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Citations for "On the power of Dickey-Fuller tests against fractional alternatives"

by Francis X. Diebold & Glenn D. Rudebusch

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  1. Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2005. "What is What? A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Working Papers 258, Barcelona Graduate School of Economics.
  3. Rolando Peláez, 2012. "The housing bubble in real-time: the end of innocence," Journal of Economics and Finance, Springer, vol. 36(1), pages 211-225, January.
  4. Batuo Enowbi, Michael & Guidi, Francesco & Mlambo, Kupukile, 2009. "Testing the weak-form market efficiency and the day of the week effects of some African countries," MPRA Paper 19116, University Library of Munich, Germany.
  5. A. Mansur & M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 593-605.
  6. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
  7. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2013. "On the predictability of stock prices: A case for high and low prices," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5132-5146.
  8. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
  9. Ji, In Bae & Chung, Chanjin, 2012. "Causality Between Captive Supplies and Cash Market Prices in the U.S. Cattle Procurement Market," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 41(3), December.
  10. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
  11. Gil-Alana, Luis A. & Loomis, David & Payne, James E., 2010. "Does energy consumption by the US electric power sector exhibit long memory behavior?," Energy Policy, Elsevier, vol. 38(11), pages 7512-7518, November.
  12. Dittmann, Ingolf, 1998. "Residual-based tests for fractional cointegration: A Monte Carlo study," Technical Reports 1998,09, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  13. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
  14. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
  15. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
  16. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
  17. Andersson, Michael K. & Gredenhoff, Mikael P., 1997. "Bootstrap Testing for Fractional Integration," Working Paper Series in Economics and Finance 188, Stockholm School of Economics.
  18. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
  19. Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
  20. Tkacz, Greg, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Working Papers 00-5, Bank of Canada.
  21. 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.
  22. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  23. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 305-316, September.
  24. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
  25. Marcelo Mello & Roberto Guimaraes-Filho, 2007. "A note on fractional stochastic convergence," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-14.
  26. Peroni, Chiara, 2009. "Testing Linearity in Term Structures," MPRA Paper 16471, University Library of Munich, Germany.
  27. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
  28. Choudhry, Taufiq, 2001. "Inflation and rates of return on stocks: evidence from high inflation countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(1), pages 75-96, March.
  29. Carlos P. Barros & Luis A. Gil-Alana, 2013. "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 19-32, November.
  30. Guglielmo Caporale & Nikitas Pittis, 2001. "Parameter instability, superexogeneity, and the monetary model of the exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 137(3), pages 501-524, September.
  31. Rashid, Abdul, 2007. "Exchange rates or stock prices, what causes what: A firm level empirical investigation," MPRA Paper 27209, University Library of Munich, Germany.
  32. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
  33. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
  34. Mark J. Jensen, 2006. "The long-run Fisher effect: can it be tested?," Working Paper 2006-11, Federal Reserve Bank of Atlanta.
  35. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  36. Cheng-few Lee & Keshab Shrestha & Robert Welch, 2007. "Relationship between Treasury bills and Eurodollars: Theoretical and Empirical Analyses," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 163-185, February.
  37. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
  38. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
  39. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
  40. Ana Pérez & Esther Ruiz, 2002. "Modelos de memoria larga para series económicas y financieras," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 395-445, September.
  41. Curi, Andréa Zaitune & Menezes Filho, N. A., 2006. "A Relação entre o Desempenho Escolar e os Salários no Brasil," Insper Working Papers wpe_51, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  42. repec:ebl:ecbull:v:3:y:2006:i:13:p:1-9 is not listed on IDEAS
  43. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
  44. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
  45. Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
  46. Diebold, Francis X & Husted, Steven & Rush, Mark, 1991. "Real Exchange Rates under the Gold Standard," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1252-71, December.
  47. Cleomar Gomes da Silva & Flávio Vilela Vieira, 2014. "BRICS countries: real interest rates and long memory," Economics Bulletin, AccessEcon, vol. 34(1), pages 409-419.
