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Citations for "On The Asymptotics Of Adf Tests For Unit Roots"

by Yoosoon Chang & Joon Park

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  1. Stephan Smeekes & A. M. Robert Taylor, 2010. "Bootstrap union tests for unit roots in the presence of nonstationary volatility," Discussion Papers 10/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  2. Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
  3. Patrick Richard, 2007. "ARMA Sieve bootstrap unit root tests," Cahiers de recherche 07-05, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke, revised Jul 2009.
  4. 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.
  5. Castro, Tomás del Barrio & Osborn, Denise R. & Taylor, A.M. Robert, 2012. "On Augmented Hegy Tests For Seasonal Unit Roots," Econometric Theory, Cambridge University Press, vol. 28(05), pages 1121-1143, October.
  6. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
  7. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
  8. Peter C. B. Phillips, 2009. "Bootstrapping I(1) Data," Cowles Foundation Discussion Papers 1689, Cowles Foundation for Research in Economics, Yale University.
  9. Mohitosh Kejriwal & Pierre Perron, 2006. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2006-035, Boston University - Department of Economics.
  10. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  11. Chang, Yoosoon & Park, Joon & Song, Kevin, 2002. "Bootstrapping Cointegrating Regressions," Working Papers 2002-04, Rice University, Department of Economics.
  12. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "Unit root testing under a local break in trend," Discussion Papers 10/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  13. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A. M. Robert Taylor, 2011. "The Impact of Persistent Cycles on Zero Frequency Unit Root Tests," Working Papers w201124, Banco de Portugal, Economics and Research Department.
  14. Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
  15. Smeekes Stephan & Urbain Jean-Pierre, 2011. "On the Applicability of the Sieve Bootstrap in Time series Panels," Research Memorandum 055, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  16. Park, Joon Y., 2006. "A bootstrap theory for weakly integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 639-672, August.
  17. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2006. "Bootstrap Unit Root Tests: Comparison and Extensions," Research Memorandum 015, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  18. Joakim Westerlund, . "On the Asymptotic Distribution of the DF–GLS Test Statistic," Financial Econometics Series 2014_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  19. Richard, Patrick, 2009. "Modified fast double sieve bootstraps for ADF tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4490-4499, October.
  20. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(03), pages 587-636, June.
  21. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(03), pages 647-681, June.
  22. Smeekes Stephan, 2009. "Detrending Bootstrap Unit Root Tests," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  23. Harris, David & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Testing For A Unit Root In The Presence Of A Possible Break In Trend," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1545-1588, December.
  24. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
  25. Giuseppe Cavaliere & Peter C.B. Phillips & Stephan Smeekes & A.M. Robert Taylor, 2012. "Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility," Cowles Foundation Discussion Papers 1844, Cowles Foundation for Research in Economics, Yale University.
  26. Harvey, David I. & Leybourne, Stephen J., 2012. "An infimum coefficient unit root test allowing for an unknown break in trend," Economics Letters, Elsevier, vol. 117(1), pages 298-302.
  27. Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
  28. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A.M. Robert Taylor, 2013. "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers 2013_11, University of Evora, CEFAGE-UE (Portugal).
  29. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, School of Economics and Management, University of Aarhus.
  30. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
  31. Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
  32. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008. "Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices," Discussion Papers 08/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  33. Patrick Marsh, . "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  34. Paulo M.M. Rodrigues & A. M. Robert Taylor, 2009. "The Flexible Fourier Form and Local GLS De-trended Unit Root Tests," Working Papers w200919, Banco de Portugal, Economics and Research Department.
  35. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
  36. Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
  37. Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
  38. Francesco Bravo, 2010. "Nonparametric likelihood inference for general autoregressive models," Statistical Methods and Applications, Springer, vol. 19(1), pages 79-106, March.
  39. Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
  40. Paparoditis, Efstathios & Politis, Dimitris N, 2013. "The Asymptotic Size and Power of the Augmented Dickey-Fuller Test for a Unit Root," University of California at San Diego, Economics Working Paper Series qt0784p55m, Department of Economics, UC San Diego.
  41. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.