Is income inequality persistent? Evidence using panel stationarity tests, 1870-2011

Using data on inequality for 21 OECD countries over the period 1870-2011 this paper tests the Piketty hypothesis that income inequality is likely to grow in the 21st century. It is shown that the null hypothesis of trend stationarity of inequality cannot be rejected at conventional significance levels, suggesting that shocks to income inequality are likely to be temporary.

Surface wrinkling of the twinning induced plasticity steel during the tensile and torsion tests

'Heterogeneous twinning' is defined as plastic deformation due to the formation and progress of twins resulting in surface wrinkles on the deforming part when the initial grain size is relatively large compared to the typical size of the part. In the case of a Twinning Induced Plasticity (TWIP) steel with an initial grain size of ~160. m, the heterogeneous twinning generated visible wrinkles, an orange peel effect, under medium uni-axial strains. The heterogeneous twinning did not occur in the material subjected to high shear strains. The complications resulting from this phenomenon on strain hardening characterization of the TWIP steels using two commonly used mechanical tests, tensile and torsion are discussed along with some experimental aspects of heterogeneous twinning. © 2014.

Small-sample improved seasonal unit root tests for trending and breaking series

In this article three unit root tests that allow for a break in both the seasonal mean and linear trend of the data are proposed. The tests, which can be seen as small-sample corrected versions of already known asymptotic tests, are shown to perform very well in simulations, and much better than their asymptotic counterparts.

Heteroscedasticity robust panel unit root tests

This article proposes new unit root tests for panels where the errors may be not only serial and/or crosscorrelated,but also unconditionally heteroscedastic. Despite their generality, the test statistics are shown tobe very simple to implement, requiring only minimal corrections and still the limiting distributions underthe null hypothesis are completely free from nuisance parameters. Monte Carlo evidence is also providedto suggest that the new tests perform well in small samples, also when compared to some of the existingtests. Supplementary materials for this article are available online.

Intrinsic tensile properties of cocoon silk fibres can be estimated by removing flaws through repeated tensile tests

 ilk fibres from silkworm cocoons have lower strength than spider silk and have received less attention as a source of high-performance fibres. In this work, we have used an innovative procedure to eliminate the flaws gradually of a single fibre specimen by retesting the unbroken portion of the fibre, after each fracture test. This was done multiple times so that the final test may provide the intrinsic fibre strength. During each retest, the fibre specimen began to yield once the failure load of the preceding test was exceeded. For each fibre specimen, a composite curve was constructed from multiple tests. The composite curves and analysis show that strengths of mass-produced Muga and Eri cocoon silk fibres increased from 446 to 618 MPa and from 337 to 452 MPa, respectively. Similarly, their toughness increased from 84 to 136 MJ m(-3) and from 61 to 104 MJ m(-3), respectively. Composite plots produced significantly less inter-specimen variations compared to values from single tests. The fibres with reduced flaws as a result of retests in the tested section have a tensile strength and toughness comparable to naturally spun dragline spider silk with a reported strength of 574 MPa and toughness of 91-158 MJ m(-3), which is used as a benchmark for developing high-performance fibres. This retesting approach is likely to provide useful insights into discrete flaw distributions and intrinsic mechanical properties of other fatigue-resistant materials.

On the use of panel cointegration tests in energy economics

There is a burgeoning literature based on using panel cointegration techniques to study the relationship between energy consumption and GDP. Most panel cointegration tests employed take no cointegration as the null hypothesis. The current paper illustrates how a rejection by such a test cannot be taken as evidence of cointegration for the panel as a whole, a fact that seems to have gone largely unnoticed in the literature. Hence, even if the no cointegration null is rejected, this evidence is not enough to ensure that the relationship can be meaningfully estimated, as most (if not all) estimators in the literature require that the panel is cointegrated as a whole.

Panel cointegration tests of the sustainability hypothesis in rich OECD countries

This study reexamines the sustainability hypothesis by testing whether government revenues and expenditures for eight rich OECD countries between 1977Q1 and 2005Q4 are cointegrated. For this purpose, a nonstationary panel data approach is adopted, which is general enough to permit for cross-country dependence as well as structural breaks representing major shifts in fiscal policy. In contrast to many earlier studies, the results reported in this study suggest that the sustainability hypothesis cannot be rejected. © 2010 Taylor & Francis.

