Testing against smooth stochastic trends
Download full text from publisher
References listed on IDEAS
- Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(02), pages 176-199, April.
- Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-264, July.
- 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.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- 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.
- Hodrick, Robert J & Prescott, Edward C, 1997.
"Postwar U.S. Business Cycles: An Empirical Investigation,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 29(1), pages 1-16, February.
- Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Nyblom, Jukka, 2001. "Invariant Tests for Covariance Structures in Multivariate Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 294-315, February.
- Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, vol. 51(3), pages 799-820, May.
- Leybourne, S J & McCabe, B P M, 1994. "A Consistent Test for a Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 157-166, April.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "Unity and Plurality of the European Cycle," Sciences Po publications N°2002-3, Sciences Po.
- repec:spo:wpecon:info:hdl:2441/2133 is not listed on IDEAS
- Fabio Busetti & Andrew Harvey, 2011.
"When is a Copula Constant? A Test for Changing Relationships,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 9(1), pages 106-131, Winter.
- Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge.
- DeRossi, G. & Harvey, A., 2006. "Time-Varying Quantiles," Cambridge Working Papers in Economics 0649, Faculty of Economics, University of Cambridge.
- Christopher Klein & Shea Slonaker, 2010. "Chart Turnover and Sales in the Recorded Music Industry: 1990–2005," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 36(4), pages 351-372, June.
- Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
- Ferrara, L. & Koopman, S J., 2010. "Common business and housing market cycles in the Euro area from a multivariate decomposition," Working papers 275, Banque de France.
- Xiaoshan Chen & Terence Mills, 2012. "Measuring the Euro area output gap using a multivariate unobserved components model containing phase shifts," Empirical Economics, Springer, vol. 43(2), pages 671-692, October.
- Xiaoshan Chen & Ronald MacDonald, 2010.
"Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models,"
2010_16, Business School - Economics, University of Glasgow.
- Chen, Xiaoshan & MacDonald, Ronald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," SIRE Discussion Papers 2010-41, Scottish Institute for Research in Economics (SIRE).
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor van der Geest, 2008.
"Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model,"
Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
- Fabio Busetti & Andrew Harvey, 2010. "Tests of strict stationarity based on quantile indicators," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(6), pages 435-450, November.
- Vujić Sunčica & Koopman Siem Jan & Commandeur J.F., 2012. "Economic Trends and Cycles in Crime: A Study for England and Wales," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(6), pages 652-677, December.
- Charles S. Bos & Siem Jan Koopman & Marius Ooms, 2007.
"Long memory modelling of inflation with stochastic variance and structural breaks,"
CREATES Research Papers
2007-44, Department of Economics and Business Economics, Aarhus University.
- C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
- Xiaoyi Mu and Haichun Ye, 2015. "Small Trends and Big Cycles in Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
More about this item
StatisticsAccess and download statistics
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:jae:japmet:v:16:y:2001:i:3:p:415-429. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.interscience.wiley.com/jpages/0883-7252/ .