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Citations for "Time Series Regression with a Unit Root"

by Phillips, P C B

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  1. Shin, Dong Wan & So, Beong-Soo, 1997. "Semiparametric unit root tests based on symmetric estimators," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 177-184, April.
  2. Kam Chan & Louis Cheng & Ming-Shiun Pan, 1997. "Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets," Journal of Economics and Finance, Springer, vol. 21(1), pages 25-31, March.
  3. Walls, W. David, 1993. "A Cointegration Rank Test of Market Linkages with an Application to the U.S. Natural Gas Industry," University of California Transportation Center, Working Papers qt6sj0961h, University of California Transportation Center.
  4. Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
  5. Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
  6. Imad Moosa & Razzaque Bhatti, 1997. "Are Asian Markets Integrated? Evidence for Six Countries Vis-A-Vis Japan," International Economic Journal, Taylor & Francis Journals, vol. 11(1), pages 51-67.
  7. Ant�nio Portugal Duarte & Jo�o Sousa Andrade, 2012. "How the Gold Standard functioned in Portugal: an analysis of some macroeconomic aspects," Applied Economics, Taylor & Francis Journals, vol. 44(5), pages 617-629, February.
  8. Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers 1191, Cowles Foundation for Research in Economics, Yale University.
  9. Christopher Spencer & Paul Temple, 2012. "Alternative Paths of Learning: Standardisation and Growth in Britain, 1901-2009," Discussion Paper Series 2012_10, Department of Economics, Loughborough University, revised Oct 2012.
  10. Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
  11. bouoiyour, jamal, 2003. "Trade and GDP Growth in Morocco: Short-run or Long-run Causality?," MPRA Paper 28859, University Library of Munich, Germany.
  12. Simón Sosvilla-Rivero & Emma García, . "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA.
  13. Konstantin Gluschenko, 2010. "Price convergence and market integration in Russia," William Davidson Institute Working Papers Series wp999, William Davidson Institute at the University of Michigan.
  14. Wagner, Martin, 2012. "The Phillips unit root tests for polynomials of integrated processes," Economics Letters, Elsevier, vol. 114(3), pages 299-303.
  15. Serletis, Apostolos & Malliaris, Anastasios & Hinich, Melvin & Gogas, Periklis, 2010. "Episodic Nonlinearity in Leading Global Currencies," DUTH Research Papers in Economics 3-2010, Democritus University of Thrace, Department of Economics.
  16. Walter Boudry & N. Coulson & Jarl Kallberg & Crocker Liu, 2012. "On the Hybrid Nature of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 230-249, January.
  17. Hong Liang & C. John McDermott & Paul Cashin, 1999. "How Persistent Are Shocks to World Commodity Prices?," IMF Working Papers 99/80, International Monetary Fund.
  18. JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
  19. Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics.
  20. He, Changli & Sandberg, Rickard, 2005. "Inference for Unit Roots in a Panel Smooth Transition Autoregressive Model where the Time Dimension is Fixed," Working Paper Series in Economics and Finance 581, Stockholm School of Economics, revised 18 Feb 2005.
  21. Gomez, Miguel I. & Koerner, Julia, 2009. "Do retail coffee prices increase faster than they fall? Asymmetric price transmission in France, Germany and the United States," Working Papers 55930, Cornell University, Department of Applied Economics and Management.
  22. Michael Jansson & Morten Ørregaard Nielsen, 2012. "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 80(5), pages 2321-2332, 09.
  23. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
  24. Carmen M. Reinhart & Vincent R. Reinhart, 1991. "Output Fluctuations and Monetary Shocks: Evidence from Colombia," IMF Staff Papers, Palgrave Macmillan, vol. 38(4), pages 705-735, December.
  25. Geetesh Bhardwaj & Norman Swanson, 2004. "An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series," Departmental Working Papers 200422, Rutgers University, Department of Economics.
  26. Serletis, Apostolos, 1996. "International evidence on the cyclical behavior of inflation," Economics Letters, Elsevier, vol. 51(2), pages 205-212, May.
  27. Paresh Kumar Narayan & Russell Smyth, 2004. "Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(14), pages 991-1004.
  28. Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers 21/11, Monash University, Department of Econometrics and Business Statistics.
