Testing the unit root hypothesis using generalized range statistics
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- In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Research Institute for Market Economy, Sogang University.
- Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
- Karim M. Abadir & Gabriel Talmain, 2008. "Macro and Financial Markets: The Memory of an Elephant?," Working Paper series 17_08, Rimini Centre for Economic Analysis.
- Gilles Dufrenot & Elisabeth Grimaud & Eugénie Latil & Valerie Mignon, 2008.
"Modelling The Slow Mean-Reversion Of The Central And Eastern European Countries' Real Exchange Rates,"
University of Manchester, vol. 76(1), pages 21-43, January.
- Gilles Dufrenot & Elisabeth Grimaud & Eugenie Latil & Valerie Mignon, 2008. "Modelling the slow mean-reversion of the Central and Eastern European countries ' real exchange rates," Post-Print hal-00693052, HAL.
- repec:spr:stmapp:v:11:y:2002:i:1:d:10.1007_bf02511445 is not listed on IDEAS
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
- Christopher Krauss & Klaus Herrmann, 2017. "On the Power and Size Properties of Cointegration Tests in the Light of High-Frequency Stylized Facts," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 10(1), pages 1-24, February.
- Abadir, Karim & Talmain, Gabriel, 2005. "Distilling co-movements from persistent macro and financial series," Working Paper Series 525, European Central Bank.
- Karim M. Abadir, 2013. "Lies, Damned Lies, and Statistics? Examples From Finance and Economics," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 5(4), pages 231-248, December.
- Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
- Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
More about this item
KeywordsRescaled range statistics; Unit root tests; Long memory.;
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