nÃo hà / The thesis consists of three chapters that have in common estimation models for panel data. The first chapter titled "Energy Consumption, GDP per capita and Exports: Evidence of long-term causality in a panel for the Brazilian States" analyzes the order of causality between the variables and then checks the long-term elasticities using the methodology FMOLS. It shows that GDP per capita is caused by their own past achievements, by consumption of electricity and exports. The consumption of electricity and exports, only are not caused by GDP per capita. Through the model FMOLS were estimated elasticities of long-term. The 1% increase in energy consumption and exports increased respectively 0.07% and 0.04 % in GPD per capita. The second chapter, entitled "Sustainability of Health Expenditure and Sanitation in Brazil: an analysis with Panel Data for the period 1985 to 2005" examines the sustainability of Health Expenditure and Sanitation of the states and the Federal District of Brazil, during the period 1985 to 2005. For this, we use the ratio of Expenditure by Function (Health and Sanitation) and GDP. The unit root tests for panel data refute the null hypothesis of presence of the unit root (the stochastic process is stationary) at 5% significance level. Accordingly, we can infer that the policy of health expenditure as a proportion of GDP remained almost stable (sustainable) over the period in question. The third chapter entitled "Formation of Convergence Clubs and Analysis of the Determinants of Economic Growth" support the formation of 10 clubs of convergence for a sample of 112 countries with per capita GPD data from 1980 to 2014 using the Phillips and Sul methodology (2007). Logged clubs and estimated a panel to investigate the impact of macroeconomic variables in the dynamics of economic growth rate through the Arellano and Bond model (1991) showed that: i) Inflation impacts the growth rate negatively, with effect greater for clubs that converge to a higher level of per capita income ii) imports as a proportion of GDP have positive relationship with the growth rate of per capita income for the countries belonging to clubs intermediaries, and a negative effect for other clubs iii) Exports as a proportion of GDP have a positive effect for all clubs, but is more pronounced for clubs that converge to a lower level of income and iv) international reserves have a positive effect for clubs that converge to high levels of income and a negative effect on clubs that converge to low levels of income. / A tese à composta por trÃs capÃtulos que possuem em comum modelos de estimaÃÃo para dados em painel. O primeiro capÃtulo intitulado âConsumo de Energia ElÃtrica, PIB per capita e ExportaÃÃo: Uma evidÃncia de causalidade de longo prazo em um painel para os Estados brasileirosâ analisa a o ordem de causalidade entre as variÃveis e posteriormente verifica as elasticidades de longo prazo atravÃs da metodologia FMOLS. Evidencia-se que o PIB per capita à causado pelas suas prÃprias realizaÃÃes passadas, pelo consumo de energia elÃtrica e pelas exportaÃÃes. Jà o consumo de energia elÃtrica e as exportaÃÃes, apenas nÃo sÃo causados pelo PIB per capita. AtravÃs do modelo FMOLS, estimaram-se as elasticidades de longo prazo. O aumento de 1% no consumo de energia e exportaÃÃes aumenta respectivamente 0,07% e 0,04% no PIB per capita. O segundo capÃtulo, intitulado âSustentabilidade dos Gasto com SaÃde e Saneamento no Brasil: uma anÃlise com Dados em Painel para o perÃodo de 1985 a 2005â examina a sustentabilidade dos gastos com saÃde e saneamento dos Estados e do Distrito Federal brasileiro, durante o perÃodo de 1985 a 2005. Para isso, utiliza-se da razÃo entre a Despesa por FunÃÃo (SaÃde e Saneamento) e o PIB. Os testes de raiz unitÃria para dados em painel refutam a hipÃtese nula de presenÃa de raiz de raiz unitÃria (i.e., o processo estocÃstico à estacionÃrio) ao nÃvel de 5% de significÃncia. Nestes termos, pode-se inferir que a polÃtica de gastos com saÃde como proporÃÃo do PIB praticamente permaneceu estÃvel (i.e., sustentÃvel) ao longo do perÃodo em questÃo. O terceiro capÃtulo intitulado âFormaÃÃo de Clubes de ConvergÃncia e AnÃlise dos Determinantes do Crescimento EconÃmicoâ sustenta a formaÃÃo de 10 clubes de convergÃncia para uma amostra de 112 paÃses com dados do PIB per capita de 1980 a 2014 atravÃs da metodologia Phillips e Sul (2007). Identificados os clubes e estimado um painel para verificar o impacto de variÃveis macroeconÃmicas na dinÃmica da taxa de crescimento econÃmico atravÃs do modelo Arellano e Bond (1991), evidenciou-se: i) A inflaÃÃo impacta a taxa de crescimento de forma negativa, com efeito maior para clubes que convergem para um nÃvel de renda per capita mais elevado; ii) As importaÃÃes como proporÃÃo do PIB possuem relaÃÃo positiva com a taxa de crescimento da renda per capita para os paÃses pertencentes a clubes intermediÃrios, e efeito negativo para os clubes do extremo; iii) As exportaÃÃes como proporÃÃo do PIB possuem efeito positivo para todos os clubes, porÃm à mais acentuado para clubes que convergem para um nÃvel de renda mais baixo e; iv) As reservas internacionais possuem efeito positivo para clubes que convergem para elevados nÃveis de renda e efeito negativo para os clubes que convergem para baixos nÃveis de renda.

