nÃo hà / Considerando o atendimento à restriÃÃo orÃamentÃria intertemporal do governo, analisa-se a solvÃncia das administraÃÃes pÃblicas municipais no Cearà a partir da proposta de Hamilton e Flavin (1986) e dos avanÃos de Levin et. al. (2002) e Im, Pesaran, and Shin (2003). Na impossibilidade de se praticar um jogo de Ponzi, uma administraÃÃo à considerada solvente se o dÃficit pÃblico segue uma trajetÃria estacionÃria. Para o exercÃcio empÃrico, dois testes de raiz unitÃria em painel sÃo utilizados e o perÃodo de anÃlise compreende os anos 2002 a 2008. Constata-se que as administraÃÃes pÃblicas municipais no Cearà sÃo solventes, muito embora uma anÃlise para oito macrorregiÃes tenha indicado que em duas delas a polÃtica fiscal seja insustentÃvel. Finalmente, a condiÃÃo de insolvÃncia nÃo parece ser determinada pelo tamanho econÃmico, jà a solvÃncia parece estar associada à afinidade polÃtica entre as prefeituras e as esferas maiores de governo. / Considering that the intertemporal budget constraint of the government is fulfilled, this work examines the long-run solvency of the public accounts of the municipalities of Ceara following Hamilton and Flavin (1986), Levin et al. (2002) and Im, Pesaran, and Shin (2003). If an administration does not use a Ponzi game it is considered solvent if the budget deficit has a stationary path. As an empirical exercise, two unit root tests in panel are used and the period of analysis covers the years 2002 to 2008. It appears that the municipalities governiments in Ceara are solvents, although an analysis for eight macro-regions has indicated that in two of them the fiscal policy is unsustainable. Finally, the condition of insolvency does not seem to be determined by economy size, since the solvency appears to be associated with political affinity between the municipalities and the larger spheres of government.

[pt] Esse estudo tem como objetivo efetuar previsões não condicionadas de demanda de energia elétrica no Brasil para a classe industrial entre os meses de Janeiro e Dezembro de 2010. Para tanto, verificou-se a causalidade entre as variáveis em estudo, em seguida se as mesmas eram estacionárias ou processos integrados. Posteriormente procedeu-se ao teste de co-integração, cujo intuito era determinar se as séries apresentavam alguma tendência comum ao longo do tempo. As previsões foram estimadas através do Modelo de Correção de Erros na abordagem Clássica (VAR/VEC) e Bayesiana (BVAR/BVEC) e, ao fim, efetuou-se uma análise comparativa através da média dos erros. Os resultados obtidos mostraram que a metodologia Bayesiana se fez mais acurada do que a metodologia Clássica. / [en] This thesis describes two multivariate statistical based approaches to generate unconditional monthly forecasts for the brazilian industrial electricity demand covering the lead time spanning from Jan/2010 to Dec/2010. For that, it was first checked the causality among the series involved followed by stationarity tests. It was also carried out cointegration tests to check the existence of long range trend among the series. The two approaches adopted were, respectivelly, the Classical Error Correction Vector Model (VAR/VEC) and the Bayesian counterpart (BVAR/BVEC); both modelling simultaneously the series involved in the study as a vector of time series that follow a kind of vector autoregressive structure. The results obtained with both, were compared, and, a main conclusion of the thesis, the Bayesian model produced better results, in terms of accuracy, them the Classical counterpart.

This study examines which monetary aggregates, namely nominal M0, M1 and M2, can be used by the People’s Bank of China to conduct monetary policy. The model includes real M0, M1 and M2 as the dependent variable respectively and their determinants, such as real income, real inflation rate, and real rate of one-year saving deposit. Johansen (1988) and Johansen and Juselius’s (1990) procedures are used to estimate the long-run relationship between the monetary aggregates and their variables. Short-run model is applied to M0, M1 and M2 respectively to see whether the error term is negative to validate the significance of the long-run relationship using the Ordinary Least Square estimation.

