On The Asymptotics Of Adf Tests For Unit Roots
Author
Abstract
Suggested Citation
DOI: 10.1081/ETC-120015385
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Peter C.B. Phillips & Pierre Perron, 1986.
"Testing for a Unit Root in Time Series Regression,"
Cowles Foundation Discussion Papers
795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
- Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag,"
Cahiers de recherche
9423, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- E. J. Hannan & L. Kavalieris, 1986. "Regression, Autoregression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(1), pages 27-49, January.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Isabel Cortés-Jiménez & Manuel ArtÃs, 2005.
"The role of the tourism sector in economic development - Lessons from the Spanish experience,"
ERSA conference papers
ersa05p488, European Regional Science Association.
- Isabel Cortes Jimenez & Manuel Artis Ortuno, 2006. "The role of the tourism sector in economic development. Lessons from the Spanish experience," Working Papers in Economics 158, Universitat de Barcelona. Espai de Recerca en Economia.
- Murray, Christian J. & Nelson, Charles R., 2000.
"The uncertain trend in U.S. GDP,"
Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
- Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, University Library of Munich, Germany.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
- Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics.
- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999.
"Unit Root Tests in the Presence of Markov Regime-Switching,"
Discussion Papers in Economics at the University of Washington
0040, Department of Economics at the University of Washington.
- Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
- Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
- Maurice Kugler & Reza Ofoghi, 2005. "Does Insurance Promote Economic Growth? Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 8, Money Macro and Finance Research Group.
- Theodore Joyce & Naci Mocan, 1993.
"Unemployment and Infant Health: Time-Series Evidence from the State of Tennessee,"
Journal of Human Resources, University of Wisconsin Press, vol. 28(1), pages 185-203.
- Theodore J. Joyce & Naci H. Mocan, 1991. "Unemployment and Infant Health: Times-Series Evidence from the State of Tennessee," NBER Working Papers 3694, National Bureau of Economic Research, Inc.
- Peter C.B. Phillips, 1991. "Unit Roots," Cowles Foundation Discussion Papers 998, Cowles Foundation for Research in Economics, Yale University.
- He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," SSE/EFI Working Paper Series in Economics and Finance 580, Stockholm School of Economics.
- Joon Y. Park, 2003.
"Bootstrap Unit Root Tests,"
Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
- Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
- Park, Joon, 2002. "Bootstrap Unit Root Tests," Working Papers 2003-04, Rice University, Department of Economics.
- Carrera, Jorge Eduardo & Feliz, Mariano & Panigo, Demian, 2003. "Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables," Journal of Applied Economics, Universidad del CEMA, vol. 6(2), pages 1-26, November.
- Vicente Esteve & Juan Sanchis-Llopis, 2005. "Estimating the substitutability between private and public consumption: the case of Spain, 1960-2003," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2327-2334.
- Norman J. Morin & John M. Roberts, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
- van Amano, Robert A & Norden, Simon, 1998.
"Exchange Rates and Oil Prices,"
Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
- Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance 9509001, University Library of Munich, Germany.
- M. T. Alguacil & V. Orts, 2003.
"Inward Foreign Direct Investment and Imports in Spain,"
International Economic Journal, Taylor & Francis Journals, vol. 17(3), pages 19-38.
- M. T. Alguacil & V. Orts, "undated". "Inward Foreign Direct Investment and Imports in Spain," Working Papers on International Economics and Finance 02-01, FEDEA.
- M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
- Jacint Balaguer & Manuel Cantavella-Jorda, 2004.
"Structural change in exports and economic growth: cointegration and causality analysis for Spain (1961-2000),"
Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 473-477.
- Jacint Balaguer & Manuel Cantavella-Jordá, 2002. "Structural Change In Exports And Economic Growth: Cointegration And Causality Analysis For Spain (1961-2000)," Working Papers. Serie EC 2002-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Vicente Meneu & Hipòlit Torró, 2003.
"Asymmetric covariance in spot‐futures markets,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
- Vicente Meneu & Hipolit Torro, "undated". "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
- Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model,"
Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print hal-00685810, HAL.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
- Randolph & Xiao Qin & Tan Gee Kwang, 2004.
"Unit Root Tests with Markov-Switching,"
Econometric Society 2004 Australasian Meetings
145, Econometric Society.
- Xiao Qin & Gee Kwang Randolph Tan, 2005. "Unit Root Tests With Markov-Switching," Computing in Economics and Finance 2005 95, Society for Computational Economics.
More about this item
Keywords
ADF tests; Unit roots; Asymptotics; Linear process; Autoregressive approximation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:21:y:2002:i:4:p:431-447. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.tandfonline.com/LECR20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.