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Citations for "Testing for a unit root in a time series with a level shift at unknown time"

by Saikkonen, Pentti & Lütkepohl, Helmut

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  1. Ulrich Pfister & Jana Riedel & Martin Uebele, 2012. "Real Wages and the Origins of Modern Economic Growth in Germany, 16th to 19th Centuries," Working Papers 0017, European Historical Economics Society (EHES).
  2. 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.
  3. Tiwari, Aviral & Shahbaz, Muhammad, 2011. "India's trade with USA and her trade balance: An empirical analysis," MPRA Paper 29023, University Library of Munich, Germany.
  4. Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2008. "Testing for Granger (non-)causality in a time-varying coefficient VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 27(4), pages 293-303.
  5. Joseph P. Byrne & Norbert Fiess, 2007. "Euro Area Inflation: Aggregation Bias and Convergence," Working Papers, Business School - Economics, University of Glasgow 2007_41, Business School - Economics, University of Glasgow.
  6. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Research Discussion Papers, Bank of Finland 14/2010, Bank of Finland.
  7. Koi Nyen Wong & Tuck Cheong Tang, 2007. "Exchange Rate Variability And The Export Demand For Malaysia'S Semiconductors: An Empirical Study," Development Research Unit Working Paper Series, Monash University, Department of Economics 13-07, Monash University, Department of Economics.
  8. Niklas Potrafke, 2011. "Is German Domestic Social Policy Politically Controversial?," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz 2011-06, Department of Economics, University of Konstanz.
  9. Ian Babetskii & Fabrizio Coricelli & Roman Horváth, 2007. "Measuring and Explaining Inflation Persistence: Disaggregate Evidence on the Czech Republic," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies 2007/22, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2007.
  10. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3355-3367, April.
  11. Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, Elsevier, vol. 29(2), pages 329-347, March.
  12. Enzo Weber, 2007. "Regional and Outward Economic Integration in South-East Asia," SFB 649 Discussion Papers SFB649DP2007-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  13. Stefanescu, Razvan & Dumitriu, Ramona, 2010. "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper 36716, University Library of Munich, Germany, revised 16 Feb 2011.
  14. Nagayasu, Jun, 2007. "Putting the dividend-price ratio under the microscope," Finance Research Letters, Elsevier, Elsevier, vol. 4(3), pages 186-195, September.
  15. Marco Morales, 2014. "Cointegration testing under structural change: reducing size distortions and improving power of residual based tests," Statistical Methods and Applications, Springer, Springer, vol. 23(2), pages 265-282, June.
  16. Shahbaz, Muhammad & Lean, Hooi Hooi, 2012. "The dynamics of electricity consumption and economic growth: A revisit study of their causality in Pakistan," Energy, Elsevier, Elsevier, vol. 39(1), pages 146-153.
  17. Lorde, Troy & Jackman, Mahalia & Thomas, Chrystol, 2009. "The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago," Energy Policy, Elsevier, Elsevier, vol. 37(7), pages 2708-2716, July.
  18. Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," Discussion Papers of DIW Berlin 909, DIW Berlin, German Institute for Economic Research.
  19. Khaled CHNAINA & Farid MAKHLOUF, 2012. "Impact des transferts de fonds sur le taux de change réel effectif en Tunisie," Working Papers 2011-2012_4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Jan 2012.
  20. Enzo Weber, 2013. "Economic integration and the foreign exchange," International Economics and Economic Policy, Springer, Springer, vol. 10(2), pages 201-215, June.
  21. Wolff, Guntram B. & Tenhofen, Jörn & Heppke-Falk, Kirsten H., 2006. "The macroeconomic effects of exogenous fiscal policy shocks in Germany: a disaggregated SVAR analysis," Discussion Paper Series 1: Economic Studies 2006,41, Deutsche Bundesbank, Research Centre.
  22. Aviral Tiwari & Muhammad Shahbaz, 2014. "Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test," Economic Change and Restructuring, Springer, Springer, vol. 47(2), pages 117-133, May.
  23. Boschi, Melisso & Girardi, Alessandro, 2011. "The contribution of domestic, regional and international factors to Latin America's business cycle," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1235-1246, May.
  24. Santiago Cajiao Raigosa & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Pronósticos para una economía menos volátil: El caso colombiano," BORRADORES DE ECONOMIA 011252, BANCO DE LA REPÚBLICA.
  25. Weber, Enzo, 2006. "Common and uncommon sources of growth in Asia Pacific," MPRA Paper 3715, University Library of Munich, Germany, revised Jun 2007.
