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Testing for unit roots using the augmented Dickey-Fuller test : Some issues relating to the size, power and the lag structure of the test

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  1. Wesam Salah Alaloul & Muhammad Ali Musarat & Muhammad Babar Ali Rabbani & Qaiser Iqbal & Ahsen Maqsoom & Waqas Farooq, 2021. "Construction Sector Contribution to Economic Stability: Malaysian GDP Distribution," Sustainability, MDPI, vol. 13(9), pages 1-26, April.
  2. Olabode Eric Olabisi (Ph.D), 2020. "Causality between Manufacturing Efficiency, Energy Use and Economic Growth in Nigeria," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 4(8), pages 671-675, August.
  3. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
  4. Strauß, Hubert, 2002. "Multivariate Cointegration Analysis of Aggregate Exports: Empirical Evidence for the United States, Canada, and Germany," Kiel Working Papers 1101, Kiel Institute for the World Economy (IfW Kiel).
  5. W. Robert Reed, 2014. "Unit Root Tests, Size Distortions, and Cointegrated Data," Working Papers in Economics 14/28, University of Canterbury, Department of Economics and Finance.
  6. Gaolu Zou, 2017. "Trend Changes in Stock Prices of Petrochemical Firms in the A-Share Market, China," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(8), pages 149-156, 08-2017.
  7. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
  8. Montañés, Antonio & Reyes, Marcelo, 2000. "Structural breaks, unit roots and methods for removing the autocorrelation pattern," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 401-409, July.
  9. Cheng, Ka Ming & Kim, Hyeongwoo & Thompson, Henry, 2009. "The Exchange Rate and US Tourism Balance of Trade," MPRA Paper 18318, University Library of Munich, Germany.
  10. Ka Ming Cheng & Hyeongwoo Kim & Henry Thompson, 2011. "The US Tourism Trade Balance and Exchange Rate Shock," Auburn Economics Working Paper Series auwp2011-12, Department of Economics, Auburn University.
  11. Babak Zolghadr-Asli & Maedeh Enayati & Hamid Reza Pourghasemi & Mojtaba Naghdyzadegan Jahromi & John P. Tiefenbacher, 2021. "A linear/non-linear hybrid time-series model to investigate the depletion of inland water bodies," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(7), pages 10727-10742, July.
  12. Schlitzer, Giuseppe, 1995. "Testing the stationarity of economic time series: further Monte Carlo evidence," Ricerche Economiche, Elsevier, vol. 49(2), pages 125-144, June.
  13. Yasir Khan & Taimoor Hassan & Cai Shukai & Hana Oubaih & Muhammad Nisar Khan & Jawed Kootwal & Ubaid Ur Rahman Rehimi, 2022. "The nexus between infrastructure development, economic growth, foreign direct investment, and trade: an empirical investigation from China’s regional trade data," SN Business & Economics, Springer, vol. 2(7), pages 1-31, July.
  14. Kim, Hyeongwoo & Thompson, Henry, 2014. "Wages in a factor proportions model with energy input," Economic Modelling, Elsevier, vol. 36(C), pages 495-501.
  15. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  16. Kim, Hyeongwoo & Thompson, Henry, 2009. "Factor Proportions Wages in a Structural Vector Autoregression," MPRA Paper 17798, University Library of Munich, Germany.
  17. S Cook, 2001. "Finite-sample critical values of the Augmented Dickey-Fuller statistic: a note on lag order," Economic Issues Journal Articles, Economic Issues, vol. 6(2), pages 31-46, September.
  18. Tamayo, Adrian, 2016. "Determining Statistical Pattern on the Drug-Related Killing in Philippines Using ARIMA and Poisson Techniques," MPRA Paper 72518, University Library of Munich, Germany.
  19. W. Robert Reed, 2015. "Testing For Unit Roots With Cointegrated Data," Working Papers in Economics 15/11, University of Canterbury, Department of Economics and Finance.
  20. Sismeiro, Catarina & Mizik, Natalie & Bucklin, Randolph E., 2012. "Modeling coexisting business scenarios with time-series panel data: A dynamics-based segmentation approach," International Journal of Research in Marketing, Elsevier, vol. 29(2), pages 134-147.
  21. Namahoro, Jean Pierre & Wu, Qiaosheng & Xiao, Haijun & Zhou, Na, 2021. "The asymmetric nexus of renewable energy consumption and economic growth: New evidence from Rwanda," Renewable Energy, Elsevier, vol. 174(C), pages 336-346.
  22. Ka Ming Cheng & Hyeongwoo Kim & Henry Thompson, 2013. "The Exchange Rate and US Tourism Trade, 1973–2007," Tourism Economics, , vol. 19(4), pages 883-896, August.
  23. Hari S. Luitel & Gerry J. Mahar, 2016. "Algebra of Integrated Time Series: Evidence from Unit Root Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(2), pages 199-209, May.
  24. Bibhuti Sarker & Farid Khan, 2020. "Nexus between foreign direct investment and economic growth in Bangladesh: an augmented autoregressive distributed lag bounds testing approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-18, December.
  25. Wang, Xi & Bao, Si & Chen, Jingchao, 2017. "High-frequency stock linkage and multi-dimensional stationary processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 70-83.
  26. W. Robert Reed, 2016. "Univariate Unit Root Tests Perform Poorly When Data Are Cointegrated," Working Papers in Economics 16/01, University of Canterbury, Department of Economics and Finance.
  27. Peng, Kang-Lin & Wu, Chih-Hung & Lin, Pearl M.C. & Kou, IokTeng Esther, 2023. "Investor sentiment in the tourism stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  28. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  29. Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.
  30. Namahoro, Jean Pierre & Wu, Qiaosheng & Hui, Su, 2023. "Asymmetric linkage between copper-cobalt productions and economic growth: Evidence from Republic Democratic of Congo," Resources Policy, Elsevier, vol. 83(C).
  31. Laurence Harris & Manqoba Ntshakala, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series 63, World Institute for Development Economic Research (UNU-WIDER).
  32. Burke, S. P., 1996. "Data-dependent selection of the lag truncation parameter in unit root tests of the Phillips-Perron type," Economics Letters, Elsevier, vol. 50(3), pages 315-321, March.
  33. Peter Farkas & Laszlo Matyas, 2015. "Testing for Unit Roots in Panel Data with Boundary Crossing Counts," CEU Working Papers 2015_5, Department of Economics, Central European University, revised 03 Nov 2015.
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