New tools for understanding the local asymptotic power of panel unit root tests

Abstract Motivated by the previously documented discrepancy between actual and predicted power, the present paper provides new tools for analyzing the local asymptotic power of panel unit root tests. These tools are appropriate in general when considering panel data with a dominant autoregressive root of the form ^ρi=1+^ciN-^κT-^τ, where i=1,...,N indexes the cross-sectional units, T is the number of time periods and ^ci is a random local-to-unity parameter. A limit theory for the sample moments of such panel data is developed and is shown to involve infinite-order series expansions in the moments of ^ci, in which existing theories can be seen as mere first-order approximations. The new theory is applied to study the asymptotic local power functions of some known test statistics for a unit root. These functions can be expressed in terms of the expansions in the moments of ^ci, and include existing local power functions as special cases. Monte Carlo evidence is provided to suggest that the new results go a long way toward bridging the gap between actual and predicted power.

Panel bootstrap tests of slope homogeneity

This paper proposes two bootstrap-based tests that can be used to infer whether the individual slopes in a panel regression model are homogenous. The first test is suitable when wanting to infer the null of homogeneity versus the general alternative, while the second is suitable when wanting to infer the units of the panel that can be pooled. Both approaches are shown to be asymptotically valid, a property that is verified in small samples using Monte Carlo simulation.

Nonparametric rank tests for non-stationary panels

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic heterogeneity among the units of the panel, provided simply that a joint functional central limit theorem holds for the panel of differenced series. We provide a discussion of the relationships between our setting and the settings for which first- and second generation panel unit root tests are designed. In Monte Carlo simulations we illustrate the small-sample performance of our tests when they are used as panel unit root tests under the more restrictive DGPs for which panel unit root tests are typically designed, and for more general DGPs we also compare the small-sample performance of our nonparametric tests to parametric rank tests. Finally, we provide an empirical illustration by testing for income convergence among countries.

The effect of recursive detrending on panel unit root tests

This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend. A new test statistic is proposed whose asymptotic behavior under the unit root null hypothesis, and the simplifying assumptions of a polynomial trend and iid errors are shown to be surprisingly simple. Indeed, the test statistic is not only asymptotically independent of the true trend polynomial, but also is in fact unique in that it is independent also of the degree of the fitted polynomial. However, this invariance property does not carry over to the local alternative, under which it is shown that local power is a decreasing function of the trend degree. But while power does decrease, the rate of shrinking of the local alternative is generally constant in the trend degree, which goes against the common belief that the rate of shrinking should be decreasing in the trend degree. The above results are based on simplifying assumptions. To compensate for this lack of generality, a second, robust, test statistic is proposed, whose validity does not require that the trend function is a polynomial or that the errors are iid.

Pooled panel unit root tests and the effect of past initialization

This paper analyzes the role of initialization when testing for a unit root in panel data, an issue that has received surprisingly little attention in the literature. In fact, most studies assume that the initial value is either zero or bounded. As a response to this, the current paper considers a model in which the initialization is in the past, which is shown to have several distinctive features that makes it attractive, even in comparison to the common time series practice of making the initial value a draw from its unconditional distribution under the stationary alternative. The results have implications not only for theory, but also for applied work. In particular, and in contrast to the time series case, in panels the effect of the initialization need not be negative but can actually lead to improved test performance.

Panel cointegration tests of the Fisher effect

Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to the low power of univariate tests, and that the use of panel data can generate more powerful tests. For this purpose, we propose two new panel cointegration tests that can be applied under very general conditions, and that are shown by simulation to be more powerful than other existing tests. These tests are applied to a panel of quarterly data covering 20 OECD countries between 1980 and 2004. The evidence suggest that the Fisher effect cannot be rejected once the panel evidence on cointegration has been taken into account. Copyright © 2008 John Wiley & Sons, Ltd.

A note on the pooling of individual panic unit root tests

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness is verified through simulations. © 2009 Cambridge University Press.

New simple tests for panel cointegration

In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples. Copyright © Taylor & Francis, Inc.