  29. Peter C.B. Phillips, 1987. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations," Cowles Foundation Discussion Papers 846, Cowles Foundation for Research in Economics, Yale University.
  30. Yusuf, Sina A. & Yusuf, W.A., 2008. "Determinants of Selected Agricultural Export Crops in Nigeria: An Ecm Approach," 2007 Second International Conference, August 20-22, 2007, Accra, Ghana 52181, African Association of Agricultural Economists (AAAE).
  31. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," Working Paper Series in Economics and Finance 580, Stockholm School of Economics.
  32. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
  33. Kwan, Yum K., 1998. "Asymptotic Bayesian analysis based on a limited information estimator," Journal of Econometrics, Elsevier, vol. 88(1), pages 99-121, November.
  34. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
  35. Fountas Stilianos & Wu Jyh-Lin, 1999. "Are the U.S. Current Account Deficits Really Sustainable?," International Economic Journal, Taylor & Francis Journals, vol. 13(3), pages 51-58.
  36. Peter C.B. Phillips, 1992. "Hyper-Consistent Estimation of a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 1040, Cowles Foundation for Research in Economics, Yale University.
  37. Auguste Mpacko Priso, 1998. "Une évaluation de l'importance des anticipations boursières des experts," Économie et Prévision, Programme National Persée, vol. 136(5), pages 49-61.
  38. Oliver Linton & Enno Mammen, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
  39. Doug Hostland, 1995. "CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications," Macroeconomics 9508001, EconWPA.
  40. Peter C.B. Phillips, 1999. "Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations," Cowles Foundation Discussion Papers 1219, Cowles Foundation for Research in Economics, Yale University.
  41. Yoichi Arai, 2004. "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series CIRJE-F-303, CIRJE, Faculty of Economics, University of Tokyo.
  42. Giovanni Forchini & Patrick Marsh, . "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
  43. Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
  44. Shu-Ping Shi & Peter C. B. Phillips & Jun Yu, 2011. "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers 172011, Hong Kong Institute for Monetary Research.
  45. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR Model: Wavelet Improvement under GARCH Distortion," CAFO Working Papers 2009:6, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  46. Paresh Kumar Narayan, 2007. "Are Nominal Exchange Rates and Price Levels Co-Integrated? New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive Models," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 74-85, 03.
  47. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179.
  48. Weber, Axel A., 1997. "Sources of Purchasing Power Disparities between the G3 Economies," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 548-583, December.
  49. Takatoshi Ito & V. Vance Roley, 1988. "Intraday yen/dollar exchange rate movements: news or noise?," Research Working Paper 88-07, Federal Reserve Bank of Kansas City.
  50. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
  51. Matei Demetrescu & Uwe Hassler, 2007. "Effect of neglected deterministic seasonality on unit root tests," Statistical Papers, Springer, vol. 48(3), pages 385-402, September.
  52. Vicente Esteve & Juan Sanchis, . "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA.
  53. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
  54. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
  55. Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
  56. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo Group Munich.
  57. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Paper 9014, Federal Reserve Bank of Cleveland.
  58. Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.
  59. Tse, Yiuman & Booth, G. Geoffrey, 1996. "Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market," Journal of Economics and Business, Elsevier, vol. 48(3), pages 299-312, August.
  60. Juan Carlos Cuestas & Dean Garratt, 2008. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Working Papers 2008/12, Nottingham Trent University, Nottingham Business School, Economics Division.
  61. Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing Covariance Stationarity," Economics Working Papers (Ensaios Economicos da EPGE) 632, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  62. Adamopoulos Antonios, 2010. "Credit Market Development and Economic Growth: An Empirical Analysis for Ireland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 3-18.
  63. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  64. Newell, Richard G. & Pizer, William A., 2003. "Discounting the distant future: how much do uncertain rates increase valuations?," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 52-71, July.
  65. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  66. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-., 1989. "When are contrarian profits due to stock market overreaction?," Working papers 3008-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  67. DUFOUR, Jean-Marie, 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Universite de Montreal, Departement de sciences economiques.
  68. Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
  69. Claudia Kwapil & Johann Scharler, 2007. "Interest Rate Pass-Through, Monetary Policy Rules and Macroeconomic Stability," Money Macro and Finance (MMF) Research Group Conference 2006 65, Money Macro and Finance Research Group.