Considering the impact of transaction costs on trade volumes and prices in Europe, in our thesis, we carried out an overview of the costs of crossing borders and an assessment of the degree of fragmentation of the product market in this world area. Throughout the analysis, we paid attention to the country and/ or industry dimension and at how country- and sector-specific patterns affect the European product market integration process. A special attention is also devoted to the model specifications and estimation techniques. Having discussed extensively the foundations of the gravity equation and the properties of the gravity model with the aim of empirical works in the first chapter of our dissertation, chapter two provides a first assessment of the extent of the integration in Europe by measuring the trade intensity via an augmented gravity equation. The study measures the impact of regional trade agreements (RTAs) on Members’ trade in the European zone and highlights that despite the ongoing enlargement process of its free trade area, the European zone displays rather weak RTAs impacts - in comparison with what one could expect -. The chapter also highlights a number of caveats and difficulties when one wants to accurately measure the extent of trade creation brought about the RTAs in Europe. In particular, the existence of zero observations (non observed commodity flows) between country pairs might have important drawbacks in the estimations. Since disaggregated trade data can be very insightful, chapter three implements such an analysis. Using a gravity-like equation as well, it provides a border effect estimations carried out in a multi-country and multi-sector context. Our findings reveal that remaining technical barriers to trade, market structure and degree of product differentiation play an important role in the explanation of border effects. Furthermore, our results succeed to derive a strongly negative impact of nominal exchange rate volatility on trade, whereas traditional gravity specifications fail to identify this clearly – when regional dummies are introduced-. Hence, chapter two and three provide an overview, via the trade channel, of the degree of integration of the product market in Europe: While European agreements (EAs) in terms of trade are effective, bilateral trade relationships face steady impediments. As expected, intra-EAs trade increases and exports from Member States to non Member States decline. The trade obstacles have many sources. In particular, volatility of the nominal exchange rate is found to have trade-reducing effects. Our results also underscore the interest of using sector disaggregated date since we find that the degree of product differentiation and the market structure enter in the explanation of border effects. Moreover, the various approaches to harmonize the remaining technical barriers to trade on sector desegregation basis were found to act in reducing on the European Union border effect. As for chapter four, it re-visits the issue of price convergence within the EMU. Specifically, we test whether the Law of One Price (LOOP) can be validated over the period 1984-2004. Our results fail to support the LOOP for a large majority of sectors and countries under examination. Furthermore, our findings reveal half-lives of deviation from the LOOP suggesting a price adjustment which is globally less slow that commonly estimated in the literature. Indeed, the EMU is anticipated to affect the behaviour of trading firms that should result in a faster cross-border transmission of price movements across Member States. When attempting to explain the factors at work in the LOOP failure, we highlight that beside the European convergence process, the arbitrage channel explain a non negligible part of the country mean reversion in terms of relative prices. Nevertheless, mixed evidence is found for the impact of cross- country and cross-sector variables.

The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter  1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots . The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, the power performances are satisfactory. In Chapter 2 we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests. Finite sample properties are examined. The performance of the tests is compared to that of the classical unit root tests by Dickey-Fuller and Phillips and Perron, and is found to be superior in terms of power. In Chapter 3 we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the LSDV estimator of the autoregressive parameter in the linear component of the model is inconsistent due to the inclusion of fixed effects. The test statistic, adjusted for the inconsistency, has an asymptotic normal distribution whose first two moments are calculated analytically. To complete the analysis, finite sample properties of the test are examined. We highlight scenarios under which the traditional panel unit root tests by Harris and Tzavalis have inferior or reasonable power compared to our test. In Chapter 4 we present a unit root test against a non-linear dynamic heterogeneous panel with each country modelled as an LSTAR model. All parameters are viewed as country specific. We allow for serially correlated residuals over time and heterogeneous variance among countries. The test is derived under three special cases: (i) the number of countries and observations over time are fixed, (ii) observations over time are fixed and the number of countries tend to infinity, and (iii) first letting the number of observations over time tend to infinity and thereafter the number of countries. Small sample properties of the test  show modest size distortions and satisfactory power being superior to the Im, Pesaran and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root test allowing for non-linearities under the alternative hypothesis. / Diss. Stockholm : Handelshögskolan, 2004

The purpose of this study is to research the volume-price relationship and information transmission among Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index. This study uses the time series methods of ADF unit root test, variance decomposition, Granger causality and impulse response analysis to proceed empirical research. It covers the period June 2, 2003, through December 29, 2006 and uses the daily data for sample. The empirical results can be summarized as follows¡G (1) All the trading volume and stock return series are trend stationary at level, therefore, they are integrated of order 0 ~ I (0). (2) The variance decomposition shows that the major change of every variable comes from by itself. The explanatory power of trading volume is higher than stock returns. Among the stock returns of Taiwan Stock Index, Electronic Industry Index, Financial Industry Index and Plastic Industry Index, Taiwan Stock Index has the highest explanatory power. (3) According to the Granger causality test, it expresses that trading volume leads stock returns. Taiwan Stock Index is the leading indicator of the Electronic Industry Index and Financial Industry Index. (4) As to the impulse response functions, neither persistent nor overall. The effect of shocks on all variables is transitory.