Esta tese teve por objetivo central verificar, estatÃstica e analiticamente, o impacto da abertura econÃmica sobre os respectivos graus de abertura, correlacionando, por outro lado, estes resultados com as polÃticas econÃmicas adotadas. Do ponto de vista estatÃstico, a anÃlise centrou-se na identificaÃÃo da ocorrÃncia ou nÃo de quebra estrutural nas sÃries de comÃrcio internacional (ExportaÃÃo/PIB e ImportaÃÃo/PIB) dos principais paÃses da AmÃrica Latina, no perÃodo de 1974 a 2003. Para tanto, foram utilizadas as metodologias de determinaÃÃo endÃgena de quebra de Vogelsang (1997), da estacionaridade das sÃries/erros, os testes ADF e URB (2002) e o filtro de Hodrick-Prescott, mediante a funÃÃo de mudanÃa exponencial. Comprovou-se empiricamente, a relevÃncia da metodologia aqui desenvolvida para testar a estacionaridade de uma sÃrie com quebra utilizando o teste URB e de Vogelsang, seqÃencialmente e em conjunto. O tamanho do trimming nÃo influenciou fortemente os resultados, conforme previsto por Vogelsang (1997). Considerando primeiramente as sÃries de comÃrcio, a maioria delas apresentou quebra estrutural estatisticamente significante nas suas trajetÃrias; raiz unitÃria; tendÃncia quadrÃtica; variaÃÃo positiva das mÃdias de comÃrcio pÃs-quebra em relaÃÃo Ãs prÃ-quebra; crescimento das exportaÃÃes, na dÃcada de 1990, quatro vezes superior Ãs das trÃs dÃcadas do modelo ISI. A maior incidÃncia das datas de quebras ocorreu entre o limiar da dÃcada de 1980 e o inÃcio da de 1990. No caso das exportaÃÃes, em face da consolidaÃÃo do processo de liberalizaÃÃo, e no das importaÃÃes, em virtude da reduÃÃo drÃstica das barreiras tarifÃrias e nÃo tarifÃrias. Dentre os benefÃcios da liberalizaÃÃo para a regiÃo pode-se destacar a estabilizaÃÃo econÃmica, reduÃÃo da inflaÃÃo, melhora do balanÃo de pagamentos, principalmente nos Ãltimos anos; aumento do Ãndice de mudanÃa estrutural do valor agregado de manufaturas comparativamente ao perÃodo de ISI. Em termos das trajetÃrias da medida de abertura [(ExportaÃÃo + ImportaÃÃo) /PIB/ (PIB)], algumas datas de quebra apresentaram resultados que indicam a possÃvel existÃncia de efeitos de potencializarÃo ou de neutralizaÃÃo de uma sÃrie sobre a outra. No caso da medida de abertura do Brasil, o estudo baseou-se nas freqÃÃncias anual, trimestral e mensal. O filtro de Hodrick-Prescott foi determinante na avaliaÃÃo das datas de quebra. Na freqÃÃncia anual, a mesma data de quebra foi encontrada pelas metodologias do Teste de Vogelsang (1997), o de Sachs & Warner (1995) e Wacziarg & Welch (2003) e Hodrick-Prescott, ou seja, 1990, que coincide com a primeira fase do processo de liberalizaÃÃo brasileira. Em termos das freqÃÃncias trimestrais e mensais, a data de quebra encontrada em ambas foi 1998, data em que a taxa anual mÃdia de crescimento das importaÃÃes brasileiras foi quase duas vezes maior do que a do comÃrcio internacional. Atribuiu-se a suavidade da reversÃo da tendÃncia como razÃo para a diferenÃa nas datas de quebra quando se muda a freqÃÃncia. / The main purpose of this thesis is to verify statistical and analytically the economic openness impacts regarding their openness degree in comply with the economic politics results. In light of the substantial movement towards trade liberalization during 80â decade, statistical analysis aimed to identify structural breaks at international trade series (Export/GDP and Import/GDP) of the Latin Americaâs main countries, from 1974 up to 2003. Considering methodologies, it was used Vogelsangâs test (1997) to determine endogenous breaks; ADF and URB (2002) tests were used to classify series/erros in terms of stationarity and the Hodrick-Prescott filter, using the exponential shift function. In this thesis was developed a methodologyâs adaptation to test erros stationarity in a break structural context, using URB and Vogelsang tests together and sequentially which has showed a good performance. Confirming Vogelsangâs prediction (1997), trimmingâs size does not affect strongly the results. Considering first the trade ratios, most of them exhibited a structural break statistically significant in their paths; unit root; quadratic trend; average postbreak trade exceeded average prebreak trade for the majority of countries; 90â export growth exceeded four times ISI three decades performance. In general, statistically significant break dates took place ending 80â or beginning 90â, for exporting it happened due to consolidation of the liberalization process consolidation and regarding imports it was due to the tariffs and non tariffs barriers strongly reduction. Among the liberalizationâs benefits to the region were economic stabilization; lowered inflation; balance-of-payments improvement, mainly during last years; increased manufacturing value-added structural change index comparing to the ISI period. In terms of openness measure paths [(export + import)/(PIB)], it was identified some potentialized and/or neutralized effects of one series over the other at openness degreeâs break dates. At brazilianâs openness measure case, the study was based on annual, quarterly and monthly frequencies and using Hodrick-Prescott filter were significantly important in analysing those break dates. Concerning annual frequency same breaking date founded by Vogelsangâs (1997); Sachs & Warnerâs (1995) and Wacziarg & Welchâs (2003) and Hodrick-Prescott methodologies, that was 1990, coincidentally refers to the first brazilian liberalizationâs phase. In terms of quarterly and monthly frequencies breaking date results were both 1998. Reasons for difference in the time breaks frequencies results were based on tendency reversion smoothness. Besides it was possible to identify only through the filter. Besides it, at this date brazilian import growth were almost twice comparing to the world import growth.