  70. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.
  71. Qiankun Zhou & Jun Yu, 2010. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 20-2010, Singapore Management University, School of Economics.
  72. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  73. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
  74. Chan, Hing Lin & Lee, Shu Kam & Woo, Kai-Yin, 2003. "An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 327-344.
  75. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  76. Chan, Kam C. & Norrbin, Stefan C. & Lai, Pikki, 1997. "Are stock and bond prices collinear in the long run?," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 193-201.
  77. Zonglu He & Koichi Maekawa & Michael McAleer, 2003. "Asymptotic Properties of the Estimator of the Long-run Coefficient in a Dynamic Model with Integrated Regressors and Serially Correlated Errors," CIRJE F-Series CIRJE-F-215, CIRJE, Faculty of Economics, University of Tokyo.
  78. Umut Halaç & Fatma Dilvin Taşkın & Efe Çağlar Çağlı, 2013. "The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 499-513, June.
  79. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  80. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
  81. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500," Working Papers 04-2013, Singapore Management University, School of Economics.
  82. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May.
  83. George Hondroyiannis & Sarantis Lolos & Evangelia Papapetrou, 2004. "Financial Markets and Economic Growth in Greece," Working Papers 17, Bank of Greece.
  84. Fossati, Sebastian, 2011. "Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function," Working Papers 2011-10, University of Alberta, Department of Economics.
  85. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank.
  86. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
  87. Shirley J. Huang & Jun Yu, . "Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises," Working Papers CoFie-07-2008, Sim Kee Boon Institute for Financial Economics.
  88. Chaido Dritsaki, 2011. "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 25-56, June.
  89. Yongsung Chang & Noh-Sun Kwark, 2000. "Decomposition of Hours Based on Extensive and Intensive Margins of Labor," Econometric Society World Congress 2000 Contributed Papers 1416, Econometric Society.
  90. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonlinear Regressions with Integrated Time Series," Working Paper Series no6, Institute of Economic Research, Seoul National University.
  91. Zaman, Rubaiya, 2012. "CO2 Emissions, Trade Openness and GDP Percapita : Bangladesh Perspective," MPRA Paper 48515, University Library of Munich, Germany.
  92. Loviscek, Anthony L., 1996. "Seigniorage and the Mexican financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(1), pages 55-64.
  93. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper 9209, Federal Reserve Bank of Dallas.
    • Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-45, August.
  94. Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper Series 13-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
  95. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  96. Hondroyiannis, George, 2004. "Estimating residential demand for electricity in Greece," Energy Economics, Elsevier, vol. 26(3), pages 319-334, May.
  97. Halunga, Andreea G. & Osborn, Denise R., 2012. "Ratio-based estimators for a change point in persistence," Journal of Econometrics, Elsevier, vol. 171(1), pages 24-31.
  98. Abdulnasser Hatemi-J, 2008. "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, vol. 35(3), pages 497-505, November.
  99. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors," Working Papers 05-2013, Singapore Management University, School of Economics.
  100. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
  101. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(04), pages 743-755, August.
  102. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 471-491.
  103. Baldi, Lucia & Casati, Dario, 2005. "Induced Innovation in Italy: An Error Correction Model for the Period 1968-2002," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24590, European Association of Agricultural Economists.
  104. Maria del Mar Sanchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raíz unitaria con cambio estructural: una panorámica," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 2, pages 107-143, Diciembre.
  105. AuYong, Hue Hwa & Gan, Christopher & Treepongkaruna, Sirimon, 2004. "Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 479-515.
  106. Nunzio Cappuccio & Diego Lubian, 2003. "Asymptotic null distributions of stationarity and nonstationarity," Working Papers 8, University of Verona, Department of Economics.
  107. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
  108. Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  109. Begoña Eguía & Cruz Echevarría, . "Existe alguna relación entre las tasas de desempleo y la estructura demográfica en España?," Studies on the Spanish Economy 11, FEDEA.
  110. Dikaios Tserkezos & Eleni Thanou, . "Conventional Nonlinear Relationships between GDP , Inflation and Stock Market Returns. An investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.
