Unit Root CADF Testing with R

This paper describes CADFtest, an R package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p values of the test.

Are credit constraints in Italy really more binding in the South?

This paper is motivated by a very practical question: are there significant geographical differences in the accessibility to the credit market on the part of Italian households? The investigation is carried using robust probit model. Estimation is carried out in a Bayesian framework. The results are somewhat surprising, showing that the area where households are more likely to be credit constrained is not the South, as could be easily imagined, but rather the highly developed and industrialized North-West.

Covariate Augmented Dickey-Fuller Tests with R

This paper describes CADFtest, a R (R Development Core Team 2008) package for testing for the presence of a unit root in a time series using the Covariate Augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p-values of the test.unit root, stationary covariates, asymptotic p-values, R.

A Simple Panel-CADF Test for Unit Roots

In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p-values combination approach that takes into account cross-section dependence. We show that the test is easy to compute, has good size properties and gives power gains with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen’s CADF test is also a side-contribution of the paper. We also complement Hansen (1995) and Caporale and Pittis (1999) with some new theoretical results. Two empirical applications are carried out for illustration purposes on international data to test the PPP hypothesis and the presence of a unit root in international industrial production indices.Unit root, panel data, approximate p-values, Monte Carlo

A Simple Panel-CADF Test for Unit Roots

In this paper we propose a simple extension to the panel case of the covariate- augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p values combination approach that takes into account cross-section dependence. We show that the test is easy to compute, has good size properties and gives power gains with respect to other popular panel approaches. A procedure to compute the asymptotic p values of Hansen's CADF test is also a side-contribution of the paper. We also complement Hansen (1995) and Caporale and Pittis (1999) with some new theoretical results. Two empirical applications are carried out for illustration purposes on international data to test the PPP hypothesis and the presence of a unit root in international industrial production indices.Unit Root, Panel data, Approximate p values, Monte Carlo

Stochastic convergence among European economies

The aim of this paper is to test the stochastic convergence in real per capita GDP for 15 European countries using non-stationary panel data approaches over the period 1950-2003. Cross-sectional dependence is assumed due to the existence of strong linkages among European economies. However, tests derived under the assumption of cross-sectional independence are also carried out for completeness and comparison. We also split the whole sample into two sub-periods (1950-1976, 1977-2003) in order to take into account the effects of the first oil crisis (1973-1974) and to evaluate the robustness of the statistical analysis. Our results offer little support to the stochastic convergence hypothesis for the whole period, while suggest the presence of convergence in the first sub-period.Convergence

Family Income and Students’ Mobility

This paper investigates the reasons that determine students’ mobility in Italy and tries to explain why in the presence of quality differentials among universities the majority of students choose to remain in their regions of origin. We find that low mobility is related to family income and other financial and background characteristics. Low mobility in turn implies the existence of little competition among universities, and hence little incentive for improvement in either teaching or research. A crucial issue is therefore to evaluate if and how the government may affect this process and improve the supply of higher education quality and the degree of competition among academic institutions.Higher education, University choice, Liquidity constraints

Testing for asymmetry in economic time series using bootstrap methods

In this paper we show that phase-scrambling bootstrap offers a natural framework for asymmetry testing in economic time series. A comparison with other bootstrap schemes is also sketched. A Monte Carlo analysis is carried out to evaluate the size and power properties of the phase-scrambling bootstrap-based test.Asymmetric time series

Beyond National Institutions: Labor Taxes and Regional Unemployment in Italy

By focusing on the Italian experience, we ask whether the relationship between labor taxes and unemployment varies across regions. In spite of similar national labor market institutions, we show that this relationship is significantly stronger in the highly industrialized North than in the under-developed South, where unemployment is much higher. An important source of variation in the regional responsiveness of unemployment originates from the fact that regional gross wages in the North increase more than in the South in response to a hike in labor taxes. Regional wage setting affects regional employment (and unemployment) both directly and indirectly, via its impact on regional profits and the capital stock.Regional unemployment, labor taxes

Unemployment scarring in high unemployment regions

This paper investigates the effect of individual unemployment experiences on re-employment wages. The empirical analysis is carried out on a panel of Italian individuals. The main result is that while in the northern regions the effect is similar to the one estimated for the UK, in the southern area of the country the impact is not significant. We link this result to the particular socio-economic environment in which the unemployment spells are experienced. We argue that this might be due to the fact that in a high unemployment environment individual unemployment experiences are perceived as "normal" and do not necessarily signal poor quality of the worker. This might have effects in inducing the hysteresis of unemployment, and reducing the downward pressure of unemployment on wages at the macro level.