Near Observational Equivalence and Theoretical size Problems with Unit Root Tests

Citations

Cited by:

1. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
2. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
   • Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
3. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
   • DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
4. Al-Zoubi, Haitham A., 2008. "The long swings in the spot exchange rates and the complex unit roots hypothesis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 236-244, July.
5. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
   • DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques.
   • Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
   • DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
6. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
7. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
   • Taylor, Mark & Sarno, Lucio, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
8. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
9. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
   • Paulo M.M. Rodrigues & Tomás del Barrio Castro, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
10. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.
    • Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 17/2012, Stellenbosch University, Department of Economics.
    • Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 201204, University of Pretoria, Department of Economics.
11. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
12. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
    • Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
    • Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
13. Zhijie Xiao & Luiz Renato Lima, 2007. "Testing Covariance Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
    • Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing covariance stationarity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
14. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
15. Davidson James & Rambaccussing Dooruj, 2015. "A Test of the Long Memory Hypothesis Based on Self-Similarity," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 115-141, July.
    • Rambaccussing, Dooruj & Davidson, James, 2015. "A test of long memory hypothesis based on self-similarity," SIRE Discussion Papers 2015-81, Scottish Institute for Research in Economics (SIRE).
    • James Davidson & Dooruj Rambaccussing, 2015. "A test of the long memory hypothesis based on self-similarity," Dundee Discussion Papers in Economics 286, Economic Studies, University of Dundee.
16. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics.
17. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004. "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography 122247000000000518, UCLA Department of Economics.
    • V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005. "A critique of structural VARs using real business cycle theory," Working Papers 631, Federal Reserve Bank of Minneapolis.
18. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
    • Engel, C., 1996. "Long-Run PPP May Not Hold After All," Working Papers 96-05, University of Washington, Department of Economics.
    • Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
    • Engel, C., 1996. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 96-05, Department of Economics at the University of Washington.
    • Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
    • Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington.
19. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007. "A simple, robust and powerful test of the trend hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.
    • David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2006. "A simple, robust and powerful test of the trend hypothesis," Discussion Papers 06/01, University of Nottingham, Granger Centre for Time Series Econometrics.
20. Perron Pierre & Ren Linxia, 2011. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-34, October.
    • Pierre Perron & Linxia Ren, 2010. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series WP2010-049, Boston University - Department of Economics.
21. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
22. Pierre St-Amant & David Tessier, 1998. "A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions," Staff Working Papers 98-4, Bank of Canada.
23. Michael T. Kiley, 2023. "Recession Signals and Business Cycle Dynamics: Tying the Pieces Together," Finance and Economics Discussion Series 2023-008, Board of Governors of the Federal Reserve System (U.S.).
24. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
    • Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
25. Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 733-768, September.
    • Georgiev, I & Rodrigues, PMM & Taylor, AMR, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Essex Finance Centre Working Papers 18832, University of Essex, Essex Business School.
26. Paul Newbold & Tony Rayner & Neil Kellard, 2000. "Long‐Run Drift, Co‐Movement and Persistence in Real Wheat and Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(1), pages 106-121, January.
27. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
28. Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
29. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
30. Mehdi Hosseinkouchack & Uwe Hassler, 2016. "Powerful Unit Root Tests Free of Nuisance Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 533-554, July.
31. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.