the effects of additive outliers on tests for unit roots and cointegration this article discusses the properties of the univariate dickey fuller test and the johansen test for the cointegrating rank when there exist additive outlying observations in the time series we provide analytical as well as numerical evidence that additive outliers may produce spurious stationary hence the dickey fuller test will reject a unit root too frequently and the johansen test will indicate too many cointegrating vectors the results easily generalize to models with temporary change outliers through an empirical example we discuss how additive and temporary change outliers can be detected in practice and we show how dummy variables can be used to remove the influence of such extreme observations

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

the cyclical component of u s economic activity quarterly data on industrial production and deflated gross national product in the united states from 1947 through 1985 are decomposed into independent nonstationary trend and stationary cycle components using kalman filtering and smoothing techniques estimates of the model parameters imply that at least half of the quarterly innovation in u s economic activity can be attributed to a stationary cyclical component that persists over periods of time as long as five years this finding is inconsistent with the hypothesis that most of the apparent variation in u s economic activity can be attributed to a nonstationary trend component

new evidence on purchasing power parity from 17 oecd countries there is a large literature that investigates whether or not real exchange rates are stationary in an attempt to unravel support for purchasing power parity ppp at best the empirical results are mixed this paper applies a unit root test that allows for a simultaneous structural break in the intercept and slope shown by sen 2003 to minimize power distortions to examine ppp for 17 oecd countries our results on ppp are mixed when the real exchange rate is based on the us dollar evidence is found of ppp for only france portugal and denmark when the real exchange rate is based on the deutschmark we find evidence of ppp for austria belgium norway spain netherlands switzerland and denmark

are output growth rate distributions fat tailed some evidence from oecd countries this work explores some distributional properties of aggregate output growth rate time series we show that in the majority of oecd countries output growth rate distributions are well approximated by symmetric exponential power densities with tails much fatter than those of a gaussian fat tails robustly emerge in output growth rates independently of i the way we measure aggregate output ii the family of densities employed in the estimation iii the length of time lags used to compute growth rates we also show that fat tails still characterize output growth rate distributions even after one washes away outliers autocorrelation and heteroscedasticity

further investigation of the uncertain trend in us gdp the presence of deterministic or stochastic trend in us gdp has been a continuing debate in the literature of macroeconomics ben david and papell 1995 found evidence in favour of trend stationarity using the secular sample of maddison 1991 more recently murray and nelson 2000 correctly criticized this finding arguing that the maddision data are plagued with additive outliers ao which bias inference towards stationarity hence they propose to set the secular sample aside and conduct inference using a more homogeneous but shorter time span post wwii sample in this article we re visit the maddison data by employing a test that is robust against ao s our results suggest the us gdp can be modelled as trend stationary process

the great depression and output persistance the persistence of shocks to aggregate output has been the subject of continuing investigation since nelson and plosser 1982 suggested they are largely permanent recent literature reaches mixed conclusions largely due to disagreement about how to treat the great depression we estimate output persistence based on a parametric bootstrap of a markov switching model for gdp 1870 1994 in which the economy can switch in and out of a turbulent state our results suggest that real shocks persist indefinitely if we drop the maintained assumption of homoskedasticity in favor of a markov switching representation of the great depression

shifting trends segmented trends and infrequent permanent shocks abstract a stochastic trend model is considered in which permanent shocks occur infrequently and randomly we show that this model is observationally equivalent to shifting segmented deterministic trend models moreover we show that standard full sample time series methods are incapable of distinguishing between small frequent permanent shocks and large infrequent permanent shocks an outlier search however reveals substantial evidence of large infrequent shocks to the gnp deflator and that these shocks account for most of the persistence in the gnp deflator for real gnp evidence of infrequent permanent shocks is weaker

trends and random walks in macroeconomic time series a re examination in their 1982 article c r nelson and c i plosser provided evidence supporting the existence of an autoregressive unit root in a variety of macroeconomic time series the author reexamines their evidence using small sample distributions for various unit root test statistics these distributions are calculated from specific null and alternative models including median unbiased models that correct for ols coefficient bias estimated from the data contrary to earlier assertions the null and alternative models of many macroeconomic series provide very different characterizations of persistence but cannot be distinguished with unit root tests copyright 1992 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

