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Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets

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  • Pat Wilson
  • John Okunev

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  • Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    • Handle: RePEc:uts:wpaper:62
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    4. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    5. Grauer, Robert R & Hakansson, Nils H, 1987. "Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds," Journal of Finance, American Finance Association, vol. 42(3), pages 721-739, July.
    6. Liu, Crocker H. & Hartzell, David J. & Greig, Wylie & Grissom, Terry V., 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-282, September.
    7. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    8. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    9. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
    10. Ratner, Mitchell, 1992. "Portfolio diversification and the inter-temporal stability of international stock indices," Global Finance Journal, Elsevier, vol. 3(1), pages 67-77.
    11. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
    12. Paul K. Asabere & Robert Kleiman & Carl McGowan, 1991. "The Risk-Return Attributes of International Real Estate Equities," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 143-152.
    13. 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.
    14. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    15. Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    16. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    24. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
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    26. James L. Kuhle, 1987. "Portfolio Diversification and Return Benefits--Common Stock vs. Real Estate Investment Trusts (REITs)," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 1-9.
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    29. M. Wayne Marr & John L. Trimble & Raj Varma, 1991. "On the Integration of International Capital Markets: Evidence From Euroequity Offerings," Financial Management, Financial Management Association, vol. 20(4), Winter.
    30. Alan J. Ziobrowski & Richard Curcio, 1991. "Diversification Benefits of U.S. Real Estate to Foreign Investors," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 119-142.
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