Browsing by Author "Westerlund, Joakim"

Now showing 1 - 7 of 7

Are Crime Rates Really Stationary?
(2009-09-11T08:32:35Z) Westerlund, Joakim; Blomquist, Johan
Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from 1975 to 2008. The results suggest that the four crime types considered are non-stationary, and that this cannot be attributed to county specific disparities, but rather that it is due to a small number of common stochastic trends to which clubs of counties tend to revert. The results further suggest that these trends can be given an macroeconomic interpretation. These findings are consistent with recent theoretical models predicting that crime should be dependent across both time and counties.
Myths and Facts about Panel Unit Root Tests
(2009-09-11T08:26:35Z) Westerlund, Joakim; Breitung, Jörg
This paper points to some of the common myths and facts that have emerged from 20 years of research into the analysis of unit roots in panel data. Some of these are wellknown, others are not. But they all have in common that if ignored the effects can be very serious. This is demonstrated using both simulations and theoretical reasoning.
Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
(2009-09-11T08:04:50Z) Westerlund, Joakim; Costantini, Mauro; Narayan, Paresh; Popp, Stephan
Some unit root testing situations are more difficult than others. In the case of quarterly industrial production there is not only the seasonal variation that needs to be considered but also the occasionally breaking linear trend. In the current paper we take this as our starting point to develop three new seasonal unit root tests that allow for a break in both the seasonal mean and linear trend of a quarterly time series. The asymptotic properties of the tests are derived and investigated in small-samples using simulations. In the empirical part of the paper we consider as an example the industrial production of 13 European countries. The results suggest that for most of the series there is evidence of stationary seasonality around an otherwise nonseasonal unit root.
The Tax-Spending Nexus: Evidence from a Panel of US State- Local Governments
(2009-09-11T08:14:07Z) Westerlund, Joakim; Mahdavi, Saeid; Firoozi, Fathali
We re-examine the tax-spending nexus using a panel of 50 US state-local government units between 1963 and 1997. We find that, unlike tax revenues, expenditures adjust to revert back to a long-term equilibrium relationship. The evidence on the short-term dynamics is also consistent with the tax-and-spend hypothesis. One implication of this finding is that the size of the government at the state-local level is not determined by expenditure demand, but rather by resource supply. This is consistent with the fact that many US state and local governments operate under constitutional or legislative limitations that seek to constrain deficits.
Testing for a Unit Root in a Random Coefficient Panel Data Model
(2009-10-01T07:54:26Z) Westerlund, Joakim; Larsson, Rolf
This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.
Testing for Unit Roots in Panel Time Series Models with Multiple Breaks
(2009-09-29T09:06:11Z) Westerlund, Joakim
This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.
Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
(2009-09-11T08:20:42Z) Westerlund, Joakim; Narayan, Paresh
In search for more efficient unit root tests in the presence of GARCH, some researchers have recently turned their attention to estimation by maximum likelihood. However, although theoretically appealing, the new test is difficult to implement, which has made it quite uncommon in the empirical literature. The current paper offers a panel data based solution to this problem.