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Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets

  • Pat Wilson
  • John Okunev

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Paper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 62.

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Length: 30 pages
Date of creation: 01 Apr 1996
Date of revision:
Handle: RePEc:uts:wpaper:62
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  1. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  2. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
  3. M. Wayne Marr & John L. Trimble & Raj Varma, 1991. "On the Integration of International Capital Markets: Evidence From Euroequity Offerings," Financial Management, Financial Management Association, vol. 20(4), Winter.
  4. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-75, September.
  5. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
  6. Kaplanis, Evi & Schaefer, Stephen M., 1991. "Exchange risk and international diversification in bond and equity portfolios," Journal of Economics and Business, Elsevier, vol. 43(4), pages 287-307, November.
  7. Grauer, Robert R & Hakansson, Nils H, 1987. " Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds," Journal of Finance, American Finance Association, vol. 42(3), pages 721-39, July.
  8. Liu, Crocker H, et al, 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-82, September.
  9. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-78, July.
  10. Errunza, Vihang & Losq, Etienne, 1985. " International Asset Pricing under Mild Segmentation: Theory and Test," Journal of Finance, American Finance Association, vol. 40(1), pages 105-24, March.
  11. Mike Miles & Rebel Cole & David Guilkey, 1990. "A Different Look at Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 403-430.
  12. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  13. Ratner, Mitchell, 1992. "Portfolio diversification and the inter-temporal stability of international stock indices," Global Finance Journal, Elsevier, vol. 3(1), pages 67-77.
  14. Jorion, Philippe & Schwartz, Eduardo, 1986. " Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-14, July.
  15. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  16. 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.
  17. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  18. Joseph E Finnerty & Thomas Schneeweis, 1979. "The Comovement of International Asset Returns," Journal of International Business Studies, Palgrave Macmillan, vol. 10(3), pages 66-78, September.
  19. James L. Kuhle, 1987. "Portfolio Diversification and Return Benefits--Common Stock vs. Real Estate Investment Trusts (REITs)," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 1-9.
  20. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  21. Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
  22. John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
  23. McAleer, Michael, 1994. " Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-70, December.
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