Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy : a note

In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis--vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.

Mean reversion in stock prices: new evidence from panel unit root tests

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices.
Design/methodology/approach – The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t-bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.
Findings – The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.
Research limitations/implications – One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.
Practical implications – The findings have implications for econometric modelling, in particular forecasting.
Originality/value – This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

Language processing and acquisition in languages of Semitic, root-based, morphology / Joseph Shimron

This book addresses a fundamental question in the morphological analysis and representation of Semitic languages—namely, whether Semitic word morphology is root based or word based. As Shimron suggests, “there are reasons to view the templates, not the roots, as the more influential factor in determining Semitic morphology” (p. 5). Yet, as others would argue, there are reasons not to disregard the root-based hypothesis altogether. In the case of Arabic morphology, for example, verbal forms inherently contain three nonlinear levels: the consonantal root, the vowel pattern, and the templatic prosody. This nonlinear feature provided a perfect illustration of what has become termed in the literature as root-and-patterns morphology (McCarthy & Prince, 1986, 1990).

Revisiting the US money demand function: an application of the Lagrange multiplier structural break unit root test and the bounds test for a long-run relationship

In this article, we examine the issue of a levels relationship and stability of the US money demand function over the period 1959:01 to 2004:02. We use the Lagrange multiplier structural break unit root test and the bounds testing approach to a long-run relationship in levels of the variables, namely real money demand, nominal interest rate and real income. We find greater evidence for a long-run relationship in levels and stability of the US money demand function when we use M2 as a proxy for money demand. However, we find little evidence for a long-run relationship between M1 and M2 with their determinants for the recent period, spanning the last decade or so.

Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes. The extant literature has found mixed evidence on the integrational properties of stock prices. In this paper, for the first time, we provide evidence on the unit root hypothesis for G7 stock price indices using the Lagrangian multiplier panel unit root test that allows for structural breaks. Our main finding is that stock prices are stationary processes, inconsistent with the efficient market hypothesis.

Examining the behaviour of visitor arrivals to Australia from twenty different countries : an application of panel unit root tests

Testing for the behaviour of visitor arrivals has important implications for policy, for if visitor arrivals are stationary processes then it implies that shocks to visitor arrivals are transitory. However, if visitor arrivals are found to be characterised by a unit root then this implies that shocks to visitor arrivals are permanent. In this paper we provide the first evidence on the unit root hypothesis for visitor arrivals to Australia using a suite of recently developed panel unit root tests. Our main finding is that visitor arrivals to Australia from twenty tourist source markets and from the G7 markets are mean reverting. implying that any shocks will have only a transitory effect. However; visitor arrivals from eight Asian countries are characterised by a unit root. implying that shocks will have a permanent effect on this market.

Requisite organizational theory : management panacea or a lot of ROT?

This paper sets out to explain and critique the contribution made by Elliott Jaques to organizational and management theory. The attractiveness of the Jaquesian approach to senior managers is considered to be due to its justification for managerial authority, its logical worldview, and its claims of scientific rigour. Ultimately, however, his theoretical framework, today known as requisite organizational theory, despite having been developed from admirable intentions, is deemed to be seriously flawed and potentially dangerous.

Are bilateral real exchange rates stationary? Evidence from Lagrange multiplier unit root tests for India

The paper examines the stationarity of India’s real exchange rate vis-a` -vis 16 of its major trading partner countries for the period 1960–2000. Application of the conventional ADF unit root test, the Lagrange multiplier (LM) unit root test with one structural break, and the LM unit root test with two structural breaks provides evidence that India’s exchange rate vis-a` -vis 15 out of 16 countries is stationary, implying support for purchasing power parity.

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.

Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests

This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.

Production of inulinase from Kluyveromyces marxianus YS-1 using root extract of Asparagus racemosus

Roots of Asparagus racemosus were used as a source of inulin for the production of inulinase from Kluyveromyces marxianus YS-1. Root extract prepared at 10 kg/cm² for 10 min showed the maximum production of inulinase. Various parameters of fermentation have been examined in order to improve overall enzyme yield. Inulinase yield of 40.5 IU/mL in an optimized medium containing inulin (3.5%), beef extract (0.5%), MnSO₄ (0.5 mM), CoCl₂ (0.05 mM), SDS (0.4 mM) and pH 6.5 at 30 °C under agitation (150 rpm) for 60 h has been obtained at shake flask level. After optimization the enzyme production has been increased 6.1 times at flask level. In a bioreactor (working volume 1 L) fermentation medium containing 4% inulin has shown maximum inulinase production (47.3 IU/mL) under optimized parameters of 200 rpm, 0.75 vvm aeration at 30 °C after 60 h.

Spatial ecology of a root parasite : from pattern to process

Occurrence patterns of parasitic plants are constrained by the distribution of suitable hosts and movement patterns of seed vectors and, accordingly, represent a simplified system to study many aspects of spatial ecology and determinants of distribution. Previous work has focused on the aerially hemiparasitic mistletoes, and it is unclear whether root parasites are affected by similar factors. Here, we evaluate spatial patterns in the root parasitic Santalum lanceolatum in an arid shrubland in north-western New South Wales, central Australia. In this region, the principal host is a long-lived nitrogen fixing shrub Acacia tetragonophylla closely associated with ephemeral creek-lines. The location of 765 individuals of both species was mapped along a 250-m section of creek-line using a total survey station, and occurrence patterns of the root parasite related to host distribution and landscape context. We used Ripley's K-function and the O-ring statistic to determine whether the distribution of S. lanceolatum was random, aggregated or regular; the spatial scales at which these patterns occurred; and to quantify any spatial associations between the parasite and its host, A. tetragonophylla. While acacias were closely associated with the creek-line, S. lanceolatum plants were more tightly clustered, displaying significant clustering at two spatial scales (1.2 m and 8.8 m). We suggest that host quality may act as an important constraint, with only those acacias growing in or near the creek-line being physiologically capable of supporting a parasite to maturity. Insights gained from spatial analysis are used to guide ongoing research in this system, and highlight the utility of the O-ring statistic for understanding patterns of distribution affected by multiple processes operating at critical scales.

Are the Australian and New Zealand stock prices nonlinear with a unit root?

Whether or not stock prices are characterized by a unit root has important implications for policy. For instance, by applying unit root tests one can deduce whether stock returns can be predicted from previous changes in prices. A finding of a unit root implies that stock returns cannot be predicted. This paper investigates whether or not stock prices for Australia and New Zealand can be characterized by a unit root process. An unrestricted two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that the stock prices of both countries are nonlinear processes that are characterized by a unit root process, consistent with the efficient market hypothesis.

The structure of tourist expenditure in Fiji : evidence from unit root structural break tests

The central aim of this paper is to investigate whether shocks to Fiji's tourism industry have a permanent effect or a transitory effect on tourist expenditure in Fiji. To accomplish this aim the Zivot and Andrews (1992) one break test and the Lumsdaine and Papell (1997) two break tests are used. The one break and two break tests reveal 1987 - the year of the military coups in Fiji - as the year of the break. Moreover, it is possible to reject the unit root null leading to the conclusion that shocks to Fiji's tourism industry have a transitory effect on tourist expenditure in Fiji.