  48. Arielle Beyaert, 2004. "Fractional Output Convergence, with an Application to Nine Developed Countries," Econometric Society 2004 Australasian Meetings 280, Econometric Society.
  49. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.
  50. Salah A. Nusair, 2006. "Real Interest Rate Parity: Evidence from Industrialized Countries," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 425-457, November.
  51. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  52. Luis Alberiko Gil-Alana & Pedro Garcia-del-Barrio, . "New Revelations about Unemployment Persistence in Spain," Faculty Working Papers 10/06, School of Economics and Business Administration, University of Navarra.
  53. Ibrahim Onour, . "North Africa Stock Markets: Analysis of Unit Root and Long Memory Process," API-Working Paper Series 0906, Arab Planning Institute - Kuwait, Information Center.
  54. Abidin Ozdemir, Zeynel & Fisunoglu, Mahir, 2008. "On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 1-12.
  55. Francis W. Ahking, 2004. "Non-Parametric Tests of Real Exchange rates in the Post-Bretton Woods Era," Working papers 2004-05, University of Connecticut, Department of Economics.
  56. 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.
  57. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
  58. McElroy, Tucker & Politis, Dimitris N., 2013. "Distribution theory for the studentized mean for long, short, and negative memory time series," Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
  59. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
  60. repec:ebl:ecbull:v:3:y:2007:i:16:p:1-14 is not listed on IDEAS
  61. repec:got:cegedp:76 is not listed on IDEAS
  62. Abdur Chowdhury, 1995. "The demand for money in a small open economy: The case of Switzerland," Open Economies Review, Springer, vol. 6(2), pages 131-144, April.
  63. repec:asi:ajoerj:2013:p:785-807 is not listed on IDEAS
  64. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  65. John A. Tatom, 1990. "The link between monetary aggregates and prices," Working Papers 1990-002, Federal Reserve Bank of St. Louis.
  66. Uwe Hassler & Jürgen Wolters, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 119-129, June.
  67. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
  68. Masaki Narukawa & Yasumasa Matsuda, 2008. "Broadband semiparametric estimation of the long-memory parameter by the likelihood-based FEXP approach," TERG Discussion Papers 239, Graduate School of Economics and Management, Tohoku University.
  69. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
  70. John Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1996. "Fractional Cointegration Analysis of Long Term International Interest Rates," Boston College Working Papers in Economics 315., Boston College Department of Economics.
  71. W.H. Buiter & U Patel, 1995. "Budgetary Aspects of Stabilization and Strucutral Adjustment in India: The Painful Road to a Sustainable Fiscal-Financial-Monetary Plan," CEP Discussion Papers dp0247, Centre for Economic Performance, LSE.
  72. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
  73. Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
  74. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
  75. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 55-61.
  76. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Darmstadt Discussion Papers in Economics 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  77. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May.
  78. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
  79. Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Working Papers 02-40, Bank of Canada.
  80. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
  81. John A. Tatom, 1990. "The P-star approach to the link between money and prices," Working Papers 1990-008, Federal Reserve Bank of St. Louis.
  82. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  83. Alessandra Spremolla, 2001. "Persistencia en el Desempleo de Uruguay," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 38(113), pages 73-89.
  84. Lee, Yun Shin & Scholtes, Stefan, 2014. "Empirical prediction intervals revisited," International Journal of Forecasting, Elsevier, vol. 30(2), pages 217-234.
  85. Rashid, Abdul & Husain, Fazal, 2012. "On the modeling of exchange rate: some evidence from Pakistan," MPRA Paper 47547, University Library of Munich, Germany.
  86. Hubert Strauß, 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.
  87. Cleomar Gomes da Silva & Maria Carolina da Silva Leme, 2008. "Inflation and Interest Rate: Which one is more persistent in Brazil?," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807181224190, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  88. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
  89. Dolado, Juan J. & Marmol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," Economics Letters, Elsevier, vol. 57(1), pages 11-16, November.
  90. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 187-204, June.
  91. Emma Iglesias & Garry Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 95-106.