Mean-reverting behavior of current account in Asian countries

被引：22
|
作者：
Lau, E [1 ]
Baharumshah, AZ [1 ]
机构：
[1] Univ Putra Malaysia, Fac Econ & Management, Dept Econ, Serdang 43400, Malaysia
来源：
ECONOMICS LETTERS | 2005年 / 87卷 / 03期
关键词：
series specific panel unit root test; mean-reverting; Current account;
D O I：
10.1016/j.econlet.2005.01.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper adopted the series specific panel unit root test of Breuer et al. [Oxford Bulletin of Economics and Statistics 64 (2002, SURADF) 527-546] to test for the mean-reverting behavior of current account for the panel of twelve Asian countries. The results illustrate that the current accounts in these countries are a mixture of 1(0) and I(1) process and the commonly used panel root tests could lead to misleading inferences. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：367 / 371
页数：5
相关论文
共 50 条
  • [21] A mean-reverting currency model in an uncertain environment
    Yuanyuan Shen
    Kai Yao
    Soft Computing, 2016, 20 : 4131 - 4138
  • [22] Estimation of Parameters in Mean-Reverting Stochastic Systems
    Tian, Tianhai
    Zhou, Yanli
    Wu, Yonghong
    Ge, Xiangyu
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2014, 2014
  • [23] AN OPTIMAL TRADING RULE OF A MEAN-REVERTING ASSET
    Kong, Hoi Tin
    Zhang, Qing
    DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2010, 14 (04): : 1403 - 1417
  • [24] INDEXED BONDS WITH MEAN-REVERTING RISK FACTORS
    Vig, Attila A.
    Vidovics-Dancs, Agnes
    PROCEEDINGS - 31ST EUROPEAN CONFERENCE ON MODELLING AND SIMULATION ECMS 2017, 2017, : 81 - 86
  • [25] Are the current accounts of Asian-5 economies mean-reverting? New evidence from Fourier panel stationarity tests
    Husein, Jamal
    Kara, S. Murat
    Pier, Chuck
    COGENT ECONOMICS & FINANCE, 2023, 11 (02):
  • [26] INFLATION AND THE MEAN-REVERTING LEVEL OF THE SHORT RATE
    Reschreiter, Andreas
    MANCHESTER SCHOOL, 2010, 78 (01): : 76 - 91
  • [27] Approximating Explicitly the Mean-Reverting CEV Process
    Halidias, N.
    Stamatiou, I. S.
    JOURNAL OF PROBABILITY AND STATISTICS, 2015, 2015
  • [28] Mean-reverting schemes for solving the CIR model
    Llamazares-Elias, S.
    Tocino, A.
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2023, 434
  • [29] Identifiability of mean-reverting measurement error with instrumental variable
    Li, Qing
    STATISTICA NEERLANDICA, 2014, 68 (02) : 118 - 129
  • [30] PROJECT VALUATION WITH MEAN-REVERTING CASH FLOW STREAMS
    BHATTACHARYA, S
    JOURNAL OF FINANCE, 1978, 33 (05): : 1317 - 1331
12345