配對交易策略為一被廣為使用的交易策略，其特性為使用數個關聯性高的資產同時建立多空部位，藉此消除大部分的市場風險，賺取與市場趨勢無關聯性的報酬；本研究欲探討共整合法配對交易策略應用於兩類標的資產上之可行性及其功效:台灣證券交易所掛牌的6檔陸股ETF、以及COMEX黃金期貨與CME日幣期貨之組合。本研究使用之配對交易策略應用於6檔陸股ETF大部分參數設定下可獲得正報酬，獲利性卻不如預期，且共整合性質較佳之配對無法保證其交易績效亦較佳；COMEX黃金期貨及CME日幣期貨雖相對共整合性質不佳，仍以原策略測試可獲得較優秀的績效，此結果顯示共整合法配對交易策略於兩類資產上可行性皆不高，而配對交易策略於黃金、日幣組合上可能仍有其功效，尚須以不同方法進行驗證。 / Pairs trading strategy is one kind of market neutral strategy which take both long and short positions in two or more highly correlated assets. By doing this pairs trading strategy can eliminate market risk and make profits which are not correlated with market trends. This paper aims to figure out if pairs trading strategy work well on China ETFs listed in TWSE and the COMEX gold-CME yen future pair. We use the cointegration approach to test and simulate trading performance on the securities mentioned. The result shows that pairs trading strategy profit on China ETFs under most of the parameters, but the returns are insufficient. Furthermore, good cointegration property in the input periods can’t guarantee better performances in the outputs periods. For COMEX gold future and CME yen future, cointegration property in the input periods are worse than China ETFs, but using the same strategy we find a more profitable outcome. The empirical result indicate that pairs trading strategy might still work on gold and yen, but the cointegration approach is not suitable for these two groups of assets.

Les pays africains de la zone CFA ont connu ces dernières années de multiples transformations économiques d'une part à travers les mesures initiées par les bailleurs de fonds bilatéraux et multilatéraux et d'autre part à travers les politiques d'intégration économique et monétaire. Ainsi, en partant de l'hypothèse selon laquelle du fait de ces nombreuses interventions, ces systèmes économiques incorporent divers phénomènes tels que les changements structurels et les dépendances inter-économies, nous avons étudié leurs principales implications sur la croissance, la convergence et la prévisibilité du taux de croissance. L'accent est d'abord mis sur les traits majeurs des politiques d'intégration dans le cadre d'une union monétaire tout en soulignant les éventuelles incidences de telles politiques sur la dynamique économique des pays membres principalement en termes de modélisation économétrique de la croissance et de la convergence. Les différentes études réalisées sur la base d'outils économétriques adaptés ont permis d'aboutir à des résultats nouveaux relatifs au processus de croissance et de convergence de ces économies comparativement à ceux basés sur les outils classiques de modélisation économétrique. Il ressort également de cette étude que la présence de facteurs communs et de ruptures structurelles est fortement liée aux politiques d'intégration mises en oeuvre au sein de la zone CFA. Ces résultats révèlent aussi que les chocs produisent des effets hétérogènes et ont généralement des dates d'occurrence différentes selon les pays et qu'il est nécessaire de faire varier les réponses de politique économique d'un pays à l'autre pour une croissance durable et mieux partagée. / During the recent years, african countries in the CFA zone have experienced many economic changes on the one hand through the measures initiated by bilateral and multilateral donors and on the other hand through the economic and monetary integration policies. Thus, relying on the assumption that because of these interventions, the economic systems incorporate various phenomena such as structural change and economic interdependencies, we studied their major implications on growth, convergence and growth predictability. Emphasis is first placed on the major features of integration policies in a monetary union, while stressing the possible implications of such policies on the economic dynamics of member countries mainly in terms of econometric modelling of growth and convergence. The different studies conducted on the basis of appropriate econometric tools led to new results concerning the process of growth and convergence of these economies compared to those based on standard tools of econometric modelling. It is also clear from this study that the presence of common factors and structural breaks is strongly linked to integration policies implemented in the CFA zone. These results also indicate that shocks produce heterogeneous effects on economies with various dates of occurrence and that it is necessary to vary the policy responses from one country to another for sustainable and shared growth.