This thesis, which consists of four chapters, focuses on three topics: discriminating between stationary and nonstationary time series, testing the constancy of the error covariance matrix of a vector model, and estimating density functions over bounded domains using kernel techniques. In Chapter 1, “Testing the unit root hypothesis against the logistic smooth transition autoregressive model”, and Chapter 2, “A nonlinear alternative to the unit root hypothesis”, the joint hypothesis of unit root and linearity allows one to distinguish between random walk processes, with or without drift, and stationary nonlinear processes of the smooth transition autoregressive type. This is important in applications because steps taken in modelling a time series are likely to be drastically different depending on whether or not the unit root hypothesis is rejected. In Chapter 1 the nonlinearity is based on the logistic function, while Chapter 2 considers the second-order logistic function. Monte Carlo simulations show that the proposed tests have about the same or higher power than the standard Dickey-Fuller unit root tests when the alternative exhibits nonlinear behavior. In Chapter 1 the tests are applied to the seasonally adjusted U.S. monthly unemployment rate, giving support to the hypothesis that the unemployment rate series follows a smooth transition autoregressive model rather than a random walk. Chapter 2 considers testing the so called purchasing power parity (PPP) hypothesis. The test results complement earlier studies, giving support to the PPP hypothesis for 44 out of 120 real exchange rates considered. Chapter 3. “Testing the constancy of the error covariance matrix in vector models”Estimating the parameters of an econometric model is necessary for any use of the model, be it forecasting or policy evaluation. Finding out thereafter whether or not the model appears to satisfy the assumptions under which it was estimated should be an integral part of a normal modelling exercise. This chapter includes the derivation of a Lagrange Multiplier test of the null hypothesis of constant variance in vector models when testing against three specific parametric alternatives. The Monte Carlo simulations show that the test has good size properties, very good power against a correctly specified alternative, but low or only up to moderate power in cases for a misspecified alternative hypothesis. Chapter 4. “ Estimating confidence regions over bounded domains”Nonparametric density estimation by kernel techniques is a standard statistical tool in the estimation of a density function in situations where its parametric form is assumed to be unknown. In many cases, the data set over which the density is to be estimated exhibits linear, or nonlinear, dependence. A solution to this problem is to apply a one-to-one transformation to the considered data set in such a way that the dependence in the data vanishes, but too often such a unique transformation does not exist. This chapter proposes a method for estimating confidence regions over bounded domains when no one-to-one transformation of the considered data exists, or if the existence of such a transformation is difficult to verify. The method, simple kernel estimation over a nonlinear grid, is illustrated by applying it to three data sets generated from the GARCH(1,1) model. The resulting confidence regions cover a reasonable area of the definition space, and are well aligned with the corresponding data sets. / Diss. Stockholm : Handelshögsk., 2003

This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.

Purchasing Power Parity (PPP) is an important theory of exchange rate determination. The documents probing into the PPP theory are voluminous nowadays; however, there hasn¡¦t been an agreed conclusion yet. In this paper, we apply the Panel Lagrange Multiplier unit root test, a newly developed panel unit root test that allows for heterogeneous breaks, under both the null and the alternative, in both the level and trend of the series under investigation, addressed by Im, Lee and Tieslau (2010). The validity of PPP theory can be examined by testing the stationary of real exchange rates. We use the data chosen from the countries of Asia, including Taiwan, Japan, Korea, Tailand, Indonesia, Hong Kong and Singapore to proceed the positive analysis. The result shows that no matter we use CPI or WPI as the price index, both considering more about the structure breaks and using the panel unit root test strongly support the PPP theory. And it also shows that when using the WPI as the price index, there would be much more countries support the PPP theory.

This paper is based on international trade between Taiwan and China intently. This purpose of this paper is to explore economic factors on the volume of Phalaenopsis orchid export from Taiwan to China from 1998 to 2011 . This paper will firstly set four influence variables, the previous export, the China's GDP, the exchange rate and the tariff . Then, this paper will exam those variables by using Unit Root test and the Vector Autoregressive (VAR) method in an empirical analysis. After the examination by Unit Root test, the result shows that all the variables appear to be stationary in the first difference. Furthermore, in Chow test, the empirical results indicate that no structural change occurred before and after the first phase of tariff reduction under ECFA. In co-integration test, those variables are co-integrated. In VAR model, China¡¦s GDP, the exchange rate, and the tariff have impact on the volume of the imports from Taiwan to China in different degrees as well.