Unit Root Tests
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- Roberto Basile & Sergio Destefanis & Mauro Costantini, 2005.
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ERSA conference papers
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- Cheng Hsiao & M. Hashem Pesaran, 2004.
"Random Coefficient Panel Data Models,"
CESifo Working Paper Series
1233, CESifo Group Munich.
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- Park, Joon Y. & Phillips, Peter C.B., 1999.
"Asymptotics For Nonlinear Transformations Of Integrated Time Series,"
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- M. Hashem Pesaran, 2007.
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- John M. Roberts & Norman J. Morin, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
- Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September.
- Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996.
"Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s,"
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- Peter C.B. Phillips & James W. McFarland & Patrick C. McMahon, 1994. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920's," Cowles Foundation Discussion Papers 1080, Cowles Foundation for Research in Economics, Yale University.
- Zhije Xiao & Peter C.B. Phillips, 1998.
"An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy,"
Royal Economic Society, vol. 1(RegularPa), pages 27-43.
- Zhijie Xiao & Peter C.B. Phillips, 1997. "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy," Cowles Foundation Discussion Papers 1161, Cowles Foundation for Research in Economics, Yale University.
- Mohd Zaini Abd Karim & Amy Azhar Mohd Harif & Azira Adziz, 2006. "Monetary Policy and Sectoral Bank Lending in Malaysia," Global Economic Review, Taylor & Francis Journals, vol. 35(3), pages 303-326.
More about this item
KeywordsAutoregressive unit root; Brownian motion; functional central limit theorem; integrated process; LM principle; model selection; moving average unit root; nonstationarity; quasi-differencing; stationarity; stochastic trend;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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