A literatura referente a testes de hipótese em modelos auto-regressivos que apresentam uma possível raiz unitária é bastante vasta e engloba pesquisas oriundas de diversas áreas. Nesta dissertação, inicialmente, buscou-se realizar uma revisão dos principais resultados existentes, oriundos tanto da visão clássica quanto da bayesiana de inferência. No que concerne ao ferramental clássico, o papel do movimento browniano foi apresentado de forma detalhada, buscando-se enfatizar a sua aplicabilidade na dedução de estatísticas assintóticas para a realização dos testes de hipótese relativos à presença de uma raíz unitária. Com relação à inferência bayesiana, foi inicialmente conduzido um exame detalhado do status corrente da literatura. A seguir, foi realizado um estudo comparativo em que se testa a hipótese de raiz unitária com base na probabilidade da densidade a posteriori do parâmetro do modelo, considerando as seguintes densidades a priori: Flat, Jeffreys, Normal e Beta. A inferência foi realizada com base no algoritmo Metropolis-Hastings, usando a técnica de simulação de Monte Carlo por Cadeias de Markov (MCMC). Poder, tamanho e confiança dos testes apresentados foram computados com o uso de séries simuladas. Finalmente, foi proposto um critério bayesiano de seleção de modelos, utilizando as mesmas distribuições a priori do teste de hipótese. Ambos os procedimentos foram ilustrados com aplicações empíricas à séries temporais macroeconômicas. / Testing for unit root hypothesis in non stationary autoregressive models has been a research topic disseminated along many academic areas. As a first step for approaching this issue, this dissertation includes an extensive review highlighting the main results provided by Classical and Bayesian inferences methods. Concerning Classical approach, the role of brownian motion is discussed in a very detailed way, clearly emphasizing its application for obtaining good asymptotic statistics when we are testing for the existence of a unit root in a time series. Alternatively, for Bayesian approach, a detailed discussion is also introduced in the main text. Then, exploring an empirical façade of this dissertation, we implemented a comparative study for testing unit root based on a posteriori model's parameter density probability, taking into account the following a priori densities: Flat, Jeffreys, Normal and Beta. The inference is based on the Metropolis-Hastings algorithm and on the Monte Carlo Markov Chains (MCMC) technique. Simulated time series are used for calculating size, power and confidence intervals for the developed unit root hypothesis test. Finally, we proposed a Bayesian criterion for selecting models based on the same a priori distributions used for developing the same hypothesis tests. Obviously, both procedures are empirically illustrated through application to macroeconomic time series.

This dissertation examines the causal relationship between inward foreign direct investment (FDI) and economic growth (GDP) in SADC countries. The study investigates, within a panel data context, whether causation is short-term, long-term or both; and explores whether the causal relationship between the two variables differs according to income level. The study covered a panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal relationship between FDI inflows and economic growth is dependent on the level of income, the study divided the SADC countries into two groups, namely, the low-income and the middleincome countries. The study used the recently developed panel data analysis methods to examine this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel cointegration and Granger causality to examine the dynamic causal relationship between the two variables. Panel unit root results show that both variables in the two SADC country groups were integrated of order one. Panel cointegration tests showed that the variables for low-income country group were not cointegrated, while the variables for the middle-income countries were cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome country group were conducted within an ECM framework. Panel Granger causality results for the low-income countries showed no evidence of causality in either direction. However, for the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis does not apply to SADC countries. The results imply that the recent high economic growth rates recorded in the SADC region, especially middle-income countries, have been attracting FDI. In other words, it is economic growth that drives FDI inflows into the SADC region, and not vice versa. These findings have profound policy implications for the SADC region at large and individual countries. / Economics / MCOM (Economics)