  26. Serge REY & Jacques JAUSSAUD, 2009. "Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis," Working Papers 4, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  27. Shahbaz, Muhammad, 2013. "Does financial instability increase environmental degradation? Fresh evidence from Pakistan," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 537-544.
  28. Dumitriu, Ramona & Stefanescu, Răzvan, 2013. "Romanian current account sustainability after the adhesion to European Union," MPRA Paper 51244, University Library of Munich, Germany, revised 05 Apr 2013.
  29. Claude Lopez, 2008. "GLS-detrending and Regime-wise Stationarity Testing in Small Samples," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics 2008-01, University of Cincinnati, Department of Economics, revised 2008.
  30. Nicolas Million, 2006. "Changements de régime pour la persistance et la dynamique du taux d'intérêt réel américain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00119051, HAL.
  31. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2009. "Cointegration and causality between Romanian exports and imports," MPRA Paper 42091, University Library of Munich, Germany, revised 06 Aug 2009.
  32. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi, 2012. "Financial Integration between China and Asia Pacific Trading Partners: Parities Evidence from the First- and Second-generation Panel Tests," MPRA Paper 37801, University Library of Munich, Germany.
  33. BATTISTI,Michele, 2006. "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 6(3).
  34. Serge REY & Jacques JAUSSAUD, 2009. "Long-Run Determinants of Japanese Import Flows from USA and China: A Sectoral Approach," Working Papers 8, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2009.
  35. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Exports as an engine for the economic growth: the case of Romania," MPRA Paper 36581, University Library of Munich, Germany, revised 10 Feb 2012.
  36. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009.
  37. LANTERI, Luis N., 2010. "Determinantes De Los Flujos Netos De Capital. Alguna Evidencia Para La Economia Argentina," Estudios Economicos de Desarrollo Internacional, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 10(1), pages 57-84.
  38. Byrne, Joseph P. & Nagayasu, Jun, 2010. "Structural breaks in the real exchange rate and real interest rate relationship," Global Finance Journal, Elsevier, vol. 21(2), pages 138-151.
  39. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  40. King Fuei Lee, 2010. "An Empirical Study of Dividend Payout and Future Earnings in Singapore," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 267-286.
  41. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
  42. Stefanescu, Răzvan & Dumitriu, Ramona & Nistor, Costel, 2010. "Impactul investitiilor straine directe asupra exporturilor din Romania
    [Impact of the foreign direct investment on Romanian exports]
    ," MPRA Paper 36563, University Library of Munich, Germany, revised 09 Feb 2012.
  43. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers, Business School - Economics, University of Glasgow 2006_10, Business School - Economics, University of Glasgow.
  44. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2010. "Evolution of the Romanian exports and imports in the context of the European integration," MPRA Paper 36578, University Library of Munich, Germany, revised 10 Feb 2012.
  45. Paul Alagidede & George Tweneboah & Anokye M. Adam, 2008. "Nominal Exchange Rates and Price Convergence in the West African Monetary Zone," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 181-198, December.
  46. Muhammad, Shahbaz & Tiwari, Aviral & Muhammad, Nasir, 2011. "The effects of financial development, economic growth, coal consumption and trade openness on environment performance in South Africa," MPRA Paper 32723, University Library of Munich, Germany, revised 10 Aug 2011.
  47. BAAK, SaangJoon, 2008. "The bilateral real exchange rates and trade between China and the U.S," China Economic Review, Elsevier, Elsevier, vol. 19(2), pages 117-127, June.
  48. Assaf, Ata, 2008. "Nonstationarity in real exchange rates using unit root tests with a level shift at unknown time," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(2), pages 269-278.
  49. Melisso Boschi, 2012. "Long- and short-run determinants of capital flows to Latin America: a long-run structural GVAR model," Empirical Economics, Springer, Springer, vol. 43(3), pages 1041-1071, December.
  50. Bouoiyour, Jamal & Miftah, Amal & Selmi, Refk, 2014. "Brain Drain or Brain Gain? The case of Moroccan Students in France," MPRA Paper 56630, University Library of Munich, Germany.
  51. Dumitriu Ramona & Stefanescu Razvan, 2009. "Analysis Of The Romanian Current Account Sustainability," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 163-168, May.
  52. Shahbaz, Muhammad, 2011. "Does financial instability increase environmental pollution in Pakistan?," MPRA Paper 31530, University Library of Munich, Germany, revised 27 Mar 2011.
  53. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 15(4), pages 117-128, Fall.
  54. Luiz Fernando Rodrigues de Paula & Tiago Rinaldi Meyer & JoãoAdelino de Faria Júnior & Manoel Carlos de Castro Pires, 2011. "FinancialLiberalization, Economic Performance and Macroeconomic Stability inBrazil: an assessment of the recent period," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 100, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  55. Byrne, Joseph P. & Nagayasu, Jun, 2008. "Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2008-52, Scottish Institute for Research in Economics (SIRE).
