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A nonlinear approach to testing the unit root null hypothesis : an application to international health expenditures

Narayan, Paresh Kumar and Popp, Stephan 2012, A nonlinear approach to testing the unit root null hypothesis : an application to international health expenditures, Applied economics, vol. 44, no. 2, pp. 163-175, doi: 10.1080/00036846.2010.500276.

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Title A nonlinear approach to testing the unit root null hypothesis : an application to international health expenditures
Author(s) Narayan, Paresh Kumar
Popp, Stephan
Journal name Applied economics
Volume number 44
Issue number 2
Start page 163
End page 175
Total pages 14
Publisher Routledge
Place of publication London, England
Publication date 2012-01
ISSN 0003-6846
Keyword(s) econometrics
health expenditure
Monte Carlo analysis
nonlinearity
OECD
Summary In this article, we examine the unit root null hypothesis for per capita total Health Expenditures (HEs), per capita private HEs and per capita public HEs for 29 Organization for Economic Co-operation and Development (OECD) countries. The novelty of our work is that we use a new nonlinear unit root test that allows for one structural break in the data series. We find that for around 45% of the countries, we are able to reject the unit root hypothesis for each of the three HE series. Moreover, using Monte Carlo simulations, we show that our proposed unit root model has better size and power properties than the widely used Augmented Dickey–Fuller (ADF) and Lagrange Multiplier (LM) type tests.
Language eng
DOI 10.1080/00036846.2010.500276
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910104 Exchange Rates
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2012, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30046276

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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Created: Thu, 26 Jul 2012, 16:48:33 EST by Aysun Alpyurek

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