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Citations for "A Note on the Empirical Power of Unit Root Tests under Threshold Processes"

by Pippenger, Michael K & Goering, Gregory E

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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. Aktham Maghyereh, 2006. "The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 265-273, July. [Downloadable!] (restricted)
  2. Michael Pippenger & Gregory Goering, 1998. "Exchange Rate Forecasting: Results from a Threshold Autoregressive Model," Open Economies Review, Springer, vol. 9(2), pages 157-170, April. [Downloadable!] (restricted)
  3. Dijk, Dick van & Franses, Philip Hans, 1997. "Nonlinear error-correction models for interest rates in the Netherlands," Econometric Institute Report 41, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  4. John Pippenger, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series 03-04, Department of Economics, UC Santa Barbara. [Downloadable!]
  5. repec:att:wimass:19199827 is not listed on IDEAS
  6. R.P. Berben & D. van Dijk, 1999. "Unit roots and asymetric adjustment - a reassessment," Econometric Institute Report 101, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  7. Pedro Gouveia & Paulo Rodrigues, 2004. "Threshold Cointegration and the PPP Hypothesis," Journal of Applied Statistics, Taylor and Francis Journals, vol. 31(1), pages 115-127, January. [Downloadable!] (restricted)
  8. Zisimos Koustas & Jean-Francois Lamarche & Apostolos Serletis, 2006. "Threshold Random Walks in the U.S. Stock Market," Working Papers 0602, Brock University, Department of Economics, revised May 2006. [Downloadable!]
  9. Johansson, Martin, 2001. "TAR models and real exchange rates," Working Papers 2001:21, Lund University, Department of Economics. [Downloadable!]
  10. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics. [Downloadable!]
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  11. Graham Elliott & Elena Pesavento, 2005. "Higher Power Tests for Bilateral Failure of PPP after 1973," Emory Economics 0502, Department of Economics, Emory University (Atlanta). [Downloadable!]
  12. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39. [Downloadable!]
  13. Steven Cook & Neil Manning, 2003. "The power of asymmetric unit root tests under threshold and consistent-threshold estimation," Applied Economics, Taylor and Francis Journals, vol. 35(14), pages 1543-1550, September. [Downloadable!] (restricted)
  14. Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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  15. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, EconWPA. [Downloadable!]
  16. Steven Cook, 2004. "A New Test of Asymmetric Stationarity in the Presence of Deterministic Trends: Simulation and Empirical Evidence," The International Journal of Applied Economics, Department of General Business, Southeastern Louisiana University, vol. 1(1), pages 46-54, September. [Downloadable!]
  17. Michael Funke & Jörg Rahn, 2005. "Just how Undervalued is the Chinese Renminbi," Quantitative Macroeconomics Working Papers 20504, Hamburg University, Department of Economics. [Downloadable!]
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  18. Andy Snell & George Kapetanios & Yongcheol Shin, 2004. "Testing for nonlinear cointegration between stock prices and dividends," Money Macro and Finance (MMF) Research Group Conference 2003 90, Money Macro and Finance Research Group. [Downloadable!]
  19. Imad A. Moosa & Razzaque H. Bhatti, 1997. "Are Asian Markets Integrated? Evidence For Six Countries Vis-A-Vis Japan," International Economic Journal, Korean International Economic Association, vol. 11(1), pages 51-67, April. [Downloadable!] (restricted)
  20. David Peel & Ivan Paya, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 002391, Lancaster University Management School, Economics Department. [Downloadable!]
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  21. Serineh Najarian & H. L. Leon, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund. [Downloadable!]
  22. Kleopatra Nikolaou, 2006. "The behaviour of the real exchange rate: evidence from regression quantiles," Working Paper Series 667, European Central Bank. [Downloadable!]
  23. Erdem Basci & Mehmet Caner, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(4), pages 1273-1273. [Downloadable!] (restricted)
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  24. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group. [Downloadable!]
  25. Michael Funke & Jorg Rahn, 2004. "By How Much Is The Chinese Renminbi Undervalued?," Money Macro and Finance (MMF) Research Group Conference 2004 40, Money Macro and Finance Research Group. [Downloadable!]
  26. Zisimos Koustas & Jean-Francois Lamarche, 2005. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0601, Brock University, Department of Economics, revised Feb 2006. [Downloadable!]
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  27. Darbha, Gangadhar & Patel, Urjit R., 2004. "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers 04-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
  28. Myunghwan Seo, 2005. "Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap," STICERD - Econometrics Paper Series /2005/484, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  29. Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Cahiers de la Maison des Sciences Economiques v06067, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  30. George Kapetanios & Yongcheol Shin, 2004. "Unit Root Tests in Three-Regime SETAR Models," ESE Discussion Papers 104, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
  31. van Tol, Michel R & Wolff, Christian C, 2005. "Forecasting the Spot Exchange Rate with the Term Structure of Forward Premia: Multivariate Threshold Cointegration," CEPR Discussion Papers 4958, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  32. David Peel & Ivan Paya, 2006. "On the relationship between Nominal Exchange Rates and domestic and foreign prices," Working Papers 004215, Lancaster University Management School, Economics Department. [Downloadable!]
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  33. Serineh Najarian & H. L. Leon, 2003. "Time-Varying Thresholds: An Application to Purchasing Power Parity," IMF Working Papers 03/181, International Monetary Fund. [Downloadable!]
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