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Citations for "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions"

by Leybourne, S J

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  1. Dreger, Christian & Herzer, Dierk, 2011. "A further examination of the export-led growth hypothesis," Discussion Papers 305, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  2. Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR, 2009. "International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries," William Davidson Institute Working Papers Series wp970, William Davidson Institute at the University of Michigan.
  3. Jesús Otero & Jeremy Smith, 2012. "Response surface models for the Leybourne unit root tests and lag order dependence," Computational Statistics, Springer, Springer, vol. 27(3), pages 473-486, September.
  4. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22.
  5. Ana María Iregui & Jesús Otero, 2012. "Testing the law of one price in retail banking: An analysis for Colombia using a pair-wise approach," BORRADORES DE ECONOMIA 009981, BANCO DE LA REPÚBLICA.
  6. AROURI, Mohamed El Hedi & BEN YOUSSEF, Adel & M'HENNI, Hatem & Rault, Christophe, 2012. "Empirical Analysis of The EKC Hypothesis for Sulfur Dioxide Emissions in Selected Middle East and North African Countries," MPRA Paper 46185, University Library of Munich, Germany, revised 2012.
  7. Ekrame Boubtane & Dramane Coulibaly & Christophe Rault, 2013. "Immigration, Growth and Unemployment: Panel VAR Evidence from OECD Countries," CESifo Working Paper Series 4329, CESifo Group Munich.
  8. Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
  9. Steven Cook, 2005. "Estimating the autoregressive parameter: recursive mean adjustment and the initial condition," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(4), pages 203-206.
  10. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 355-369, 05.
  11. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0535, Faculty of Economics, University of Cambridge.
  12. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(6), pages 607-617.
  13. Ozcan, Burcu, 2013. "The nexus between carbon emissions, energy consumption and economic growth in Middle East countries: A panel data analysis," Energy Policy, Elsevier, Elsevier, vol. 62(C), pages 1138-1147.
  14. J.W. Fedderke & I. Lourenco & F. Gwenhamo, 2011. "Alternative indices of political freedoms, property rights, and political instability for Zambia," Working Papers 207, Economic Research Southern Africa.
  15. Sebri, Maamar & Ben Salha, Ousama, 2013. "On the causal dynamics between economic growth, renewable energy consumption, CO2 emissions and trade openness: Fresh evidence from BRICS countries," MPRA Paper 52535, University Library of Munich, Germany.
  16. Tung Liu & Lee C. Spector, 2003. "Dynamic employment adjustments over business cycles," Working Papers, Ball State University, Department of Economics 200302, Ball State University, Department of Economics, revised Jan 2005.
  17. Sanchez, Ismael, 1998. "Testing for Unit Roots with Prediction Errors," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt8pc6n1j8, Department of Economics, UC San Diego.
  18. Steven Cook, 2004. "On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  19. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 77(1), pages 109-116.
  20. repec:ebl:ecbull:v:3:y:2004:i:11:p:1-9 is not listed on IDEAS
  21. Christoph Hanck, 2012. "Multiple unit root tests under uncertainty over the initial condition: some powerful modifications," Statistical Papers, Springer, Springer, vol. 53(3), pages 767-774, August.
  22. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(4), pages 359-363.
  23. Cook, Steven, 2004. "A momentum-threshold autoregressive unit root test with increased power," Statistics & Probability Letters, Elsevier, Elsevier, vol. 67(4), pages 307-310, May.
  24. Steven Cook, 2003. "The stylized approach to unit root testing: Neglected contributions and the cost of simplicity," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(3), pages 267-272.
  25. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, Elsevier, vol. 87(1), pages 191-203, August.
  26. Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, Elsevier, vol. 26(5), pages 1053-1066, September.
  27. Dan H. Andersen & Hans-Joachim Voth, 1997. "Neutrality and Mediterranean Shipping Under Danish Flag, 1750-1807," Oxford University Economic and Social History Series, Economics Group, Nuffield College, University of Oxford _018, Economics Group, Nuffield College, University of Oxford.
  28. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  29. Fielding, David, 1997. "Adjustment, trade policy and investment slumps: evidence from Africa," Journal of Development Economics, Elsevier, Elsevier, vol. 52(1), pages 121-137, February.
  30. Cook, Steven, 2003. "Modified unit root tests and momentum threshold autoregressive processes," Statistics & Probability Letters, Elsevier, Elsevier, vol. 64(1), pages 83-88, August.
  31. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 105(2), pages 309-336, December.
  32. L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
  33. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
  34. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series, Institute for Advanced Studies 177, Institute for Advanced Studies.
  35. António Afonso & Christophe Rault, 2010. "Short and Long-run Behaviour of Long-term Sovereign Bond Yields," Working Papers Department of Economics, ISEG - School of Economics and Management, Department of Economics, University of Lisbon 2010/19, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  36. Sen, Amit, 2009. "Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(3), pages 354-360, February.
  37. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print, HAL halshs-00078770, HAL.
  38. Taipalus , Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers, Bank of Finland 7/2012, Bank of Finland.
  39. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 136, Federal Reserve Bank of Dallas.