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A guide to the computation of stationarity tests

  • Josep Carrion-i-Silvestre


  • Andreu Sansó

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Article provided by Springer in its journal Empirical Economics.

Volume (Year): 31 (2006)
Issue (Month): 2 (June)
Pages: 433-448

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Handle: RePEc:spr:empeco:v:31:y:2006:i:2:p:433-448
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  1. repec:cup:etheor:v:11:y:1995:i:5:p:952-83 is not listed on IDEAS
  2. Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
  3. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  4. Sainan Jin & Peter C.B. Phillips, 2002. "The KPSS Test with Seasonal Dummies," Cowles Foundation Discussion Papers 1373, Cowles Foundation for Research in Economics, Yale University.
  5. McCabe, B.P.M. & Leybourne, S.J., 1998. "On Estimating An Arma Model With An Ma Unit Root," Econometric Theory, Cambridge University Press, vol. 14(03), pages 326-338, June.
  6. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  7. Corbae, Dean & Ouliaris, Sam, 1991. "A Test of Long-Run Purchasing Power Parity Allowing for Structural Breaks," The Economic Record, The Economic Society of Australia, vol. 67(196), pages 26-33, March.
  8. 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.
  9. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
  10. 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.
  11. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-74, March.
  12. Vasco J. Gabriel, 2001. "Cointegration and the joint confirmation hypothesis," NIPE Working Papers 12/2001, NIPE - Universidade do Minho.
  13. Junsoo Lee & Mark Strazicich, 2001. "Testing the null of stationarity in the presence of a structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 377-382.
  14. Leybourne, S J & McCabe, B P M, 1999. "Modified Stationarity Tests with Data-Dependent Model-Selection Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 264-70, April.
  15. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  16. Lyhagen, Johan, 2000. "The seasonal KPSS statistic," SSE/EFI Working Paper Series in Economics and Finance 354, Stockholm School of Economics.
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