output growth and its volatility the gold standard through the great moderation this study examines the relationship between u s output growth and its volatility over the period 1876 i to 2012 ii we adjust the data for outliers and structural breaks we employ generalized autoregressive conditional heteroskedasticity garch and exponential garch egarch specifications normality and homoskedasticity appear only in the garch or egarch model that corrects for the outliers when including the break in the mean equation high volatility persistence remains after also accommodating the breaks in the variance equation the integrated garch effect proves spurious either for the symmetric or the asymmetric model finally our empirical results suggest that the finding of higher output growth volatility stimulating output growth and higher output growth reducing its volatility obtained from the symmetric garch in mean garch m model also proves spurious as a result of the emergence of an asymmetric effect our more appropriately specified asymmetric egarch m model suggests positive volatility in mean and level effects in the long period real gross national product series

the impact of twitter sentiment on renewable energy stocks abstract we study the impact of twitter sentiment and sentiment divergence on returns volatility and trading volumes for renewable energy stocks based on daily time series for twitter sentiment and twitter sentiment divergence we estimate var models and evaluate spillovers between sentiment and renewable energy stock pricing and trading we find that whereas twitter sentiment has no sizeable impact on returns volatility or trading volumes twitter sentiment divergence generates feedback effects on volatility and trading volumes our evidence would indicate that the wisdom of the twitter crowd is not substantial in shaping prices and trading for renewable energy companies

the persistence of taiwan s output fluctuations an empirical study using innovation regime switching model in this article we examine the persistence nature of taiwan s aggregate output fluctuations by using the innovation regime switching irs model in which the effect of an innovation may be permanent or transitory depending on an unobservable state variable that follows a first order markov chain by applying the irs model to taiwan s real gdp data we find that during the 1961 to 2000 period 61 39 of the real output shocks are likely to have permanent transitory effects moreover the innovations in the officially identified expansion contraction are more likely to have a permanent transitory effect these results are similar to those found in many studies of us real output fluctuations e g beaudry and koop 1993 kim and nelson 1999 and kuan et al 2005 however we also find that taiwan s output dynamics have changed drastically ever since year 2000 in particular the shocks to real gdp have become more likely to have only transitory effect even during the period of post 2001 iv ex

does real u k gdp have a unit root evidence from a multi century perspective we employ linear and nonlinear unit root tests to examine the stationarity of five multi century historical u k series of real output compiled by the bank of england three series span 1270 to 201

the uncertain trend in u s gdp abstract several recent papers conclude that gdp is trend stationary implying that all shocks are transitory we re examine the evidence in light of test size distortion due to data based lag selection and departures from the maintained hypothesis of temporal homogeneity and find both effects trigger false rejections of the unit root hypothesis when it is true and signal the presence of permanent shifts in trend that did not occur trend stationarity is not supported by the more homogeneous post war data but if imposed implies cycles of implausible duration and pattern 1997 output was 8 below trend

the estimation of prewar gross national product methodology and new evidence the paper develops new methodology for the estimation of prewar gnp taps previously unused data sources and develops new estimates for the periods 1869 1908 and 1869 1928 primary among the new data sources are direct measures of output in the transportation communications and construction sectors and estimates of the consumer price index new measures of real gnp nominal gnp and the gnp deflator are developed the new estimates of real gnp are as volatile on average over the business cycle as the traditional kuznets kendrick series but dampen the amplitude of some cycles while raising the amplitude of others the new estimates of the gnp deflator are distinctly less volatile than the traditional series and in fact no more volatile than those in the postwar period

what do not for profit hospitals maximize abstract massive structural change is occurring in health care provision in the united states significantly reducing the number of not for profit suppliers this trend is fueled in part by government policies to evaluate these policies one must know about the motives of not for profit health care providers the theory of not for profit hospitals suggests buyers may prefer dealing with sellers who are not acting out of avarice yet this theory does not imply the absence of rent seeking motives we formulate a test of not for profit hospitals goals and apply it to hospitals in virginia modeling average revenues as a function of caseload private medicare medicaid charity we identify prices as latent variables by analyzing the response of the estimated private price to exogenous differences in medicare medicaid and charity caseload we reject the hypothesis that not for profit hospitals maximize profits i e maximize rents for a set of agents who control the hospital we also reject pure welfare output maximization these results combined with other evidence we discuss are consistent with the hypothesis that these hospitals consider both profits and output as objectives current us government policies treat all not for profit hospitals as if they were profit maximizers these policies appear to be biased towards reenforcing the trend towards less health care provision from not for profits and our results suggest that this may not be entirely beneficial to consumers

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977