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Classical and Bayesian aspects of robust unit root inference

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  • Hoek, Henk
  • Lucas, Andre
  • van Dijk, Herman K.

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  • Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
    • Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:27-59
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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Perron, Pierre & Vogelsang, Timothy J., "undated". "Level Shifts and Purchasing Power Parity," Instructional Stata datasets for econometrics levshift, Boston College Department of Economics.
    3. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-478, October.
    4. Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(2), pages 200-212, June.
    5. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June.
    6. Hop, J Peter & Van Dijk, Herman K, 1992. "SISAM and MIXIN: Two Algorithms for the Computation of Posterior Moments and Densities Using Monte Carlo Integration," Computer Science in Economics & Management, Kluwer;Society for Computational Economics, vol. 5(3), pages 183-220, August.
    7. Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(2), pages 331-346, February.
    8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    10. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
    11. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    12. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
    13. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    14. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
    15. Prucha, Ingmar R & Kelejian, Harry H, 1984. "The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances," Econometrica, Econometric Society, vol. 52(3), pages 721-736, May.
    16. Eric Zivot & Peter C.B. Phillips, 1991. "A Bayesian Analysis of Trend Determination in Economic Time Series," Cowles Foundation Discussion Papers 1002, Cowles Foundation for Research in Economics, Yale University.
    17. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    18. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
    19. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    20. Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 19-40, Suppl. De.
    21. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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    Cited by:

    1. Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2003. "Range unit root tests," DES - Working Papers. Statistics and Econometrics. WS ws031126, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Kai Carstensen, 2003. "The finite-sample performance of robust unit root tests," Statistical Papers, Springer, vol. 44(4), pages 469-482, October.
    3. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
    4. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
    5. Valeria C. Castellanos, 2008. "Comisiones en cajeros automáticos y su relación con el tamaño de la red en México," Monetaria, CEMLA, vol. 0(1), pages 57-92, enero-mar.
    6. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
    7. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
    8. Olivier Darné & Amélie Charles, 2012. "A note on the uncertain trend in US real GNP: Evidence from robust unit root tests," Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
    9. César E. Tamayo & Andrés M. Vargas, 2008. "Flujos de capital y frenazos súbitos: teoría, historia y una nueva estimación," Monetaria, CEMLA, vol. 0(1), pages 27-56, enero-mar.
    10. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
    11. Franses, Philip Hans & Lucas, André, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    12. Enrique Cuervo Guzmán, 2008. "Bayesian analysis of the unit root in real exchange rates: the NAFTA case," Monetaria, CEMLA, vol. 0(1), pages 93-144, enero-mar.
    13. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 217-235, April.
    14. Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.
    15. Bibiana Lanzilotta & Adrián Fernández & Gonzalo Zunino, 2008. "Evaluación de las proyecciones de analistas: la encuesta de expectativas de inflación del banco central," Monetaria, CEMLA, vol. 0(1), pages 1-25, enero-mar.
    16. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027.

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