.