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Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

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  • Charemza, Wojciech W.
  • Lifshits, Mikhail
  • Makarova, Svetlana

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 29 (2005)
Issue (Month): 1-2 (January)
Pages: 63-96

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Handle: RePEc:eee:dyncon:v:29:y:2005:i:1-2:p:63-96

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  1. Bera, Anil K & Higgins, Matthew L, 1997. "ARCH and Bilinearity as Competing Models for Nonlinear Dependence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(1), pages 43-50, January.
  2. Peel, David & Davidson, James, 1998. "A non-linear error correction mechanism based on the bilinear model1," Economics Letters, Elsevier, vol. 58(2), pages 165-170, February.
  3. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  4. 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, Elsevier, vol. 54(1-3), pages 159-178.
  5. Charemza, Wojciech W. & Syczewska, Ewa M., 1998. "Joint application of the Dickey-Fuller and KPSS tests," Economics Letters, Elsevier, vol. 61(1), pages 17-21, October.
  6. Diba, Behzad T & Grossman, Herschel I, 1988. "The Theory of Rational Bubbles in Stock Prices," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 98(392), pages 746-54, September.
  7. Ikeda, Shinsuke & Shibata, Akihisa, 1992. "Fundamentals-dependent bubbles in stock prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 30(1), pages 143-168, October.
  8. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(4), pages 435-46, October.
  9. McCabe,B.P.M. & Tremayne,A.R., 1995. "Testing a Time-Series for Difference Stationarity," Cambridge Working Papers in Economics 9420, Faculty of Economics, University of Cambridge.
  10. Granger, E.J. & Swanson, N.R., 1996. "An introduction to stochastic Unit Root Processes," Papers, Pennsylvania State - Department of Economics 4-96-3, Pennsylvania State - Department of Economics.
  11. Brunner, Allan D. & Hess, Gregory D., 1995. "Potential problems in estimating bilinear time-series models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(4), pages 663-681, May.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Wojciech Charemza
    by Metablog Obserwatora Finansowego in Obserwator Finansowy on 2009-12-10 11:59:58
  2. Wojciech Charemza
    by Metablog Obserwatora Finansowego in Obserwator Finansowy on 2009-12-10 11:59:58
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Cited by:
  1. Roberto Leon-Gonzalez & Fuyu Yang, 2014. "Bayesian Inference and Forecasting in the Stationary Bilinear Model," University of East Anglia Applied and Financial Economics Working Paper Series, School of Economics, University of East Anglia, Norwich, UK. 055, School of Economics, University of East Anglia, Norwich, UK..
  2. Daniela Hristova, 2004. "Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices," Computing in Economics and Finance 2004, Society for Computational Economics 47, Society for Computational Economics.
  3. Francq, Christian & Makarova, Svetlana & Zakoi[diaeresis]an, Jean-Michel, 2008. "A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 312-326, January.
  4. Daisuke Nagakura, 2007. "Testing for Coefficient Stability of AR(1) Model When the Null is an Integrated or a Stationary Process," IMES Discussion Paper Series 07-E-20, Institute for Monetary and Economic Studies, Bank of Japan.

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