This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "LM Tests for a Unit Root in the Presence of Deterministic Trends"

by Schmidt, Peter & Phillips, C B Peter

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Luis C. Nunes, 2004. "LM-Type tests for a Unit Root Allowing for a Break in Trend," Econometric Society 2004 Australasian Meetings 190, Econometric Society. [Downloadable!]
  2. Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
    Other versions:
  3. Robert Rowthorn & Andrew Glyn, 2006. "Convergence and Stability in U.S. Employment Rates," Contributions to Macroeconomics, Berkeley Electronic Press, vol. 6(1), pages 1368-1368. [Downloadable!] (restricted)
  4. Christophe Rault & Antonio Alfonso, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," William Davidson Institute Working Papers Series wp893, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    Other versions:
  5. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, EconWPA, revised 08 Nov 1994. [Downloadable!]
  6. Andreas Bühn & Alexander Karmann & Friedrich Schneider, 2007. "Size and Development of the Shadow Economy and of Do-it-yourself Activities in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  7. David I. Stern & Robert K. Kaufmann, 1997. "Time series properties of global climate variables: detection and attribution of climate change," Working Papers in Ecological Economics 9702, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program. [Downloadable!]
  8. J. Breitung & P. H. Franses, . "On Phillips-Perron Type Tests for Seasonal Unit Roots," Sonderforschungsbereich 373 1996-27, Humboldt Universitaet Berlin.
  9. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, Economics Bulletin, vol. 3(23), pages 1-15. [Downloadable!]
  10. de la Croix, David & Urbain, Jean-Pierre, 1996. "Intertemporal Substitution in Import Demand and Habit Formation," Discussion Papers 1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    Other versions:
  11. ALTINAY, Galip, 2005. "Structural Breaks in Long-Term Turkish Macroeconomic Data,1923-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4). [Downloadable!] (restricted)
  12. Secretaría de Hacienda Distrital, 2003. "El comportamiento de la productividad en la economía bogotana," CUADERNOS DE LA CIUDAD 002473, SEC. HACIENDA DE BOGOTÁ - DIRESTUDIOS ECONÓMICOS. [Downloadable!]
  13. Carlo Monticelli, 1993. "'All the money in europe?' An investigation of the economic properties of EC-wide extended monetary aggregates," BIS Working Papers 19, Bank for International Settlements. [Downloadable!]
  14. Westerlund, Joakim, 2005. "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers 2005:12, Lund University, Department of Economics.
  15. L’Horty, Yannick & Rault, Christophe, 2003. "The Impact of Growth, Labour Cost and Working Time on Employment: Lessons from the French Experience," IZA Discussion Papers 871, Institute for the Study of Labor (IZA). [Downloadable!]
  16. Kyung So Im & Junsoo Lee, 2000. "LM Unit Root Test with Panel Data: A Test Robust To Structural Changes," Econometric Society World Congress 2000 Contributed Papers 0648, Econometric Society. [Downloadable!]
  17. Luis Alberiko Gil-Alana, . "Structural Change and the Order of Integration in Univariate Time Series," Faculty Working Papers 20/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  18. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Working Papers 0506, Department of Economics, Vanderbilt University. [Downloadable!]
  19. Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
    Other versions:
  20. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
    Other versions:
  21. Luis A. Gil-Alana, 2004. "Testing of I(d) processes in the real output," Economics Bulletin, Economics Bulletin, vol. 3(32), pages 1-6. [Downloadable!]
  22. Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
    Other versions:
  23. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  24. J. Breitung & C. Gouriéroux, . "Rank Tests for Unit Roots," Sonderforschungsbereich 373 1996-9, Humboldt Universitaet Berlin.
    Other versions:
  25. Junsoo Lee & John A. List & Mark Strazicich, 2005. "Nonrenewable Resource Prices: Deterministic or Stochastic Trends?," NBER Working Papers 11487, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  26. Paresh Kumar Narayan, 2006. "Are Australia's tourism markets converging?," Applied Economics, Taylor and Francis Journals, vol. 38(10), pages 1153-1162, June. [Downloadable!] (restricted)
  27. Ana Luísa G. Abras & Bráulio L Borges & Rodrigo M. Sekkel, 2004. "Breaking trend, Lagrange multiplier test statistic and the presence of a unit root in the Brazilian gross domestic product," Applied Economics Letters, Taylor and Francis Journals, vol. 11(6), pages 361-364, May. [Downloadable!] (restricted)
  28. L. Gil-Alana, . "Forecasting the Real Output Using Fractionally Integrated Techniques," Sonderforschungsbereich 373 2001-27, Humboldt Universitaet Berlin.
  29. Haluk Erlat, 2004. "Unit roots or nonlinear stationarity in Turkish real exchange rates," Applied Economics Letters, Taylor and Francis Journals, vol. 11(10), pages 645-650, August. [Downloadable!] (restricted)
  30. Gilles DUFRENOT & Val=E9rie MIGNON & Anne PEGUIN-FEISSOLE, 2003. "Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models," Macroeconomics 0309002, EconWPA. [Downloadable!]
  31. Westerlund, Joakim & Edgerton, David, 2006. "Simple Tests for Cointegration in Dependent Panels with Structural Breaks," Working Papers 2006:13, Lund University, Department of Economics, revised 28 Jan 2007. [Downloadable!]
  32. Luis A. Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor and Francis Journals, vol. 36(14), pages 1583-1589, August. [Downloadable!] (restricted)
