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Testing the null of stationarity for multiple time series

  • Choi, In
  • Chul Ahn, Byung
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File URL: http://www.sciencedirect.com/science/article/B6VC0-3V72SCP-J/2/5595136d7f76120642c23b4e225bc093
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 88 (1998)
Issue (Month): 1 (November)
Pages: 41-77

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Handle: RePEc:eee:econom:v:88:y:1998:i:1:p:41-77
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Tsay, Ruey S, 1993. "Testing for Noninvertible Models with Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 225-33, April.
  2. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  3. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "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?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  4. Choi, In, 1992. "Durbin-Hausman Tests for a Unit Root," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 289-304, August.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  6. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  7. Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(03), pages 468-497, December.
  8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  9. Peter KUGLER & Klaus NEUSSER, 1990. "International Real Interest Rate Equalization: A Multivariate Time Series Approach," Vienna Economics Papers vie9003, University of Vienna, Department of Economics.
  10. Tanaka, Katsuto, 1990. "The Fredholm Approach to Asymptotic Inference on Nonstationary and Noninvertible Time Series Models," Econometric Theory, Cambridge University Press, vol. 6(04), pages 411-432, December.
  11. Berndt, Ernst R & Savin, N Eugene, 1977. "Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model," Econometrica, Econometric Society, vol. 45(5), pages 1263-77, July.
  12. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
  13. Anderson, T. W. & Kunitomo, Naoto, 1992. "Tests of overidentification and predeterminedness in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 49-78.
  14. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  15. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  16. Choi, In, 1994. "Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 720-746, August.
  17. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  18. Choi, In, 1994. "Spurious regressions and residual-based tests for cointegration when regressors are cointegrated," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 313-320.
  19. Gourieroux, Christian & Peaucelle, Irina, 1989. "Detecting a long run relationship (with an application to the p.p.p. hypothesis)," CEPREMAP Working Papers (Couverture Orange) 8902, CEPREMAP.
  20. Choi, In & Ahn, Byung Chul, 1995. "Testing for Cointegration in a System of Equations," Econometric Theory, Cambridge University Press, vol. 11(05), pages 952-983, October.
  21. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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