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The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test

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  • Burridge, Peter
  • Guerre, Emmanuel

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 04 (October)
Pages: 705-723

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Handle: RePEc:cup:etheor:v:12:y:1996:i:04:p:705-723_00

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Cited by:
  1. Felipe M. Aparicio Acosta, 2003. "On The Record Properties Of Integrated Time Series," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws036414, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, Elsevier, vol. 74(3), pages 313-319, February.
  3. Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers, Banco de Portugal, Economics and Research Department w200503, Banco de Portugal, Economics and Research Department.
  4. Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies 233, Institute for Advanced Studies.
  5. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, Elsevier, vol. 102(2), pages 197-229, June.
  6. Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, Elsevier, vol. 76(10), pages 986-990, May.
  7. I Paya & A Duarte & K Holden, 2006. "On the relationship between inflation persistence and temporal aggregation," Working Papers 578936, Lancaster University Management School, Economics Department.
  8. repec:lan:wpaper:2464 is not listed on IDEAS
  9. repec:lan:wpaper:2606 is not listed on IDEAS
  10. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, Elsevier, vol. 95(2), pages 375-389, April.
  11. Kunst, Robert M., 2014. "A Combined Nonparametric Test for Seasonal Unit Roots," Economics Series, Institute for Advanced Studies 303, Institute for Advanced Studies.
  12. Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3322-3344.
  13. In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers, Research Institute for Market Economy, Sogang University 1404, Research Institute for Market Economy, Sogang University.
  14. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.
  15. Shin, Dong Wan & So, Beong Soo, 2000. "Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments," Journal of Econometrics, Elsevier, Elsevier, vol. 99(1), pages 107-137, November.
  16. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws041104, Universidad Carlos III, Departamento de Estadística y Econometría.

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