  56. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, Elsevier, vol. 56(C), pages 434-445.
  57. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer, Springer, vol. 90(1), pages 43-58, March.
  58. Claude Lopez & Javier Reyes, 2005. "Real Interest Rate Stationarity and Per Capita Consumption Growth Rate," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics 2005-02, University of Cincinnati, Department of Economics, revised Feb 2007.
  59. Roland CRAIGWELL & Darrin DOWNES & Kevin GREENIDGE & Keva STEADMAN, 2008. "Sectoral Output, Growth And Economic Linkages In The Barbados Economy Over The Past Five Decades," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 8(2), pages 123-136.
  60. Baak, SaangJoon, 2012. "Measuring misalignments in the Korean exchange rate," Japan and the World Economy, Elsevier, Elsevier, vol. 24(4), pages 227-234.
  61. Livanis, Grigorios T. & Moss, Charles B., 2005. "Price Transmission and Food Scares in the U.S. Beef Sector," Working Papers, University of Florida, International Agricultural Trade and Policy Center 15662, University of Florida, International Agricultural Trade and Policy Center.
  62. Chan, Tze-Haw & Chong, Lee Lee & Khong, Wye Leong Roy, 2008. "Real Exchange Rate Behavior: New Evidence with Linear and Non-linear Endogenous Break(s)," MPRA Paper 3406, University Library of Munich, Germany.
  63. Jan Babecky & Fabrizio Coricelli & Roman Horvath, 2008. "Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy," CERGE-EI Working Papers wp353, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  64. María Lorena Marí del Cristo & Marta Gómez-Puig, 2012. "“Pass-through in dollarized countries: should Ecuador abandon the U.S. Dollar?”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics 201216, University of Barcelona, Research Institute of Applied Economics, revised Oct 2012.
  65. Maria do Rosario Correia & Reinhard Neck & Theodore Panagiotidis & Christian Richter, 2008. "An empirical investigation of the sustainability of the public deficit in Portugal," International Economics and Economic Policy, Springer, Springer, vol. 5(1), pages 209-223, July.
  66. Liu, Ming-Hua & Margaritis, Dimitris & Tourani-Rad, Alireza, 2011. "Asymmetric information and price competition in small business lending," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(9), pages 2189-2196, September.
  67. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 34(1), pages 62-82, 01.
  68. Joseph Byrne & Giorgio Fazio & Davide Piacentino, 2009. "Total Factor Productivity Convergence among Italian Regions: Some Evidence from Panel Unit Root Tests," Regional Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 43(1), pages 63-76.
  69. Claude Lopez, 2005. "Improved Unit Root Tests with Changes in the Intercept," University of Cincinnati, Economics Working Papers Series, University of Cincinnati, Department of Economics 2005-04, University of Cincinnati, Department of Economics, revised 2006.
  70. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.
  71. Vougas, Dimitrios V., 2006. "On unit root testing with smooth transitions," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(2), pages 797-800, November.
  72. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009. "Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis," MPRA Paper 41744, University Library of Munich, Germany, revised 04 Mar 2010.
  73. Bilge Erten, 2010. "Industrial Upgrading and Export Diversification: A Comparative Analysis of Economic Policies in Turkey and Malaysia," Working Papers id:2778, eSocialSciences.
  74. 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.
  75. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, Springer, vol. 45(3), pages 1025-1047, December.
  76. João Adelino de Faria & Luiz Fernando de Paula & Manoel Carlos de Castro Pires & Tiago Rinaldi Meyer, 2009. "Liberalização Financeira, Performance e Econômica e Estabilidade Macroeconômica no Brasil: Uma Avaliação do Período Recente," Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA 1436, Instituto de Pesquisa Econômica Aplicada - IPEA.
  77. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland E:47/2012, Bank of Finland.
  78. Hernandez-Villafuerte, Karla Vanessa, 2008. "The Role Of Asymmetric Price Transmission And Structural Breaks In The Relationship Between Costa Rican Markets Of Livestock Cattle, Beef And Milk," 2009 Conference, August 16-22, 2009, Beijing, China, International Association of Agricultural Economists 51697, International Association of Agricultural Economists.
  79. Shahbaz, Muhammad & Kumar Tiwari, Aviral & Nasir, Muhammad, 2013. "The effects of financial development, economic growth, coal consumption and trade openness on CO2 emissions in South Africa," Energy Policy, Elsevier, Elsevier, vol. 61(C), pages 1452-1459.