Η παρούσα διατριβή ασχολείται με δύο ιδιαιτέρως σημαντικά και διαχρονικά επίκαιρα ζητήματα στην ανάλυση χρονολογικών σειρών, τα οποία εντάσσονται, υπό ευρεία έννοια, στο πεδίο της Μακροοικονομετρίας. Ειδικότερα, μελετώνται θέματα και μεθοδολογίες ή τεχνικές ιδιαίτερα χρήσιμες για εκείνους τους ερευνητές, οι οποίοι επικεντρώνονται στην ανάλυση της συμπεριφοράς των συναθροιστικών (aggregate) μεγεθών της οικονομίας, βασιζόμενοι στη χρήση δεδομένων χρονοσειρών ή πιο απλά χρονοσειρές (time series). Το πρώτο ζήτημα αφορά στη μελέτη της δυναμικής αλληλεξάρτησης ανάμεσα σε μακροοικονομικές μεταβλητές κάτω από την υιοθέτηση ενός πολλαπλού πλαισίου ανάλυσης χρονοσειρών. Το ενδιαφέρον εστιάζεται κυρίως στην γενικευμένη ή εκτεταμένη έννοια της αιτιότητας κατά Granger, δηλαδή στην επέκταση της τυπικής έννοιας της αιτιότητας κατά Granger σε μεγαλύτερους του ενός ή σε πολλαπλούς ορίζοντες πρόβλεψης. Το δεύτερο ζήτημα αφορά στην παρουσία μη-γραμμικών χαρακτηριστικών σε μακροοικονομικές χρονοσειρές, καθώς και την υποδειγματοποίηση της μη-γραμμικότητας με τη χρήση μη-γραμμικών οικονομετρικών μοντέλων. Επικεντρώνεται δε ιδιαίτερα στον έλεγχο μοναδιαίας ρίζας κάτω από την εναλλακτική υπόθεση της στασιμότητας γύρω από μη-γραμμικές τάσεις της μορφής τάσεων ομαλής μετάβασης (smooth transition trends) στις μακροοικονομικές χρονοσειρές. Ουσιαστικά, η διατριβή διακρίνεται σε δύο κεφάλαια. Στο Κεφάλαιο 1 παρουσιάζεται η τυπική έννοια της αιτιότητας κατά Granger, καθώς και η γενικευμένη ή εκτεταμένη έννοια της αιτιότητας ή η αιτιότητα σε πολλαπλούς ορίζοντες (multi-horizon causality), στο πλαίσιο των διανυσματικών αυτοπαλίνδρομων υποδειγμάτων (VAR). Η τυπική έννοια της αιτιότητας κατά Granger περιορίζεται στη βελτίωση της προβλεψιμότητας σε ορίζοντα πρόβλεψης μίας περιόδου (one-step ahead), ενώ λαμβάνει υπ'όψιν μόνο τις άμεσες ροές πληροφόρησης μεταξύ των μεταβλητών ενδιαφέροντος (direct causality). Ωστόσο, σε υποδείγματα VAR με περισσότερες από δύο μεταβλητές η τυπική έννοια της αιτιότητας μπορεί να επεκταθεί με την μελέτη της βελτίωσης της προβλεψιμότητας σε μεγαλύτερους του ενός ορίζοντες πρόβλεψης. Σε μία περίπτωση όπως η τελευταία, πλην της άμεσης αιτιότητας, δύνανται να μελετηθούν και οι έμμεσες σχέσεις αιτιότητας (indirect causality) που ενδέχεται να προκύψουν μέσω των πρόσθετων μεταβλητών του συστήματος. Το θεωρητικό πλαίσιο της γενικευμένης έννοιας της αιτιότητας που παρουσιάζει η παρούσα διατριβή έχει αναπτυχθεί από τους Dufour and Renault (1998). Παράλληλα, δίνεται ιδιαίτερη βαρύτητα σε δύο πρόσφατες μεθόδους στατιστικής επαγωγής αιτιωδών σχέσεων κατά Granger σε πολλαπλούς ορίζοντες, οι οποίες παρέχουν πρόσθετη πληροφόρηση σχετικά με τη δυναμική αλληλεξάρτηση οικονομικών χρονοσειρών, και πιο συγκεκριμένα σχετικά με τον άμεσο ή έμμεσο χαρακτήρα των αιτιωδών σχέσεων, το διαχωρισμό μεταξύ βραχυχρόνιας και μακροχρόνιας (μη)-αιτιότητας, καθώς και τις πιθανές χρονικές υστερήσεις της αιτιότητας. Τέλος, στα πλαίσια του Κεφαλαίου 1, ερευνάται η δυνατότητα εφαρμογής των μεθόδων αυτών μέσω εμπειρικών εφαρμογών πάνω σε δύο διαχρονικά ζητήματα αιτιωδών σχέσεων ανάμεσα σε οικονομικές μεταβλητές. Στο Κεφάλαιο 2 παρουσιάζονται υποδείγματα ομαλής μετάβασης, καθώς και έλεγχοι μοναδιαίας ρίζας οι οποίοι επιτρέπουν την στασιμότητα γύρω από ομαλές ή βαθμιαίες μεταβάσεις κάτω από την εναλλακτική υπόθεση. Κύριο χαρακτηριστικό των υποδειγμάτων ομαλής μετάβασης είναι η παρουσία μη-γραμμικών τάσεων στη διαχρονική εξέλιξη των χρονοσειρών. Κεντρικό ρόλο στα υποδείγματα αυτά κατέχουν οι διαρθρωτικές μεταβολές (structural changes) στην προσδιοριστική τάση, οι οποίες, δεδομένου ότι αντιπροσωπεύουν μεταβολές της συναθροιστικής συμπεριφοράς, υποδειγματοποιούνται με τη χρήση ενός προσδιοριστικού στοιχείου το οποίο επιτρέπει την βαθμιαία αντί της στιγμιαίας προσαρμογής. Οι έλεγχοι μοναδιαίας ρίζας, οι οποίοι επιτρέπουν περισσότερη ευελιξία στην συνάρτηση της τάσης σε σχέση με την γραμμική εξειδίκευση της προσδιοριστικής τάσης που χρησιμοποιούν οι τυπικοί έλεγχοι μοναδιαίας ρίζας, αποτελούν το επίκεντρο μελέτης του Κεφαλαίου 2 της διατριβής. Η αναγκαιότητα υιοθέτησης πρόσθετων ελέγχων μοναδιαίας ρίζας, όπως οι έλεγχοι μοναδιαίας ρίζας οι οποίοι επιτρέπουν στασιμότητα γύρω από ομαλές μεταβάσεις κάτω από την εναλλακτική υπόθεση, ισχυροποιείται από τα αποτελέσματα της εφαρμογής των ελέγχων αυτών σε ένα σύνολο οικονομικών χρονοσειρών. / This thesis discusses two central research topics in applied time series econometrics that generally belong in the field of Macroeconometrics. In particular, we investigate issues and methods which are of interest to those researchers who want to analyze economic problems or economic aggregates by means of time series data. The first topic deals with the dynamic interrelationships