  111. Serletis, Apostolos, 1997. "Is there an East-West split in North-American natural gas markets?," MPRA Paper 1746, University Library of Munich, Germany.
  112. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
  113. repec:ese:iserwp:2000-30 is not listed on IDEAS
  114. Joseph G. Haubrich & Andrew W. Lo, . "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 5-89, Wharton School Rodney L. White Center for Financial Research.
  115. Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(04), pages 888-947, August.
  116. Ghose, Devajyoti, 1995. "Linear aggregation in cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1011-1032.
  117. Niels Haldrup & Antonio Montanés & Andreu Sanso, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, School of Economics and Management, University of Aarhus.
  118. Haubrich, Joseph G, 1993. "Consumption and Fractional Differencing: Old and New Anomalies," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 767-72, November.
  119. Jakob B Madsen, 2011. "A q Model of House Prices," Development Research Unit Working Paper Series 03-11, Monash University, Department of Economics.
  120. Peter C.B. Phillips, 1989. "Time Series Regression with a Unit Root and Infinite Variance Errors," Cowles Foundation Discussion Papers 897R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
  121. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
  122. Shih-Cheng Lee & Chien-Ting Lin & Min-Teh Yu, 2013. "A fractional cointegration approach to testing the Ohlson accounting based valuation model," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 535-547, October.
  123. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
  124. Nielsen, Morten Ørregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1515-1544, December.
  125. Juan Carlos Cuestas & Karsten Staehr, 2013. "Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe," Applied Economics, Taylor & Francis Journals, vol. 45(22), pages 3211-3219, August.
  126. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2013. "Housing and the Great Depression," Working Papers 201308, University of Pretoria, Department of Economics.
  127. Kao, Chihwa & Chiang, Min-Hsien & Chen, Bangtian, 1999. " International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 691-709, Special I.
  128. Chang, Yoosoon & Park, Joon Y., 2004. "Taking a New Contour: A Novel View on Unit Root Test," Working Papers 2004-10, Rice University, Department of Economics.
  129. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
  130. Miyakoshi, Tatsuyoshi, 2002. "ARCH versus information-based variances: evidence from the Tokyo Stock Market," Japan and the World Economy, Elsevier, vol. 14(2), pages 215-231, April.
  131. Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
  132. Jörg Breitung & Christian Wulff, 2001. "Non-linear Error Correction and the Efficient Market Hypothesis: The Case of German Dual-Class Shares," German Economic Review, Verein für Socialpolitik, vol. 2(4), pages 419-434, November.
  133. Saikkonen, Pentti & Lütkepohl, Helmut, 1999. "Testing for unit roots in time series with level shifts," SFB 373 Discussion Papers 1999,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  134. Liu, Hsiang-Hsi, 2012. "Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model," Economic Modelling, Elsevier, vol. 29(6), pages 2724-2733.
  135. Marcus J. Chambers, 2001. "Testing for Unit Roots with Flow Data and Varying Sampling Frequency," Economics Discussion Papers 529, University of Essex, Department of Economics.
  136. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
  137. Carmen M Reinhart & Vincent R Reinhart, 1991. "Fluctuaciones Del Producto Y Choque Monetarios: Evidencia Colombiana," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  138. : Eskil Heinesen, 1993. "A Macroeconomic Rationing Model Estimated by Cointegration Techniques and Generalized Method of Moments," Discussion Papers 93-10, University of Copenhagen. Department of Economics.
  139. Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994. "A Reexamination of the Consumption Function Using Frequency Domain Regressions," Empirical Economics, Springer, vol. 19(4), pages 595-609.
  140. Akmal, Muhammad Shahbaz & Ahmad, Khalil & Ali, Muhammad, 2009. "Exports-Led Growth Hypothesis in Pakistan: Further Evidence," MPRA Paper 16043, University Library of Munich, Germany.
  141. Don Bredin & Keith Cuthbertson, 2002. "Liquidity effects and precautionary saving in the Czech Republic," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 405-413.
  142. Hondroyiannis, George & Lolos, Sarantis & Papapetrou, Evangelia, 2002. "Energy consumption and economic growth: assessing the evidence from Greece," Energy Economics, Elsevier, vol. 24(4), pages 319-336, July.
  143. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.
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