  33. Paulo M.M. Rodrigues & A.M. Robert Taylor, 2004. "Efficient Tests of the Seasonal Unit Root Hypothesis," Economics Working Papers ECO2004/29, European University Institute. [Downloadable!]
    Other versions:
  34. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
  35. Guglielmo Maria Caporale & Luis A. Gil-Alana & Mike Nazarski, 2004. "Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data," Economics and Finance Discussion Papers 04-20, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  36. Matteo Lanzafame, 2006. "The Nature of Regional Unemployment in Italy," ERSA conference papers ersa06p155, European Regional Science Association. [Downloadable!]
    Other versions:
  37. Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University. [Downloadable!]
  38. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies. [Downloadable!]
  39. Beetsma,Roel M.W.J. & Bovenberg,A. Lans, 1996. "Designing fiscal and monetary institutions for a European Monetary Union," Research Memoranda 004, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    Other versions:
  40. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation, Yale University. [Downloadable!]
  41. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society. [Downloadable!]
  42. António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers 2007/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  43. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  44. Shyh-Wei Chen, 2008. "Are 19 Developed Countries' Real Per Capita GDP levels Non-stationary? A Revisit," Economics Bulletin, Economics Bulletin, vol. 3(2), pages 1-11. [Downloadable!]
  45. Uwe Hassler & Paulo M. M. Rodrigues, 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
    Other versions:
  46. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany. [Downloadable!]
  47. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
  48. Yannick L'horty & Christophe Rault, 2004. "Inflation, minimum wage and other wages: an econometric study on French macroeconomic data," Applied Economics, Taylor and Francis Journals, vol. 36(4), pages 277-290, March. [Downloadable!] (restricted)
    Other versions:
  49. Podivinsky, Jan M & King, Maxwell L, 2000. "The Exact Power Envelope of Tests for a Unit Root," Discussion Paper Series In Economics And Econometrics 0026, Economics Division, School of Social Sciences, University of Southampton. [Downloadable!]
  50. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany. [Downloadable!]
  51. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
  52. Imed Drine & Christophe Rault, 2005. "Can the Balassa-Samuelson theory explain long-run real exchange rate movements in OECD countries?," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 519-530, May. [Downloadable!] (restricted)
  53. Mototsugu Shintani, 2000. "A Simple Cointegrating Rank Test Without Vector Autoregression," Working Papers 0044, Department of Economics, Vanderbilt University. [Downloadable!]
    Other versions:
  54. Pui Sun Tam & University of Macau, 2006. "Breaking trend panel unit root tests," Computing in Economics and Finance 2006 341, Society for Computational Economics. [Downloadable!]
  55. J. Breitung, . "The Local Power of Some Unit Root Tests for Panel Data," Sonderforschungsbereich 373 1999-69, Humboldt Universitaet Berlin.
  56. Li-gang Liu & Laurent Pauwels & Andrew Tsang, 2007. "How Large is the Wealth Effect on Hong Kong¡¦s Consumption? Evidence from a Habit Formation Model of Consumption," Working Papers 0720, Hong Kong Monetary Authority. [Downloadable!]
  57. Westerlund, Joakim & Edgerton , David, 2005. "Panel Cointegration Tests with Deterministic Trends and Structural Breaks," Working Papers 2005:42, Lund University, Department of Economics. [Downloadable!]
  58. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  59. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics. [Downloadable!]
    Other versions:
  60. Josep Carrion-i-Silvestre & Andreu Sansó, 2007. "The KPSS test with two structural breaks," Spanish Economic Review, Springer, vol. 9(2), pages 105-127, June. [Downloadable!] (restricted)
    Other versions:
  61. Paresh Kumar Narayan, 2007. "Do health expenditures 'catch-up'? Evidence from OECD countries," Health Economics, John Wiley & Sons, Ltd., vol. 16(10), pages 993-1008. [Downloadable!]
  62. Fabio Nieto & Eliana González, 2005. "A Note onTesting for Unit Roots in the Unobservable Trend Component of a Structural Model," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
  63. Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003. "Breaking the panels. An application to the GDP per capita," Working Papers in Economics 97, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
    Other versions:
  64. David I. Stern, 1998. "A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy," Working Papers in Ecological Economics 9803, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program. [Downloadable!]
    Other versions:
  65. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer, vol. 27(2), pages 136-152, June. [Downloadable!] (restricted)
  66. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India. [Downloadable!]
  67. Pascalau, Razvan, 2008. "Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set," MPRA Paper 7220, University Library of Munich, Germany. [Downloadable!]
  68. Luis Alberiko Gil-Alana, 2002. "Multivariate Tests of Fractionally Integrated Hypotheses," Faculty Working Papers 09/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Did you know? A tutorial is available.

This page was last updated on 2008-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.