between sets of theory related variables in a multiple time series context. Research interest is primarily focused on the generalized or extended notion of Granger causality, that is the extension of the standard Granger causality concept to higher forecast horizons. The second topic deals with nonlinear behavior of macroeconomic time series, as well as the modelling of nonlinearities in economic time series using nonlinear econometric models. Specific attention is paid to unit root tests that allow stationarity around nonlinear trends in the form of smooth transitions under the alternative. The dissertation consists of two chapters. The first chapter presents the standard concept of Granger causality, along with the generalized or extended notion of causality, also known as multiple-horizon causality, in the vector autoregressive (VAR) framework. The standard notion of Granger causality restricts prediction improvement to a forecast horizon of one period, while it considers only direct flows of information between the variables of interest. However, in VAR models with more than two variables, the concept of standard Granger causality can be extended by studying prediction improvement at forecast horizons greater than one. If this is the case, then, except for direct causality, indirect flows of information might be revealed through the additional variables of the system. The theoretical framework of the extended concept of causality which is presented in the present dissertation has been developed by Dufour and Renault (1998). In addition, special attention is paid to two recent methods for testing hypothesis of non-causality at various horizons which can provide further information on the dynamic interaction of time series, and more specifically on the direct or indirect nature of causal effects, the distinction between short-run and long-run (non)-causality, as wells as the possibility of causal delays. Finally, the potential implementation of these methods is examined through empirical applications on causality relations among different sets of economic variables. Chapter 2 presents smooth transition (STR) trend models, as well as unit root tests that allow stationarity around smooth transitions under the alternative. Smooth transition regression models presume the presence of nonlinear trends in the long-run evolution of time series. A key feature of these models is the presence of structural changes in the deterministic trend which, given that they represent changes in aggregate behavior (economic aggregates), are modelled through a deterministic component that permits gradual rather than instantaneous adjustment between regimes. Unit root tests that permit a more versatile trend function in the unit root procedure, rather than the standard linear trends, are the main concern of Chapter 2. The necessity of employing additional unit root tests, such as unit root tests that allow stationarity around smooth transitions under the alternative, becomes evident through the unit root test results that are observed in an application in a set of economic time series.

在全球化趨勢下，地方競爭將取代國家的競爭，地方是國家能否與全球競爭之關鍵，提高地方的競爭優勢與發展地方經濟是各國政府努力的目標。財政制度對長期地方發展扮演重要角色。透過政府間的權限與財源之劃分，一方面可使政府所提供之財貨和勞務適應不同地方人民偏好之制度效率目標，進而使所得成長；另方面可維持全國一致性和地方間的發展平衡，避免各地方所得分配過度懸殊的公平目標。良好的財政制度必須能提升各政府部門自我負責性及經濟效率，促進地方所得成長卻不會傷害地方間均衡發展之公平目標。本文以單根檢定法分析發現民國72年至93年間我國政府部門財政制度變遷，以及民國88年以後財政收支劃分法修正後財政制度調整，的確使政府間財政資源分配更趨向公平，但多個地方政府間財政自主程度並未提升且差異大。又透過民國79年至93年23個直轄市與縣市地方政府長期追蹤資料，分析發現我國財政制度在地方發展上扮演非常重要角色。財政分權制度與地方政府財政收支制度的確對各地方所得成長率與地方所得分配有顯著影響效果。但地方政府財政收支制度無法發揮效率，對地方發展有不利影響。88年財政制度調整後地方財政制度對地方發展之不利影響並未有所改善。本文根據研究結果提出制度建議，以作為未來制定地方財政制度與地方發展政策之參考。 / Local governments faced severe fiscal imbalance problems for a long time, caused in part by long-term structural imbalances between their spending and revenue requirements. May be financial structural has positive consequences on local economic development. The article examines the relationship between the fiscal structure of local government and local economic development. Although most prior empirical studies present inconsistent findings about the effects of local taxing and spending policies, but more empirical works conclude that local income growth relates negatively to tax increases if the revenue finances income redistribution, but not if the revenue finances public services. The study examines these issues with more recent panel data of Taiwan and with more careful attention the effects of fiscal decentralization. We conclude that local economic development relates negatively to local tax increases if the revenue finances local public service . Local Financial structural and fiscal decentralization have negative consequences on local economic development.

