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Unit root and stationarity tests' wedding


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


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  • 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

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    References listed on IDEAS

    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," Review of Economic Studies, Oxford University Press, 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. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    6. 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.
    7. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    8. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, EconWPA.
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    Cited by:

    1. 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.
    2. 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.
    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, EconWPA.
    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), 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. repec:kap:compec:v:50:y:2017:i:1:d:10.1007_s10614-016-9586-z is not listed on IDEAS
    12. 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.
    13. Gabriel, Vasco J., 2003. "Cointegration and the joint confirmation hypothesis," Economics Letters, Elsevier, vol. 78(1), pages 17-25, January.
    14. Canêdo-Pinheiro, Mauricio, 2012. "Assimetrias na transmissão dos preços dos combustíveis: O caso do óleo diesel no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 66(4), December.
    15. 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.
    16. 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.
    17. 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, EconWPA.
    18. 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.
    19. 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.
    20. 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.

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