IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v70y2001i1p1-8.html

Unit root and stationarity tests' wedding

Author

Listed:
  • Carrion-i-Silvestre, Josep Lluis
  • Sanso-i-Rossello, Andreu
  • Ortuno, Manuel Artis

Abstract

No abstract is available for this item.

Suggested Citation

  • Carrion-i-Silvestre, Josep Lluis & Sanso-i-Rossello, Andreu & Ortuno, Manuel Artis, 2001. "Unit root and stationarity tests' wedding," Economics Letters, Elsevier, vol. 70(1), pages 1-8, January.
    • Handle: RePEc:eee:ecolet:v:70:y:2001:i:1:p:1-8
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(00)00348-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, vol. 47(3-4), pages 255-261, March.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    4. Charemza, Wojciech W. & Syczewska, Ewa M., 1998. "Joint application of the Dickey-Fuller and KPSS tests," Economics Letters, Elsevier, vol. 61(1), pages 17-21, October.
    5. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    6. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    7. Cheung, Yin-Wong & Chinn, Menzie D, 1997. "Further Investigation of the Uncertain Unit Root in GNP," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 68-73, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vasco Gabriel, 2003. "Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 411-435.
    2. Lota D. Tamini & Jean‐Philippe Gervais, 2005. "Developing Economic Indexes for the Quebec Hog/Pork Industry," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 53(1), pages 1-23, March.
    3. Olivier Bonroy & Jean-Philippe Gervais & Bruno Larue, 2005. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Trade," International Finance 0501003, University Library of Munich, Germany.
    4. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
    5. Reed, Albert J. & Levedahl, J. William & Hallahan, Charles B., 2004. "The Generalized Composite Commodity Theorem And Food Demand Estimation," 2004 Annual meeting, August 1-4, Denver, CO 20107, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Gervais, Jean-Philippe & Khraief, Naceur, 2007. "AJAE Appendix: Is Exchange Rate Pass-Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?," American Journal of Agricultural Economics APPENDICES, Agricultural and Applied Economics Association, vol. 89(4), pages 1-12, November.
    7. Keblowski, Piotr & Welfe, Aleksander, 2010. "Estimation of the equilibrium exchange rate: The CHEER approach," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1385-1397, November.
    8. James Rude & Yves Surry, 2014. "Canadian Hog Supply Response: A Provincial Level Analysis," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(2), pages 149-169, June.
    9. Keblowski, Piotr & Welfe, Aleksander, 2004. "The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root," Economics Letters, Elsevier, vol. 85(2), pages 257-263, November.
    10. repec:fgv:epgrbe:v:66:n:4:a:4 is not listed on IDEAS
    11. Peter Sephton, 2017. "Finite Sample Critical Values of the Generalized KPSS Stationarity Test," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 161-172, June.
    12. Hongyun, Han & Radwan, Amira, 2021. "Economic and social structure and electricity consumption in Egypt," Energy, Elsevier, vol. 231(C).
    13. Cavalcante, Mileno, 2010. "An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009," MPRA Paper 24263, University Library of Munich, Germany.
    14. Jean‐Philippe Gervais & Bruno Larue, 2009. "A joint test of market power, menu costs, and currency invoicing," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 29-41, January.
    15. Canêdo-Pinheiro, Mauricio, 2012. "Assimetrias na transmissão dos preços dos combustíveis: O caso do óleo diesel no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(4), December.
    16. Gabriel, Vasco J., 2003. "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, vol. 78(1), pages 17-25, January.
    17. Eskandar Elmarzougui & Bruno Larue, 2013. "On the Evolving Relationship Between Corn and Oil Prices," Agribusiness, John Wiley & Sons, Ltd., vol. 29(3), pages 344-360, June.
    18. Lee L. Schulz & Ted C. Schroeder & Tian Xia, 2012. "Studying composite demand using scanner data: the case of ground beef in the US," Agricultural Economics, International Association of Agricultural Economists, vol. 43, pages 49-57, November.
    19. Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
    20. Husein, Jamal, 2020. "Current account sustainability for 21 African economies: Evidence based on nonlinear flexible Fourier stationarity and unit-root tests," MPRA Paper 100410, University Library of Munich, Germany.
    21. Jean-Philippe Gervais & Bruno Larue & Olivier Bonroy, 2004. "Investigating Non-Linearities in the Relationship Between Real Exchange Rate Volatility and Agricultural Trade," International Trade 0407004, University Library of Munich, Germany.
    22. Myriam Nourry, 2009. "Re-Examining the Empirical Evidence for Stochastic Convergence of Two Air Pollutants with a Pair-Wise Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 44(4), pages 555-570, December.
    23. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.
    24. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
    2. Carrion-i-Silvestre, Josep Lluis, 2005. "Health care expenditure and GDP: Are they broken stationary?," Journal of Health Economics, Elsevier, vol. 24(5), pages 839-854, September.
    3. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
    4. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    5. Aslanidis, Nektarios & Kouretas, Georgios P., 2005. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Economic Modelling, Elsevier, vol. 22(4), pages 665-682, July.
    6. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
    7. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    8. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    9. Jaroslava Hlouskova & Martin Wagner, 2006. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 85-116.
    10. Alexander Schätz, 2010. "Macroeconomic Effects on Emerging Market Sector Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 9(2), pages 131-169, August.
    11. Mariam Camarero & Josep Lluis Carrion-i-Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers CREAP2006-14, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2006.
    12. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
    13. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    14. Ho, Tsung-wu, 2001. "The government spending and private consumption: a panel cointegration analysis," International Review of Economics & Finance, Elsevier, vol. 10(1), pages 95-108.
    15. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Cointegration, causality and domestic portfolio diversification in the Cyprus Stock Exchange," Working Papers 0522, University of Crete, Department of Economics.
    16. Jesús Otero & Luis Fernando Gamboa & Andrés García-Suaza, 2011. "An analysis of the relationship between wages in the public and private sector in colombia: a panel data approach," Documentos de Trabajo 8738, Universidad del Rosario.
    17. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
    18. 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.
    19. Diamandis, Panayiotis F. & Kouretas, Georgios P. & Zarangas, Leonidas, 2007. "Dual foreign currency markets and the role of expectations: Evidence from the Pacific Basin countries," Research in International Business and Finance, Elsevier, vol. 21(2), pages 238-259, June.
    20. Thomas A. Knetsch, 2005. "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 61-92, Springer.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:70:y:2001:i:1:p:1-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.