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In this article, three innovative panel error-correction model (PECM) tests are proposed. These tests are based on the multivariate versions of the Wald (W), likelihood ratio (LR), and Lagrange multiplier (LM) tests. Using Monte Carlo simulations, the size and power of the tests are investigated when the error terms exhibit both cross-sectional dependence and independence. We find that the LM test is the best option when the error terms follow independent white-noise processes. However, in the more empirically relevant case of cross-sectional dependence, we conclude that the W test is the optimal choice. In contrast to previous studies, our method is general and does not rely on the strict assumption that a common factor causes the cross-sectional dependency. In an empirical application, our method is also demonstrated in terms of the Fisher effect—a hypothesis about the existence of which there is still no clear consensus. Based on our sample of the five Nordic countries we utilize our powerful test and discover evidence which, in contrast to most previous research, confirms the Fisher effect.

In this article, three innovative panel error-correction model (PECM) tests are proposed. These tests are based on the multivariate versions of the Wald (W), likelihood ratio (LR), and Lagrange multiplier (LM) tests. Using Monte Carlo simulations, the size and power of the tests are investigated when the error terms exhibit both cross-sectional dependence and independence. We find that the LM test is the best option when the error terms follow independent white-noise processes. However, in the more empirically relevant case of cross-sectional dependence, we conclude that the W test is the optimal choice. In contrast to previous studies, our method is general and does not rely on the strict assumption that a common factor causes the cross-sectional dependency. In an empirical application, our method is also demonstrated in terms of the Fisher effect—a hypothesis about the existence of which there is still no clear consensus. Based on our sample of the five Nordic countries we utilize our powerful test and discover evidence which, in contrast to most previous research, confirms the Fisher effect.

This article evaluates the Fisher hypothesis and the hypothesis of the integration of Latin American markets through co-integration and endogenous structural change tests. The findings suggest a number of conclusions: a) the Fisher effect is validated mainly in Costa Rica; b) the international Fisher effect is validated weakly between Chile and Costa Rica and between Colombia and Mexico; c) the integration of counties and markets is heterogeneous, and d) only Chile did not present structural changes. The study uses monthly series for Brazil, Chile, Colombia, Costa Rica, Mexico and Peru during the January 1997 to December 2014 period., Neste artigo, avaliam-se as hipóteses de Fisher e de integração dos mercados latino-americanos mediante testes de cointegração e de mudança estrutural endógena. Os achados sugerem várias conclusões: a) o efeito Fisher é validado principalmente na Costa Rica; b) o efeito internacional de Fisher é validado debilmente entre o Chile e a Costa Rica, e entre a Colômbia e o México; c) a integração dos países e mercados é heterogênea; d) unicamente o Chile não teve mudanças estruturais. Além disso, usam-se séries mensais do Brasil, Chile, Colômbia, Costa Rica, México e do Peru durante o período compreendido entre janeiro de 1997 e dezembro de 2014., En este artículo se evalúan las hipótesis de Fisher y de integración de los mercados latinoamericanos mediante pruebas de cointegración y de cambio estructural endógeno. Los hallazgos sugieren varias conclusiones: a) el efecto Fisher se valida principalmente en Costa Rica; b) el efecto internacional deFisher se valida débilmente entre Chile y Costa Rica y entre Colombia y México; c) la integración de los países y mercados es heterogénea, y d) únicamente Chile no tuvo cambios estructurales. En el estudio se usan series mensuales de Brasil, Chile, Colombia, Costa Rica, México y Perú durante el periodo comprendidoentre enero de 1997 y diciembre de 2014.

This paper investigates the validity of the Fisher Hypothesis in Turkey coveringthe period 2003 – 2012. To test validity of Fisher Hypothesis, this paper uses anAutoregressive Distributed Lag test for threshold cointegration recently introduced in theliterature by Li and Lee (2010). The empirical results which are obtained from this paperindicate that Fisher hypothesis is valid for Turkey, meaning nominal interest rates wouldbe an important leading indicator for inflation.

This article evaluates the Fisher hypothesis and the hypothesis of the integration of Latin American markets through co-integration and endogenous structural change tests. The findings suggest a number of conclusions: a) the Fisher effect is validated mainly in Costa Rica; b) the international Fisher effect is validated weakly between Chile and Costa Rica and between Colombia and Mexico; c) the integration of counties and markets is heterogeneous, and d) only Chile did not present structural changes. The study uses monthly series for Brazil, Chile, Colombia, Costa Rica, Mexico and Peru during the January 1997 to December 2014 period., Neste artigo, avaliam-se as hipóteses de Fisher e de integração dos mercados latino-americanos mediante testes de cointegração e de mudança estrutural endógena. Os achados sugerem várias conclusões: a) o efeito Fisher é validado principalmente na Costa Rica; b) o efeito internacional de Fisher é validado debilmente entre o Chile e a Costa Rica, e entre a Colômbia e o México; c) a integração dos países e mercados é heterogênea; d) unicamente o Chile não teve mudanças estruturais. Além disso, usam-se séries mensais do Brasil, Chile, Colômbia, Costa Rica, México e do Peru durante o período compreendido entre janeiro de 1997 e dezembro de 2014., En este artículo se evalúan las hipótesis de Fisher y de integración de los mercados latinoamericanos mediante pruebas de cointegración y de cambio estructural endógeno. Los hallazgos sugieren varias conclusiones: a) el efecto Fisher se valida principalmente en Costa Rica; b) el efecto internacional deFisher se valida débilmente entre Chile y Costa Rica y entre Colombia y México; c) la integración de los países y mercados es heterogénea, y d) únicamente Chile no tuvo cambios estructurales. En el estudio se usan series mensuales de Brasil, Chile, Colombia, Costa Rica, México y Perú durante el periodo comprendidoentre enero de 1997 y diciembre de 2014.

