A simple panel stationarity test in the presence of serial correlation and a common factor

Hadri, Kaddour; Kurozumi, Eiji

doi:10.1016/j.econlet.2011.11.036

Cited by 213 publications

(149 citation statements)

References 14 publications

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“…In three different models in which each indicator represents financial deepening, the common dependent variable was GDP percapita, and common control variables were consumer price index, openness rate and government final expenditure to GDP. As there is cross-section dependence among the countries in the sample, econometric analysis was conducted with Hadri-Kurozumi (2012) (2008) co-integration test, which helps detect the long-term relationship among series that are statinary at different levels, was conducted. The Durbin-Hausman group test results of this method indicated that there is a long-term relationship between financial deepening and economic growth in some countries in the panel.…”

Section: Resultsmentioning

confidence: 99%

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Financial Deepening and Economic Development in MENA Countries: Empirical Evidence from the Advanced Panel Method

Özşahin¹,

Uysal²

2017

IJEF

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This study analyses the effect of financial deepening on economic development in 12 MENA countries for the period between 2000 and 2014. Using three financial deepening indicators which are widely used in the literature, an econometric analysis was conducted through co-integration and estimation methods which take cross-sectional dependence into account. A long-term relationship between variables was revealed with Westerlund (2008) Durbin-Hausman panel co-integration test, and then, long-term coefficients were obtained using Pesaran (2006) CCE (Common Correlated Errors) estimator. Empirical findings point to a positive relationship between financial deepening indicators -domestic credit to private sector, domestic credit provided by private sector, and liquid liabilities of the financial system ratio -and economic development. With this study, it was shown that the domestic credit to private sector causes economic growth for five countries, domestic credit provided by financial sector causes economic growth for one country, and liquid liabilities of the financial system causes economic growth for four countries.

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Section: Resultsmentioning

confidence: 99%

“…Based on these findings, it can be concluded that there is cross-sectional dependence in the panel that underlies our study and country coefficients are homogeneous. The analyses continued with Hadri and Kurozumi (2012) unit root test, which takes cross-sectional dependence into account for stationary analysis.…”

Section: Ijefccsenetorgmentioning

confidence: 99%

Financial Deepening and Economic Development in MENA Countries: Empirical Evidence from the Advanced Panel Method

Özşahin¹,

Uysal²

2017

IJEF

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“…When being assumed in first generation panel unit root tests that all the units affected at the same rate from a shock happened just in one section; accepted in second generation panel unit root tests that each unit effects at different ratios from the same shock. Within this scope, the first generation panel unit root tests (Hadri 2000, Levin et al, 2002, Im et al, 2003, Breitung 2005 do not provide consistent results in case of being the cross section dependence; and the second generation panel unit root tests allow for (Taylor and Sarno 1998, Breuer et al, 2002, Pesaran 2007, Hadri and Kurozumi, 2012, the cross section dependence should be used. Consequently, in panel data studies, the cross section dependence in cointegration equation of the model or series in the model should be analyzed before estimating the models, then the unit root and the following tests used in analyses should be specified.…”

Section: Research In Applied Economicsmentioning

confidence: 99%

The Effects of Inward and Outward Foreign Direct Investments on Economic Growth: Evidence from the G-7 and Selected Emerging Market Economies (1994-2015)

Yalçınkaya

Aydın

2017

RAE

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In this study, the long termed effects of foreign direct (capital) investments inflows and outflows on the economic growth of the economies of developed G-7 countries where the capital mobility is intense and selected emerging market economies (Brazil, China, India, Mexico, Russia, South Africa and Turkey (EME-7)) are empirically analyzed for the period of 1994-2015 within the scope of the new generation panel data methodology. From this aspect, it is also aimed to economically analyze whether the foreign direct investments inflows and outflows in countries of G-7 and EME-7 have an effect on the economic growth as is seen in the theoretical framework by being considered the capital exporter/importer positions of these countries. Determined in consequence of the study that foreign direct investments inflows/outflows in the countries of G-7 have a positive and statistically significant effect on economic growth in the long term. Also determined that the foreign direct investments inflows have a positive and statistically significant effect on economic growth in countries of EME-7; while the foreign direct investments outflows have not the same effect on the economic growth. These results which are consonant with the theoretical and empirical literature show that just both foreign direct investments inflows and outflows have a significant role in economic growth on G-7 countries; just foreign direct investments inflows have an important role in economic growth on EME-7 countries at the same time.

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“…In this study, the effect of macroeconomic uncertainty proxied by growth volatility, inflation volatility, exchange rate volatility, and interest volatility was analyzed by panel data analysis. The cross-sectional dependence among the series and homogeneity of the slope coefficients were analyzed by Breusch and Pagan (1980) Hadri and Kurozumi (2012) considering the existence of cross-sectional dependence and homogeneity. Random Effects Model (REM) was selected in the light of pretests of Breusch-Pagan (1980), Chow (1960) and Hausman (1978) tests.…”

Section: Econometric Model and Methodsmentioning

confidence: 99%

The Effect of Macroeconomic Uncertainty on Firm Profitability: A Case of BIST Non-Metallic Mineral Products Sector

Bayar¹,

Ceylan²

2017

Pressacademia

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Purpose-The aim of this study is to analyze the impact of macroeconomic uncertainty on Return on Assets (ROA) and Return on Operating Profits (ROAF) by employing panel data analysis within the sample of Borsa Istanbul Non-Metallic Mineral Products sector for the period of 2003:Q1-2016:Q4. Methodology-Firstly; volatility levels of exchange rate, interest rate, inflation rate and growth rate were determined by Generalized Autoregressive Conditional Heteroscedasticity (GARCH) modelling. Then, the relationship between uncertainty and profitability were examined by panel data analysis. Findings-Our findings revealed that growth volatility, exchange rate volatility, and interest volatility had a negative effect on both return on assets (ROA) and operating profit (ROAF). Conclusion-Macroeconomic uncertainty has potential to affect the firm profitability through firm decision-making. The findings of this were consistent with relevant theoretical and empirical literature. In this regard, establishing and sustaining a stable macroeconomic environment is of great importance for firm profitability and in turn achieving a sustainable growth and lower unemployment rates.

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A simple panel stationarity test in the presence of serial correlation and a common factor

Cited by 213 publications

References 14 publications

Financial Deepening and Economic Development in MENA Countries: Empirical Evidence from the Advanced Panel Method

Financial Deepening and Economic Development in MENA Countries: Empirical Evidence from the Advanced Panel Method

The Effects of Inward and Outward Foreign Direct Investments on Economic Growth: Evidence from the G-7 and Selected Emerging Market Economies (1994-2015)

The Effect of Macroeconomic Uncertainty on Firm Profitability: A Case of BIST Non-Metallic Mineral Products Sector

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