María José Presno

Response surface estimates of stationarity tests with a structural break

Abstract Standard stationarity tests are affected by structural breaks. Therefore, modified tests have been developed including changes in the intercept and/or slope. In this work, response surfaces for a modified stationarity test are estimated allowing the approximation of critical values for different break locations and sample sizes.

Convergence of fiscal pressure in the EU: a time series approach

The study of fiscal convergence in the EU is a relevant issue in the context of economic integration and fiscal harmonization and we report new empirical evidence on this topic using a time series approach. We apply unit root and stationarity tests with an endogenous break for the study of long run, deterministic and stochastic convergence of the national tax burden taking Germany, the United Kingdom and the European average as benchmarks. Only the United Kingdom and Germany show long run convergence and few countries converge despite harmonization efforts and fiscal competition.

Stationarity testing under nonlinear models. Some asymptotic results

Stationarity testing for nonlinear time series models which include several smooth trend components with (possibly) unknown parameters is considered. A pseudo-Lagrange multiplier stationarity test is proposed and its asymptotic behaviour is derived. The limiting null distribution generally depends on the unknown parameters of the model. A bootstrap approach permits this problem to be circumvented and consistency of the bootstrapped test is obtained. The theoretical analysis is complemented with a simulation study which allows us to check the performance of the test in finite samples. The article ends with an empirical application.

Misspecification of the breaking date in series with a change in the growth rate. Effect on the LBI test for stationarity

We study the asymptotic behaviour of the LBI statistic for testing stationarity around a trend with a change in the growth rate when the breaking date is erroneously positioned, showing its divergence. The analysis is completed with Monte Carlo simulations.

Tax Evolution in the EU: A Convergence Club Approach

This paper investigates tax convergence in 15 European Union Members States using annual data from 1975 to 2011. We follow the proposal of Phillips and Sul (2007) to test the convergence club hypothesis, complemented with a preliminary sigma convergence study, and focusing on the tax burden and tax mix with the major OECD subdivisions. Our results suggest sigma convergence in all cases, but to different degrees. We identify convergence clubs, with several clusters in each tax category and differences between the whole sample and the two sub-periods analyzed, namely 1975-1994 and 1995-2011. Key words: Taxation, Sigma convergence, Club convergence, European Union.JEL: C33, E62, H20. U radu se istražuje konvergenciju poreza u 15 zemalja clanica Evropske Unije koristeci godisnje podatke od 1975. do 2011. godine. Pratimo predlog koji su dali Peter C. B. Phillips i Donggyu Sul-a (2007) da testiramo hipotezu konvergencije klasa, upotpunjenu preliminarnom studijom sigma konvergencije i fokusirajuci se na poresko opterecenje i poreske mikseve sa glavnim podelama OECD-a. Nasi rezultati ukazuju na sigma konvergenciju u svim slucajevima, ali u razlicitim stepenima. Možemo identifikovati klase konvergencije, sa nekoliko klastera u svakoj kategoriji poreza i razlike između celog uzorka i dva pod-perioda koja su analizirana, konkretno 1975-1994 i 1995-2011. Kljucne reci: Oporezivanje, Sigma konvergencija, Konvergencija klasa, Evropska Unija.

Stationarity Testing Under Endogenous Smooth Deterministic Components: Some Asymptotic Results

Stationarity testing for time series which include a smooth trend with unknown parameters is considered in this paper. A pseudo-Lagrange Multiplier stationarity test is proposed and its asymptotic null distribution is obtained. The distribution depends on the unknown parameters of the model. Bootstrap techniques permit this problem to be circumvented, and the limiting percentiles of the statistic may be estimated consistently. The proposed procedure can be implemented without computer simulations. The theoretical proposal is complemented with a simulation study which allows us to check the performance of the test in finite samples. The paper ends with an empirical application.

Stationarity Testing under Smooth Transition Trends: Asymptotics Results and Some Empirical Evidence

The effects on the standard LM stationarity test of an incorrect specification of an instantaneous break when the true data generating process displays a logistic trend are analysed via Monte Carlo simulations under three alternative models. A stationarity test is derived for the case of an exogeneously determined smooth transition trend obtaining its asymptotical distribution by the Fredholm approach. Our result permits any continuous and piecewise continuously differentiable sigmoid. An asymptotic power analysis for the proposed test (under logistic transition) is carried out, and results of a number of Monte Carlo simulations, designed with a view to analyse the behavior of the test in finite samples, are reported. The case when the nonlinear parameters are estimated is also considered, with a derivation of the test null asymptotic distribution and some simulations and sensibility analyses. The paper ends with an application to testing stationarity for the Nelson and Plosser (1982) series, and with the comparison of the conclusions for the stationarity of the series with results of previous works.