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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. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
  2. Marcelo Mello & Roberto Guimaraes-Filho, 2007. "A note on fractional stochastic convergence," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-14.
  3. 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.
  4. John A. Tatom, 1990. "The link between monetary aggregates and prices," Working Papers 1990-002, Federal Reserve Bank of St. Louis.
  5. Fischer, Christian & Gil-Alana, Luis A., 2007. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Discussion Papers 57033, University of Bonn, Institute for Food and Resource Economics.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Curi, Andréa Zaitune & Menezes Filho, N. A., 2006. "A Relação entre o Desempenho Escolar e os Salários no Brasil," Ibmec Working Papers wpe_51, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  11. repec:ebl:ecbull:v:3:y:2007:i:23:p:1-15 is not listed on IDEAS
  12. Javier Hualde & Peter M Robinson, 2003. "Cointegration in Fractional Systems with Unkown Integration Orders," STICERD - Econometrics Paper Series /2003/449, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  13. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  14. Dolado, Juan José & Mármol, Francesc, . "On the properties of the Dickey-Pantula test against fractional alternatives," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3273, Universidad Carlos III de Madrid.
  15. 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).
  16. Yevheniya Hyrina & Apostolos Serletis, 2010. "Purchasing power parity over a century," Journal of Economic Studies, Emerald Group Publishing, vol. 37(1), pages 117-144, January.
  17. 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.
  18. 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.
  19. 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.
  20. Arielle Beyaert, 2004. "Fractional Output Convergence, with an Application to Nine Developed Countries," Econometric Society 2004 Australasian Meetings 280, Econometric Society.
  21. 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.
  22. 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.
  23. 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.
  24. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute of Economics (VWL) 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  25. 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.
  26. Emma Iglesias & Garry Phillips, 2005. "Analysing one-month Euro-market interest rates by fractionally integrated models," Applied Financial Economics, Taylor and Francis Journals, vol. 15(2), pages 95-106.
  27. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
  28. Gawon Yoon, 2009. "Purchasing power parity and long memory," Applied Economics Letters, Taylor and Francis Journals, vol. 16(1), pages 55-61.
  29. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, AccessEcon, vol. 3(13), pages 1-9.
  30. Dolado, Juan José & Gonzalo, Jesús & Mayoral, Laura, . "What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/3239, Universidad Carlos III de Madrid.
  31. Mark J. Jensen, 2006. "The long-run Fisher effect: can it be tested?," Working Paper 2006-11, Federal Reserve Bank of Atlanta.
  32. 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.
  33. Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Working Papers 02-40, Bank of Canada.
  34. repec:ebl:ecbull:v:3:y:2007:i:16:p:1-14 is not listed on IDEAS
  35. 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.
  36. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  37. Chevillon, Guillaume & Mavroeidis, Sophocles, 2011. "Learning generates Long Memory," ESSEC Working Papers WP1113, ESSEC Research Center, ESSEC Business School.
  38. 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.
  39. 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.
  40. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor and Francis Journals, vol. 17(2), pages 95-116.
  41. McElroy, Tucker S & Politis, D N, 2011. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt0dr145dt, Department of Economics, UC San Diego.
  42. Kühl, Michael, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," Center for European, Governance and Economic Development Research Discussion Papers 76, University of Goettingen, Department of Economics.
  43. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  44. 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.
  45. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 763-769.
  46. 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.
  47. Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
  48. 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 and Francis Journals, vol. 36(6), pages 593-605.
  49. 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.
  50. Lee, D. & Schmidt, P., 1993. "On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives," Papers 9111, Michigan State - Econometrics and Economic Theory.
  51. Chiara Peroni, 2012. "Testing linearity in term structures," Applied Financial Economics, Taylor and Francis Journals, vol. 22(8), pages 651-666, April.
  52. 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.
  53. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  54. 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.
  55. 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.
  56. 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.
  57. Ana Pérez & Esther Ruiz, 2001. "Modelos De Memoria Larga Para Series Económicas Y Financieras," Documentos de Trabajo de Estadística y Econometría ds010101, Universidad Carlos III, Departamento de Estadística y Econometría.
  58. 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.
  59. 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.
  60. 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].
  61. Andersson, Michael K. & Gredenhoff, Mikael P., 1997. "Bootstrap Testing for Fractional Integration," Working Paper Series in Economics and Finance 188, Stockholm School of Economics.
  62. 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.
  63. repec:ebl:ecbull:v:3:y:2006:i:13:p:1-9 is not listed on IDEAS
  64. 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.
  65. 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.
  66. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
  67. 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.
  68. 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.
  69. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. Rashid, Abdul, 2007. "Exchange rates or stock prices, what causes what: A firm level empirical investigation," MPRA Paper 27209, University Library of Munich, Germany.
  75. 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.
  76. 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.