Time Series Tests of Income Convergence with Two Structural Breaks: An Update and Extension

This paper uses newly available long-span data on real per capita incomes from 1900-2001 to test for stochastic convergence in a diverse group of 29 countries. To perform our tests, we utilize the two-break LM unit root test of Lee and Strazicich (2003) and endogenously determine two distinct structural breaks in level and trend for each country. Despite including both OECD and non-OECD countries, we find significant evidence that incomes are stochastically converging. World War II is the most often identified time period of breaks. The results represent slightly more evidence in favor of convergence than reported in the study by Dawson and Sen (forthcoming) using the same sample of countries.

Was There a Structural Break in Barry Bonds’ Bat?

We utilize time series tests to investigate if Barry Bonds’ batting has a deterministic or stochastic trend and to test if structural breaks occur. Bonds’ monthly on base percentage plus slugging percentage (OPS) is examined from 1986 to 2007. We find that Bonds’ OPS is stationary around two level and trend breaks. We find that Bonds’ OPS initially follows a positive trend to the age of 28.9 (June 1993), which coincides roughly with the expected peak performance age (27.6) for a MLB batter as identified by Fair (2008). Following this break, we find that Bonds’ OPS was on a plateau until a second break in September 2000. At this point, at the age of 36.1, Bonds’ OPS jumps up unexpectedly and declines slowly thereafter until his retirement in September 2007 at age 43. Key Words: age-effects, peak performance, baseball, OPS, structural break

Break Point Estimation And Spurious Rejections With Endogenous Unit Root Tests

This paper examines the accuracy of break point estimation using the endogenous break unit root tests of Zivot and Andrews (1992) and Perron (1997). We find that these tests tend to identify the break point incorrectly at one-period behind (TB - 1) the true break point (TB), where bias in estimating the persistence parameter and spurious rejections are the greatest. In addition, this outcome occurs under the null and alternative hypotheses, and more so as the magnitude of the break increases. Consequences of utilizing these endogenous break tests are similar to (incorrectly) omitting the break term Bt in Perron\u27s (1989) exogenous test

Are C02 Emission Levels Converging Among Industrial Countries?

ABSTRACT Time paths of carbon dioxide emissions in twenty-one industrial countries are examined from 1960-1997 to test for stochastic and conditional convergence. Both panel unit root tests and cross-section regressions are performed. Overall, we find significant evidence that C02 emissions have converged

Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks

The endogenous two-break unit root test of Lumsdaine and Papell is derived assuming no structural breaks under the null. Thus, rejection of the null does not necessarily imply rejection of a unit root per se, but may imply rejection of a unit root without break. Similarly, the alternative does not necessarily imply trend stationarity with breaks, but may indicate a unit root with breaks. In this paper, we propose an endogenous two-break Lagrange multiplier unit root test that allows for breaks under both the null and alternative hypotheses. As a result, rejection of the null unambiguously implies trend stationarity. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.