Using the HEGY Procedure When Not All Roots Are Present

Les fòrmules matemàtiques del resum estan representades en LaTeX.Empirical studies have shown little evidence to support the presence of all unit roots present in the Δ4 filter in quarterly seasonal time series. This paper analyses the performance of the Hylleberg, Engle, Granger and Yoo (1990) (HEGY) procedure when the roots under the null are not all present

The determinants of university patenting: Do incentives matter?

In recent years various studies have examined the factors that may explain academic patents. Existing analyses have also underlined the substantial differences to be found in European countries in the institutional framework that defines property rights for academic patents. The objective of this study is to contribute to the empirical literature on the factors explaining academic patents and to determine whether the incentives that universities offer researchers contribute towards explaining the differences in academic patenting activity. The results of the econometric analysis for the Spanish universities point towards the conclusion that the principal factor determining the patents is funding of R&D while royalty incentives to researchers do not appear to be significant.Patents, University, R&D

The determinants of University patenting: do incentives matter?

In recent years various studies have examined the factors that may explain academic patents. Existing analyses have also underlined the substantial differences to be found in European countries in the institutional framework that defines property rights for academic patents. The objective of this study is to contribute to the empirical literature on the factors explaining academic patents and to determine whether the incentives that universities offer researchers contribute towards explaining the differences in academic patenting activity. The results of the econometric analysis for the Spanish universities point towards the conclusion that the principal factor determining the patents is funding of R&D while royalty incentives to researchers do not appear to be significant

Testing for the cointegration rank between Periodically Integrated processes

Cointegration between Periodically Integrated (PI) processes has been analyzed among other by Birchen- hall, Bladen-Hovell, Chui, Osborn, and Smith (1989), Boswijk and Franses (1995), Franses and Paap (2004), Kleibergen and Franses (1999) and del Barrio Castro and Osborn (2008). However, so far there is not a method, published in an academic journal, that allows us to determine the cointegration rank between PI processes. This paper fills the gap, a method to determine the cointegration rank between a set PI Processes based on the idea of pseudo-demodulation is proposed in the context of Seasonal Cointegration by del Barrio Castro, Cubadda and Osborn (2020). Once a pseudo-demodulation time series is obtained the Johansen (1995) procedure could be applied to determine the cointegration rank. A Monte Carlo experiment shows that the proposed approach works satisfactorily for small samples

Level shifts in a panel data based unit root test. An application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

An analysis of the trade balance for OECD countries using periodic integration and cointegration

We analyze imbalances in external accounts that have historically affected most developed countries. The purpose of this study was to shed some light on the sustainability of the current account for a group of OECD countries by merging the popular Husted (Rev Econ Stat 74(1):159–166, 1992) testing procedure with recent econometric analysis dealing with seasonality. A necessary condition for current account sustainability is that exports and imports are cointegrated. Following previous empirical studies (Husted 1992; Arize in Int Rev Econ Financ 11:101–115, 2002; Hamori in Appl Econ Lett 16:1691–1694, 2009), we analyze the long-run relationship linking exports and imports, using quarterly data. In contrast to these studies, we explicitly deal with seasonal effects through the use of periodic integration and cointegration and find a long-run relationship for the majority of the countries.We thank Denise R. Osborn for her helpful suggestions on a previous version of this paper, and also the constructive comments of two anonymous referees and the editor of the Journal. The authors gratefully acknowledge financial support from MICINN (Projects ECO2011-23934 and ECO2011- 30260-C03-01). The paper has been finished during a stay of C. Tamarit at the University of Goettingen funded by the Spanish Ministry of Education mobility programme (Grant Ref. PRX12/00103). C. Tamarit and M. Camarero are members of INTECO research group funded by Generalitat Valenciana, PROMETEO 2009/098 project as well as the European Commission (Lifelong Learning Program-Jean Monnet Action references 542457-LLP-1-2013-1-ES-AJM-CL and 542434-LLP-1-2013-1-ES-AJM-CL). This publication reflects the views only of the authors, and the Commission cannot be held responsible for any use which may be made of the information contained therein

Testing for Periodic Integration with a Changing Mean

In this paper we extend the test of periodic integration proposed by Boswijk and Franses (J Time Ser Anal 17:221–245, 1996) allowing for a change in the mean. We provide the asymptotic distribution and show that is the square of the distribution obtained by Perron and Vogelsang (J Bus Econ Stat 10:467–470, 1992a, J Bus Econ Stat 10:301–320, 1992b). In a Monte-Carlo experiment we show a good behaviour of the test in terms of size and power. Finally we have illustrated the use of the test in an empirical application to the case of external imbalances in the eurozone.We thank Denise R. Osborn, A. M. Robert Taylor, A. Banerjee and two anonymous referees for helpful and constructive comments on a previous version of this paper