Christian Schoder, Christian Proano, and Willi Semmler, "Are the Current
Account Imbalances between EMU Countries Sustainable? Evidence from
Parametric and Non-Parametric Tests", Journal of Applied Econometrics,
Vol. 28, No. 7, 2013, pp. 1179-1204.
There are four zip files, each of which contains one or more ASCII files
in DOS format. Unix/Linux users should use "unzip -a". The four zip
files collectively include the data set used as well as the program
codes for the estimations and data generation.
1. sps-data.zip includes the following file:
a. "dat_final.csv": It provides the data used in the regression
analysis. For each country considered, it includes the following
variables whose ranges and sources are outlined in the main text of the
article:
- idn identification number of country
- id identification string of country
- nfl.gdp net financial liabilities-GDP ratio
- ta.gdp net exports-GDP ratio
- tdd log of the country's total domestic demand as a share of the
total domestic demand of the OECD
- reer the real effective exchange rate based on CPI
- reeru the real effective exchange rate based on unit labor costs
2. sps-r-interpolation.zip includes the following files:
a. "alg_Chow-Lin.txt": Is the R script for interpolating/extrapolating
time series according to the Chow and Lin (1971) procedure as discussed
in the data appendix of the article.
b. "dat_y_dot.csv": Input file for "alg_Chow-Lin.txt" as explained in
"alg_Chow-Lin.txt"
c. "dat_x.csv": Input file for "alg_Chow-Lin.txt" as explained in
"alg_Chow-Lin.txt"
d. "dat_x_dot.csv": Input file for "alg_Chow-Lin.txt" as explained in
"alg_Chow-Lin.txt"
3. sps-r-estimation.zip includes the following files:
a. "alg_dataimport.txt": This file imports the data from the data-file
and generates the measure of exchange rate volatility for each country.
It also creates a stacked data set required for the panel estimations in
stata. Finally, it performs a within transformation to the data used for
the penalized splines estimation.
b. "alg_estimations_bohn_splines.txt": This file defines the sub-samples
considered, performs the Bohn test with the response parameter depending
on exchange rate flexibility and plots the results.
c. "alg_estimations_ur.txt": peforms for each country the Augmented
Dickey-Fuller test, the Elliot-Rothenberg-Stock test and the
Zivot-Andrews test.
d. "alg_estimations_ur_subperiods.txt": The sample is split with two
different breack points: 1994:1 and 1997:1. For each country and each
sub-sample the Augmented Dickey-Fuller test, the Elliot-Rothenberg-Stock
test and the Zivot-Andrews test are performed.
e. "alg_estimations_ur_splines.txt": This file defines the sub-samples
considered, estimates the Augmented Dickey-Fuller regression
specification with the auto-regressive parameter depending on exchange
rate flexibility and plots the results.
4. sps-stata-programs.zip includes the following files:
a. "dat_pan_all.csv": Data file copied from sps-r-estimation.zip
after running "alg_dataimport.txt".
b. "alg_ecm_panel.do": Stata script for estimating equation (16) in the
main text of the article for different groups of countries using the
Pooled Mean-Group estimator as well as the Mean-Group estimator with a
breakpoint in 1997:1.
c. "alg_ecm_panel_breakpoint_94.do": Stata script for estimating
equation (16) in the main text of the article for different groups of
countries using the Pooled Mean-Group estimator as well as the
Mean-Group estimator with a breakpoint in 1994:1.
d. "alg_ecm_panel_breakpoint_99.do": Stata script for estimating
equation (16) in the main text of the article for different groups of
countries using the Pooled Mean-Group estimator as well as the
Mean-Group estimator with a breakpoint in 1999:1.
e. "alg_ecm_panel_including_control_vars.do": Stata script for
estimating equation (16) in the main text of the article for different
groups of countries using the Pooled Mean-Group estimator as well as the
Mean-Group estimator with a breakpoint in 1997:1 and including control
variables.
f. "alg_ur_panel.do": Stata script performing the Breitung and Das panel
unit root test for various subsamples.
g. "alg_ur_clemente-montanes-reyes.do": Stata script for performing the
Clemente, Montanes and Reyes panel unit root test.