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Unit root and stationarity tests' wedding

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  • Carrion-i-Silvestre, Josep Lluis
  • Sanso-i-Rossello, Andreu
  • Ortuno, Manuel Artis

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 70 (2001)
Issue (Month): 1 (January)
Pages: 1-8

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Handle: RePEc:eee:ecolet:v:70:y:2001:i:1:p:1-8

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  1. 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, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
  2. Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers, Wisconsin Madison - Social Systems 9220, Wisconsin Madison - Social Systems.
  3. Yin-Wong Cheung & Menzie Chinn, 1995. "Further investigation of the uncertain unit root in GNP," Econometrics, EconWPA 9508002, EconWPA.
  4. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, Elsevier, vol. 47(3-4), pages 255-261, March.
  5. Charemza, Wojciech W. & Syczewska, Ewa M., 1998. "Joint application of the Dickey-Fuller and KPSS tests," Economics Letters, Elsevier, Elsevier, vol. 61(1), pages 17-21, October.
  6. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics, EconWPA 9502005, EconWPA.
  7. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
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Cited by:
  1. Cavalcante, Mileno, 2010. "An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009," MPRA Paper 24263, University Library of Munich, Germany.
  2. Eskandar Elmarzougui & Bruno Larue, 2011. "On the Evolving Relationship between Corn and Oil Prices," Cahiers de recherche CREATE 2011-3, CREATE.
  3. Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance, EconWPA 0501003, EconWPA.
  4. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4627-4649.
  5. Myriam Nourry, 2009. "Re-Examining the Empirical Evidence for Stochastic Convergence of Two Air Pollutants with a Pair-Wise Approach," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 44(4), pages 555-570, December.
  6. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(4), pages 411-435.
  7. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, Springer, vol. 31(2), pages 433-448, June.
  8. Vasco J. Gabriel, 2001. "Cointegration and the joint confirmation hypothesis," NIPE Working Papers, NIPE - Universidade do Minho 12/2001, NIPE - Universidade do Minho.
  9. Keblowski, Piotr & Welfe, Aleksander, 2004. "The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root," Economics Letters, Elsevier, Elsevier, vol. 85(2), pages 257-263, November.
  10. Gervais, Jean-Philippe & Khraief, Naceur, 2007. "AJAE Appendix: Is Exchange Rate Pass-Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?," American Journal of Agricultural Economics Appendices, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 89(4), November.
  11. Jean-Philippe Gervais & Bruno Larue & Olivier Bonroy, 2004. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade," International Trade, EconWPA 0407004, EconWPA.
  12. repec:ags:ulavwp:118580 is not listed on IDEAS

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