Panel Seasonal Unit Root Test: Further Simulation Results and An Application to Unemployment Data
Christian Dreger, Hans-Eggert Reimers
AStA - Advances in Statistical Analysis,
No. 3,
2005
Abstract
In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specifications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.
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Panel Seasonal Unit Root Test With An Application for Unemployment Data
Christian Dreger, Hans-Eggert Reimers
IWH Discussion Papers,
No. 191,
2004
Abstract
In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for di®erent deterministic and dynamic specications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in
industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.
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Investment, Financial Markets, New Economy Dynamics and Growth in Transition Countries
Albrecht Kauffmann, P. J. J. Welfens
Economic Opening Up and Growth in Russia: Finance, Trade, Market Institutions, and Energy,
2004
Abstract
The transition to a market economy in the former CMEA area is more than a decade old and one can clearly distinguish a group of relatively fast growing countries — including Estonia, Poland, the Czech Republic, Hungary and Slovenia — and a majority of slowly growing economies, including Russia and the Ukraine. Initial problems of transition were natural in the sense that systemic transition to a market economy has effectively destroyed part of the existing capital stock that was no longer profitable under the new relative prices imported from world markets; and there was a transitory inflationary push as low state-administered prices were replaced by higher market equilibrium prices. Indeed, systemic transformation in eastern Europe and the former Soviet Union have brought serious transitory inflation problems and a massive transition recession; negative growth rates have continued over many years in some countries, including Russia and the Ukraine, where output growth was negative throughout the 1990s (except for Russia, which recorded slight growth in 1997). For political and economic reasons the economic performance of Russia is of particular relevance for the success of the overall transition process. If Russia would face stagnation and instability, this would undermine political and economic stability in the whole of Europe and prospects for integrating Russia into the world economy.
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Excessive wage increases dampen capital spending
Klaus Weyerstraß
Wirtschaft im Wandel,
No. 16,
2003
Abstract
Considering the debate about the opposite effects of rising wages for employee’s income and employer’s costs, the relationship between wage changes and investment is being investigated on an econometric basis for the years 1971 to 2003. The results show that the dynamics of investment activity slows down as real wages rise more than productivity increases.
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Incentive effects of unemployment benefits on job searches
Hilmar Schneider, Olaf Fuchs
Wirtschaft im Wandel,
No. 11,
2000
Abstract
Economic theory predicts that an anticipated cut of the replacement ratio in the future affects the search intensity at all dates previous to the cut. This effect is illustrated by simulating the dynamics of the reservation wage for different time profiles of the replacement ratio with a simple calibrated search model.
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Innovative Milieux: Advanced Posts of Interpenetration between the Economic System and the Science System
Peter Franz
IWH Discussion Papers,
No. 71,
1998
Abstract
A growing number of governments, political parties, and enterprises set the theme „innovation“ on their agenda and join in the global race to more competitive national economies. In this race the concept of the „innovative milieu“ serves as an important point of orientation and as a political target that, on the first glance, seems to be transferable in concrete political measures. A basic feature of innovative milieux is the quick and easy transfer of knowledge to products in demand. This speed-up in the diffusion of knowledge is not only interesting with respect to the economic advantages but also with respect to science. It is the basic thesis of this paper that innovative milieux represent special cases where the economic system and the science system interpenetrate in an extreme way. Empirical findings show that the actors of innovative milieux have a strong cultural proximity to basic attitudes and behavior within the science system. This relates to the institutionalization of trial and error, the reinforcement of exploratory behavior, the flow of information, and to a special mixture of cooperation and competition. An essential feature of innovative milieux derives from the network relations of its actors. These relations have to be balanced a) to the need to create trust and reduce uncertainty, and b) to the need to stay permeable enough for linkages with new actors from outside. With regard to time innovative milieux have to be conceived from an evolutionary perspective. This involves several steps: Development of prerequisites, consolidation, attraction of labor and enterprises from other regions. From the evolutionary perspective, too, possible factors of preventing or accelerating the „entropic death“ (Camagni 1991) of innovative milieux can be discussed. The exceptional character of innovative milieux has consequences for innovation-oriented political strategies. The self-enforcing dynamics of innovative milieux create a tendency to more economic inequality between regions (core-periphery differences). This is contradictory to political strategies in which innovation-oriented policy is applied to reach an offset between prospering and impoverished regions. In many cases a strategy starting from the assumption of an enduring non-innovative milieu seems to be more realistic and more promising. Further on, the new more direct links between enterprises and research institutes question the current shape of technology transfer institutions. Finally the potential effects of the new trend to encourage the entrepreneurship of research staff on the science system are discussed.
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