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

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  • Charemza W.W.
  • M. Lifshits
  • S. Makarova

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 251.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:251

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Keywords: Time series econometrics; financial makrets; testing;

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Ikeda, Shinsuke & Shibata, Akihisa, 1992. "Fundamentals-dependent bubbles in stock prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 30(1), pages 143-168, October.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, Elsevier, vol. 80(1), pages 35-62, September.
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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. 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.
  2. 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..
  3. 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.
  4. 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.

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