本論文的研究主軸圍繞於自我迴歸模型的估計與推論上。文獻上自我迴歸模型的估計多直接採用最小平方法, 但此估計方式卻有兩個缺點:(一)當序列具單根時,最小平方估計式的漸近分配為非正規型態,因此檢定時需透過電腦模擬得到臨界值;(二)最小平方估計式雖具一致性,但卻有嚴重的有限樣本偏誤問題。有鑑於此,我們提出一種「二階差分轉換估計式」,並證明該估計式的偏誤遠低於前述最小平方估計式,且在序列為粧定與具單根的環境下具有相同的漸近常態分配。此外,二階差分轉換估計式相當適合應用於固定效果追蹤資料模型,而據以形成的追蹤資料單根檢定在序列較短的情況下仍有不錯的檢定力。 本論文共分四章,茲分別簡單說明如下: 第1章為緒論,回顧文獻上估計與推論自我回歸模型時的問題,並說明本論文的研究目標。估計自我迴歸模型的傳統方式是直接採取最小平方法,但在序列具單根的情況下由於訊息不隨時間消逝而快速累積,使估計式的收斂速度高於序列為恒定的情況。不過,這也導致最小平方估計式的漸近分配為非標準型態,並使得進行假設檢定前必須先透過電腦模擬來獲得臨界值。其次,最小平方估計式雖具一致性,但在有限樣本下卻是偏誤的。實證上, 樣本點不多是研究者時常面臨的窘境,並使得小樣本偏誤程度格外嚴重。本章中透過對前述問題形成因素的瞭解,說明解決與改善的方法,亦即我們提出的「二階差分轉換估計式」。 第2章主要目的在於推導二階差分轉換估計式之有限樣本偏誤。我們亦推導了多階差分自我迴歸模型下二階段最小平方估計式(two stage least squares, 2SLS)與 Phillips andHan (2008)採用的一階差分轉換估計式之偏誤,以同時進行比較。本章理論與模擬結果皆顯示,一階與二階差分轉換估許式與2SLS之 $T^{−1}$ 階偏誤程度皆低於以最小平方法估計原始準模型(level model)的偏誤,其中 T 為時間序列長度。另外,一階差分轉換估計式與二階差分轉換估計式在 $T^{−1}$ 階偏誤上,分別與一階和二階差分模型下2SLS相同,但兩估計式的相對偏誤程度則因自我相關係數的大小而互有優劣。同時,我們發現估計高於二階的差分模型對小樣本偏誤並無法有更進一步的改善。最後,即使在樣本點不多的情況下,本章所推導的偏誤理論對於實際偏誤仍有良好的近似能力。 第3章主要目的在於發展二階差分轉換估計式之漸近理論。與 Phillips and Han (2008) 採用之一階差分轉換估計式相似的是,該估計式在序列為恒定與具單根的情況下收斂速度相同,並有漸近常態分配的優點。值得注意的是, 二階差分轉換估計式的漸近分配為 N(0,2),不受任何未知參數的影響。另外,當序列呈現正自我相關時,二階差分轉換估計式相較於一階差分轉換估計式具有較小的漸近變異數,進而使得據以形成的檢定統計量有較佳的對立假設偵測能力。最後, 誠如 Phillips and Han (2008) 所述,由於差分過程消除了模型中的截距項,使得此類估計方法在固定效果的動態追蹤資料模型(dynamic panel data model with fixed effect) 具相當的發展與應用價值。 本論文第4 章進一步將二階差分轉換估計式推展至固定效果的動態追蹤資料模型。文獻上估計此種模型通常利用差分來消除固定效果後,再以一般動差法 (generalized method of moments, GMM) 進行估計。然而,這樣的估計方式在序列為近單根或具單根時卻面臨了弱工具變數(weak instrument)的問題,並導致嚴重的估計偏誤。相反的,差分轉換估計式所利用的動差條件在近單根與單根的情況下仍然穩固,因此在小樣本下的估計偏誤相當輕微(甚至無偏誤)。另外,我們證明了不論序列長度(T )或橫斷面規模(n)趨近無窮大,差分轉換估計式皆有漸近常態分配的性質。與單一序列時相同的是,我們提出的二階差分轉換估計式在序列具正自我相關性時的漸近變異數較一階差分轉換估計式小;受惠於此,利用二階差分轉換估計式所建構的檢定具有較佳的檢力。值得注意的是,由於二階差分轉換估計式在單根的情況下仍有漸近常態分配的性質,我們得以直接利用該漸近理論建構追蹤資料單根檢定。電腦模擬結果發現,在小 T 大 n 的情況下,其檢力優於文獻上常用的 IPS 檢定(Im et al., 1997, 2003)。 / This thesis deals with estimation and inference in autoregressive models. Conventionally, the autoregressive models estimated by the least squares (LS) procedure may be subject to two shortcomings. First, the asymptotic distribution of the LS estimates for autoregressive coefficient is discontinuous at unity. Test statistics based on the LS estimates thus follow nonstandard distributions, and the critical values obtained need to rely on Monte Carlo techniques. Secondly, as is well known, the LS estimates of autoregressive models are biased in finite samples. This bias could be substantial and leads to serious size distortion for the test statistics built on the estimates and forecast errors. In this thesis,we consider a simple newmethod ofmoments estimator, termed the “transformed second-difference” (hereafter TSD) estimator, that is without the aforementioned problems, and has many useful applications. Notably, when applied to dynamic panel models, the associated panel unit root tests shares a great power advantage over the existing ones, for the cases with very short time span. The thesis consists of 4 chapters, which are briefly described as follows. 1. Introduction: Overview and Purpose This chapter first reviews the literature and states the purpose of this dissertation. We discuss the sources of problems in estimating autoregressive models with the conventional method. The motivation to estimate the autoregressive series with multiple-difference models, instead of the conventional level model, is provided. We then propose a new estimator, the TSD estimator, which can avoid (fully or partly) the drawbacks of the LS method, and highlight its finite-sample and asymptotic properties. 2. The Bias of 2SLSs and transformed difference estimators in Multiple-Difference AR(1) Models In this chapter, we derive approximate bias for the TSD estimator. For comparisons, the corresponding bias of the two stage least squares estimators (2SLS) in multiple-difference AR(1) models and the transformed first-difference (TFD) estimator proposed by Chowdhurry (1987) are also given as by-products. We find that: (i) All the estimators considered are much less biased than the LS ones with the level regression; (ii)The difference method can be exploited to reduce the bias only up to the order of difference 2; and (iii) The bias of the TFD and TSD estimators share the same order at $O(T^{-1})$ as that of 2SLSs. However, to the extent of bias reductions, neither the 2 considered transformed difference estimators shows a uniform dominance over the entire parameter space. Our simulation evidence lends credible supports to our bias approximation theory. 