This paper investigates the validity of the Fisher Hypothesis in Turkey coveringthe period 2003 – 2012. To test validity of Fisher Hypothesis, this paper uses anAutoregressive Distributed Lag test for threshold cointegration recently introduced in theliterature by Li and Lee (2010). The empirical results which are obtained from this paperindicate that Fisher hypothesis is valid for Turkey, meaning nominal interest rates wouldbe an important leading indicator for inflation.

En este artículo se evalúan las hipótesis de Fisher y de integración de los mercados latinoamericanos mediante pruebas de cointegración y de cambio estructural endógeno. Los hallazgos sugieren varias conclusiones: a) el efecto Fisher se valida principalmente en Costa Rica; b) el efecto internacional deFisher se valida débilmente entre Chile y Costa Rica y entre Colombia y México; c) la integración de los países y mercados es heterogénea, y d) únicamente Chile no tuvo cambios estructurales. En el estudio se usan series mensuales de Brasil, Chile, Colombia, Costa Rica, México y Perú durante el periodo comprendidoentre enero de 1997 y diciembre de 2014., This article evaluates the Fisher hypothesis and the hypothesis of the integration of Latin American markets through co-integration and endogenous structural change tests. The findings suggest a number of conclusions: a) the Fisher effect is validated mainly in Costa Rica; b) the international Fisher effect is validated weakly between Chile and Costa Rica and between Colombia and Mexico; c) the integration of counties and markets is heterogeneous, and d) only Chile did not present structural changes. The study uses monthly series for Brazil, Chile, Colombia, Costa Rica, Mexico and Peru during the January 1997 to December 2014 period.

En este artículo se evalúan las hipótesis de Fisher y de integración de los mercados latinoamericanos mediante pruebas de cointegración y de cambio estructural endógeno. Los hallazgos sugieren varias conclusiones: a) el efecto Fisher se valida principalmente en Costa Rica; b) el efecto internacional deFisher se valida débilmente entre Chile y Costa Rica y entre Colombia y México; c) la integración de los países y mercados es heterogénea, y d) únicamente Chile no tuvo cambios estructurales. En el estudio se usan series mensuales de Brasil, Chile, Colombia, Costa Rica, México y Perú durante el periodo comprendidoentre enero de 1997 y diciembre de 2014., This article evaluates the Fisher hypothesis and the hypothesis of the integration of Latin American markets through co-integration and endogenous structural change tests. The findings suggest a number of conclusions: a) the Fisher effect is validated mainly in Costa Rica; b) the international Fisher effect is validated weakly between Chile and Costa Rica and between Colombia and Mexico; c) the integration of counties and markets is heterogeneous, and d) only Chile did not present structural changes. The study uses monthly series for Brazil, Chile, Colombia, Costa Rica, Mexico and Peru during the January 1997 to December 2014 period.

Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson et al. (2001) in endlichen Stichproben. Die Simulationsergebnisse zeigen, dass unter den fünf untersuchten Panelkointegrationsteststatistiken die Panel-t Teststatistik von Pedroni (1995, 1999) die besten Eigenschaften in endlichen Stichproben besitzt. Der zweite Aufsatz präsentiert eine Korrektur des Beweises von Larsson et al. (2001) bezüglich der Endlichkeit der Momente der asymptotischen Trace-Statistik für den Fall, dass die Differenz zwischen der Anzahl der Variablen und der Anzahl der existierenden Kointegrationsbeziehungen eins ist. Im dritten Aufsatz wird ein neuer Likelihood-basierter Panelkointegrationstest vorgestellt, der die Existenz eines linearen Trends in dem datengenerierenden Prozess erlaubt. Dieser neue Test ist eine Erweiterung des Likelihood-Quotienten-Tests von Saikkonen und Lütkepohl (2000a) für trendbereinigte Daten auf die Paneldatenanalyse. Unter der Nullhypothese folgt die Panel-SL Teststatistik einer standardisierten Normalverteilung, wenn die Anzahl der Beobachtungen über die Zeit (T) und die Anzahl der Querschnitte (N) sequentiell gegen unendlich gehen. In einer Monte-Carlo-Studie werden die Eigenschaften des Panel-SL Tests in endlichen Stichproben untersucht. Der neue Test hat ein annehmbares empirisches Signifikanzniveau für wachsende T und N sowie eine hohe Güte in kleinen Stichproben. Der letzte Aufsatz der Dissertation analysiert die langfristige Geldnachfragefunktion in OECD Ländern mit Hilfe von Paneleinheitswurzel- und Panelkointegrationstests. Um eine mögliche Existenz einer stationären langfristigen Geldnachfragefunktion zu untersuchen, werden der Panel-SL Kointegrationstest und die Tests von Pedroni (1999) verwendet. Im Anschluss daran, This thesis is composed of four essays which contribute to the literature in panel cointegration methodology. The first essay compares the finite sample properties of the four residual-based panel cointegration tests of Pedroni (1995, 1999) and the likelihood-based panel cointegration test of Larsson et al. (2001). The simulation results indicate that the panel-t test statistic of Pedroni has the best finite sample properties among the five panel cointegration test statistics evaluated. The second essay presents a corrected version of the proof of Larsson et al. (2001) related to the finiteness of the moments of the asymptotic trace statistic. The proof is corrected for the case, in which the difference between the number of variables and the number of existing cointegrating relations is one. The third essay proposes a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio test of Saikkonen and Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. Under the null hypothesis, the panel SL test statistic is standard normally distributed as the number of time periods (T) and the number of cross-sections (N) tend to infinity sequentially. By means of a Monte Carlo study the finite sample properties of the test are investigated. The new test presents reasonable size with the increase in T and N, and has high power in small samples. The last essay of the thesis analyzes the long-run money demand relation among OECD countries by panel unit root and cointegration testing techniques. The panel SL cointegration test and the tests of Pedroni (1999) are used to detect the existence of a stationary long-run money demand relation. Moreover, the money demand function is estimated with the panel dynamic ordinary least squares method of Mark and Sul (2003).

Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson et al. (2001) in endlichen Stichproben. Die Simulationsergebnisse zeigen, dass unter den fünf untersuchten Panelkointegrationsteststatistiken die Panel-t Teststatistik von Pedroni (1995, 1999) die besten Eigenschaften in endlichen Stichproben besitzt. Der zweite Aufsatz präsentiert eine Korrektur des Beweises von Larsson et al. (2001) bezüglich der Endlichkeit der Momente der asymptotischen Trace-Statistik für den Fall, dass die Differenz zwischen der Anzahl der Variablen und der Anzahl der existierenden Kointegrationsbeziehungen eins ist. Im dritten Aufsatz wird ein neuer Likelihood-basierter Panelkointegrationstest vorgestellt, der die Existenz eines linearen Trends in dem datengenerierenden Prozess erlaubt. Dieser neue Test ist eine Erweiterung des Likelihood-Quotienten-Tests von Saikkonen und Lütkepohl (2000a) für trendbereinigte Daten auf die Paneldatenanalyse. Unter der Nullhypothese folgt die Panel-SL Teststatistik einer standardisierten Normalverteilung, wenn die Anzahl der Beobachtungen über die Zeit (T) und die Anzahl der Querschnitte (N) sequentiell gegen unendlich gehen. In einer Monte-Carlo-Studie werden die Eigenschaften des Panel-SL Tests in endlichen Stichproben untersucht. Der neue Test hat ein annehmbares empirisches Signifikanzniveau für wachsende T und N sowie eine hohe Güte in kleinen Stichproben. Der letzte Aufsatz der Dissertation analysiert die langfristige Geldnachfragefunktion in OECD Ländern mit Hilfe von Paneleinheitswurzel- und Panelkointegrationstests. Um eine mögliche Existenz einer stationären langfristigen Geldnachfragefunktion zu untersuchen, werden der Panel-SL Kointegrationstest und die Tests von Pedroni (1999) verwendet. Im Anschluss daran, This thesis is composed of four essays which contribute to the literature in panel cointegration methodology. The first essay compares the finite sample properties of the four residual-based panel cointegration tests of Pedroni (1995, 1999) and the likelihood-based panel cointegration test of Larsson et al. (2001). The simulation results indicate that the panel-t test statistic of Pedroni has the best finite sample properties among the five panel cointegration test statistics evaluated. The second essay presents a corrected version of the proof of Larsson et al. (2001) related to the finiteness of the moments of the asymptotic trace statistic. The proof is corrected for the case, in which the difference between the number of variables and the number of existing cointegrating relations is one. The third essay proposes a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio test of Saikkonen and Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. Under the null hypothesis, the panel SL test statistic is standard normally distributed as the number of time periods (T) and the number of cross-sections (N) tend to infinity sequentially. By means of a Monte Carlo study the finite sample properties of the test are investigated. The new test presents reasonable size with the increase in T and N, and has high power in small samples. The last essay of the thesis analyzes the long-run money demand relation among OECD countries by panel unit root and cointegration testing techniques. The panel SL cointegration test and the tests of Pedroni (1999) are used to detect the existence of a stationary long-run money demand relation. Moreover, the money demand function is estimated with the panel dynamic ordinary least squares method of Mark and Sul (2003).