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A guide to the computation of stationarity tests

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  • Josep Carrion-i-Silvestre

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  • Andreu Sansó

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 31 (2006)
Issue (Month): 2 (June)
Pages: 433-448

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Handle: RePEc:spr:empeco:v:31:y:2006:i:2:p:433-448

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Related research

Keywords: Stationarity test; KPSS test; LMC test; Optimal bandwidth selection; Long-run variance estimation; Purchasing Power Parity;

References

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  1. Junsoo Lee & Mark Strazicich, 2001. "Testing the null of stationarity in the presence of a structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 377-382.
  2. Corbae, Dean & Ouliaris, Sam, 1991. "A Test of Long-Run Purchasing Power Parity Allowing for Structural Breaks," The Economic Record, The Economic Society of Australia, vol. 67(196), pages 26-33, March.
  3. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
  4. Choi, In & Ahn, Byung Chul, 1995. "Testing for Cointegration in a System of Equations," Econometric Theory, Cambridge University Press, vol. 11(05), pages 952-983, October.
  5. repec:cup:etheor:v:11:y:1995:i:5:p:952-83 is not listed on IDEAS
  6. Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
  7. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  8. McCabe, B.P.M. & Leybourne, S.J., 1998. "On Estimating An Arma Model With An Ma Unit Root," Econometric Theory, Cambridge University Press, vol. 14(03), pages 326-338, June.
  9. Sainan Jin & Peter C.B. Phillips, 2002. "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers 1373, Cowles Foundation for Research in Economics, Yale University.
  10. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
  11. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  12. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  13. Leybourne, S J & McCabe, B P M, 1999. "Modified Stationarity Tests with Data-Dependent Model-Selection Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 264-70, April.
  14. Gabriel, Vasco J., 2003. "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, vol. 78(1), pages 17-25, January.
  15. Lyhagen, Johan, 2000. "The seasonal KPSS statistic," Working Paper Series in Economics and Finance 354, Stockholm School of Economics.
  16. Carrion-i-Silvestre, Josep Lluis & Sanso-i-Rossello, Andreu & Ortuno, Manuel Artis, 2001. "Unit root and stationarity tests' wedding," Economics Letters, Elsevier, vol. 70(1), pages 1-8, January.
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