Do Property-Casualty Insurance Underwriting Margins Have Unit Roots?

Journal of Risk and Insurance

Volumn 70, Issue 4, 2003, Pages 715-733

  Harrington, Scott E ^a   Yu, Tong ^b  

^a UNIVERSITY OF SOUTH CAROLINA   (United States)

^b UNIVERSITY OF RHODE ISLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348157103     PISSN: 00224367     EISSN: None     Source Type: Journal    
DOI: 10.1046/j.0022-4367.2003.00072.x     Document Type: Review

References (36)

1. Ayat, L., and R. Burridge, 2000, Unit Root Tests in the Presence of Uncertainty About the Non-Stochastic Trend, Journal of Econometrics, 95: 71-96.
2. Choi, S., and P. Thistle, 1997, A Structural Approach to Underwriting Cycles in the Property-Liability Insurance Industry, Working paper, Western Michigan University.
3. Cummins, J. D., and F. Outreville, 1987, An International Analysis of Underwriting Cycles in Property-Liability Insurance, Journal of Risk and Insurance, 54: 246-262.
4. DeJong, D. N., and C. H. Whiteman, 1991, The Case for Trend-Stationarity is Stronger than We Thought, Journal of Applied Econometrics, 6: 413-421.
5. DeJong, D. N., J. C. Nankervis, N. E. Savin, and C. H. Whiteman, 1992a, Integration Versus Trend Stationary in Time Series, Econometrica, 60: 423-433.
6. DeJong, D. N., J. C. Nankervis, N. E. Savin, and C. H. Whiteman, 1992b, The Power Problems of Unit Root Tests in Time Series with Autoregressive Errors, Journal of Econometrics, 53: 323-343.
7. Dickey, D. A., 1984, Powers of Unit Root Tests, Presented in Business and Economics Section, American Statistical Association, pp. 489-493.
8. Dickey, D., and W. A. Fuller, 1979, Distribution of the Estimates for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74: 427-431.
9. Dickey, D., and W. A. Fuller, 1981, Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49: 1057-1072.
10. Dieboldt, F. X., and A. S. Senhadji, 1996, The Uncertain Unit Root in Real GNP: Comment, American Economic Review, 86: 1291-1298.
11. Doherty, N., and H. B. Kang, 1988, Interest Rates and Insurance Price Cycles, Journal of Banking and Finance, 12: 199-214.
12. Doldado, J., T. Jenkinson, and S. Sosvilla-Rivero, 1990, Cointegration and Unit Roots, Journal of Economic Surveys, 4: 249-273.
13. Dufour, J.-M., and M. L. King, 1991, Optimal Invariant Tests for the Autocorrelation Coefficient in Linear Regressions with Stationary or Nonstationary AR(1) Errors, Journal of Econometrics, 47: 115-143.
14. Elliott, G., T. J. Rothenberg, and J. H. Stock, 1996, Efficient Tests for an Autoregressive Unit Root, Econometrica, 64: 813-836.
15. Enders, W., 1995, Applied Time Series Econometrics (New York: John Wiley and Sons).
16. Engle, R., and C. W. Granger, 1987, Co-Integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55: 251-276.
17. Fuller, W. A., 1996, Introduction to Statistical Time Series (New York: John Wiley and Sons).
18. Garcia, R., and P. Perron, 1996, An Analysis of the Real Interest Rate Under Regime Shifts, Review of Economics and Statistics, 78: 111-125.
19. Grace, M., and J. Hotchkiss, 1995, External Impacts on the Property-Liability Insurance Cycle, Journal of Risk and Insurance, 62: 738-754.
20. Granger, C. W., and P. Newbold, 1974, Forecasting Economic Time Series (New York: Academic Press).
21. Gron, A., 1994, Evidence of Capacity Constraints in Insurance Markets, Journal of Law and Economics, 37: 349-377.
22. Haley, J., 1993, A Cointegration Analysis of the Relationship Between Underwriting Margins and Interest Rates: 1930-1989, Journal of Risk and Insurance, 60: 480-493.
23. Haley, J., 1995, A By-Line Cointegration Analysis of Underwriting Margins and Interest Rates in the Property-Liability Insurance Industry, Journal of Risk and Insurance, 62: 755-763.
24. Hamilton, J. D., 1994, Time Series Analysis (Princeton, NJ: Princeton University Press).
25. Harrington, S. E., and G. Niehaus, 2000, Volatility and Underwriting Cycles, in: G. Dionne, ed., The Handbook of Insurance Economics (Boston: Kluwer Academic).
26. Hwang, J., and P. Schmidt, 1996, Alternative Methods of Detrending and the Power of Unit Root Tests, Journal of Econometrics, 227-248.
27. King, M. L., 1988, Towards a Theory of Point Optimal Testing, Econometric Reviews, 6: 169-218.
28. Malliaropulos, D., 2000, A Note on Nonstationarity, Structural Breaks, and the Fisher Effect, Journal of Banking and Finance, 24: 695-707.
29. Nelson, C. R., and C. I. Plosser, 1982, Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10: 139-162.
30. Perron, P., 1988, Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach, Journal of Economic Dynamics and Control, 12: 297-332.
31. Perron, P., 1989, The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57: 1361-1401.
32. Rudebusch, G. D., 1993, The Uncertain Unit Root in Real GNP, American Economic Review, 83: 264-272.
33. Said, S. E., and D. A. Dickey, 1984, Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order, Biometrika, 71: 599-607.
34. Venezian, E., 1985, Ratemaking Methods and Profit Cycles in Property and Liability Insurance, Journal of Risk and Insurance, 52: 199-221.
35. West, K., 1987, A Note on the Power of Least Squares Tests for a Unit Root, Economics Letters, 24: 249-252.
36. Winter, R. A., 1994, The Dynamics of Competitive Insurance Markets, Journal of Financial Intermediation, 3: 379-415.