Unit roots in periodic autoregressions

Abstract. This paper analyzes the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant-parameter model

Exports and Property Prices in France: Are They Connected?

We argue that resource reallocation from the exporting to the construction sector triggered by fast rising property prices hindered France to meet world export demand vis-à-vis its products. Our econometric analysis shows that the resource reallocation argument helps explain French export performance between the early 2000s and 2007, unexplained by traditional models. This result is confirmed for a set of OECD countries that experienced a marked decline in their export performance and sustained realestate boom after 2000.http://deepblue.lib.umich.edu/bitstream/2027.42/132997/1/wp985.pd

Do dividends signal future earnings in the Nordic stock markets?

We study the informational content of dividends on three Nordic civil law markets, where other simultaneous but blurring motives for dividends may be weaker. Using aggregate data on real earnings per share and payout ratios, long time series from 1969 to 2010, and methodologies which address problems of endogeneity, non-stationarity and autocorrelation (including a Vector Error Correction Model approach), we find evidence on dividend signaling in Nordic markets. However, we also find heterogeneity in the relationship between dividends and earnings on markets similar in many respects, suggesting that even small variations in the institutional surroundings may be important for the results

Efficiency Of Foreign Exchange Markets: A Developing Country Perspective

This study tests weak and semi-strong form efficiency of the foreign exchange market in Sri Lanka during the recent float using six bilateral exchange rates. Weak-form efficiency is examined using unit root tests while semi-strong form efficiency is tested using cointegration, Granger causality tests and variance decomposition analysis. Results indicate that the Sri Lankan foreign exchange market is consistent with the weak-form of the efficient market hypothesis (EMH). However, the results provide evidence against the semi-strong version of the EMH. These results have important implications for government policy makers and participants in the foreign exchange market of Sri Lank