3. Gaussian Inference in AR(1) Time Series with or without a Unit Root The goal of the chapter is to develop an asymptotic theory of the TSD estimator. Similar to that of the TFD estimator shown by Phillips and Han (2008), the TSDestimator is found to have Gaussian asymptotics for all values of ρ ∈ (−1, 1] with $\sqrt{T}$ rate of convergence, where ρ is the autoregressive coefficient of interest and T is the time span. Specifically, the limit distribution of the TSD estimator is N(0,2) for all possible values of ρ. In addition, the asymptotic variance of the TSD estimator is smaller than that of the TFD estimator for the cases with ρ > 0, and the corresponding t -test thus exhibits superior power to the TFD-based one. 4. Estimation and Inference with Moment Methods for Dynamic Panels with Fixed Effects This chapter demonstrates the usefulness of the TSD estimator when applying to to dynamic panel datamodels. We find again that the TSD estimator displays a standard Gaussian limit, with a convergence rate of $\sqrt{nT}$ for all values of ρ, including unity, irrespective of how n or T approaches infinity. Particularly, the TSD estimator makes use of moment conditions that are strong for all values of ρ, and therefore can completely avoid the weak instrument problem for ρ in the vicinity of unity, and has virtually no finite sample bias. As in the time series case, the asymptotic variance of the TSD estimator is smaller than that of the TFD estimator of Han and Phillips (2009) when ρ > 0 and T > 3, and the corresponding t -ratio test is thus more capable of unveiling the true data generating process. Furthermore, the asymptotic theory can be applied directly to panel unit root test. Our simulation results reveal that the TSD-based unit root test is more powerful than the widely used IPS test (Im et al, 1997, 2003) when n is large and T is small.

This dissertation examines the causal relationship between inward foreign direct investment (FDI) and economic growth (GDP) in SADC countries. The study investigates, within a panel data context, whether causation is short-term, long-term or both; and explores whether the causal relationship between the two variables differs according to income level. The study covered a panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal relationship between FDI inflows and economic growth is dependent on the level of income, the study divided the SADC countries into two groups, namely, the low-income and the middleincome countries. The study used the recently developed panel data analysis methods to examine this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel cointegration and Granger causality to examine the dynamic causal relationship between the two variables. Panel unit root results show that both variables in the two SADC country groups were integrated of order one. Panel cointegration tests showed that the variables for low-income country group were not cointegrated, while the variables for the middle-income countries were cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome country group were conducted within an ECM framework. Panel Granger causality results for the low-income countries showed no evidence of causality in either direction. However, for the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis does not apply to SADC countries. The results imply that the recent high economic growth rates recorded in the SADC region, especially middle-income countries, have been attracting FDI. In other words, it is economic growth that drives FDI inflows into the SADC region, and not vice versa. These findings have profound policy implications for the SADC region at large and individual countries. / Economics / M. Com. (Economics)