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Citations for "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions"

by Perron, Pierre & Vogelsang, Timothy J

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  1. Rainer Schulz & Axel Werwatz, 2008. "House Prices and Replacement Cost: A Micro-Level Analysis," SFB 649 Discussion Papers SFB649DP2008-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Fethi, Meryem Duygun & Fethi, Sami & Katircioglu, Salih Turan, 2008. "Does Trade Policy Matter in an Isolated Economy? A Case Study," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 61(4), pages 637-664.
  3. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
  4. Lee, Chien-Chiang & Chang, Chun-Ping, 2009. "Stochastic convergence of per capita carbon dioxide emissions and multiple structural breaks in OECD countries," Economic Modelling, Elsevier, vol. 26(6), pages 1375-1381, November.
  5. Matteo Lanzafame, 2006. "The Nature of Regional Unemployment in Italy," Studies in Economics 0607, School of Economics, University of Kent.
  6. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
  7. Subrata Ghatak & Stephen Price, 1997. "Export composition and economic growth: Cointegration and causality evidence for India," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(3), pages 538-553, September.
  8. Schulz, Rainer & Werwatz, Axel, 2011. "Is there an equilibrating relationship between house prices and replacement cost? Empirical evidence from Berlin," Journal of Urban Economics, Elsevier, vol. 69(3), pages 288-302, May.
  9. Angelov, Nikolay, 2006. "Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis," Working Paper Series 2006:11, Uppsala University, Department of Economics.
  10. Mounir Belloumi & Atef Saad Alshehry, 2016. "The Impact of Urbanization on Energy Intensity in Saudi Arabia," Sustainability, MDPI, Open Access Journal, vol. 8(4), pages 375-375, April.
  11. CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 17, pages 85-105, Abril.
  12. Claude Lopez & Javier Reyes, 2005. "Real Interest Rate Stationarity and Per Capita Consumption Growth Rate," University of Cincinnati, Economics Working Papers Series 2005-02, University of Cincinnati, Department of Economics, revised Feb 2007.
  13. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
  14. Peter M. Jackson & Meryem Duygun Fethi & Sami Fethi, "undated". "Cointegration, Causality and Wagner's Law: A test for Northern Cyprus, 1977-1996," Discussion Papers in Public Sector Economics 99/2, Department of Economics, University of Leicester.
  15. Justus Haucap, Ulrich Heimeshoff, and Dragan Jovanovic, 2014. "Competition in Germany's Minute Reserve Power Market: An Econometric Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  16. Andersson, Linda & Hultkrantz , Lars & Mantalos , Panagiotis, 2013. "Stumpage Prices in Sweden 1909-2011: Testing for Non-Stationarity," Working Papers 2013:1, Örebro University, School of Business.
  17. Hamori, Shigeyuki & Tokihisa, Akira, 1997. "Testing for a unit root in the presence of a variance shift1," Economics Letters, Elsevier, vol. 57(3), pages 245-253, December.
  18. Muhammad, Shahbaz, 2012. "Does Trade Openness Affect Long Run Growth? Cointegration, Causality and Forecast Error Variance Decomposition Tests for Pakistan," MPRA Paper 37391, University Library of Munich, Germany, revised 10 Mar 2012.
  19. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
  20. UTKULU Utku & OZDEMIR Durmus, "undated". "Does Trade Liberalization Cause a Long Run Economic Growth in Turkey?," EcoMod2003 330700147, EcoMod.
  21. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Robust methods for detecting multiple level breaks in autocorrelated time series," Discussion Papers 11/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  22. Utku UTKULU & Dilek SEYMEN & Aydin ARI, "undated". "Export Supply and Trade Reform: The Turkish Evidence," EcoMod2004 330600144, EcoMod.
  23. Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999. "Long memory and level shifts: Re-analyzing inflation rates," Empirical Economics, Springer, vol. 24(3), pages 427-449.
  24. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
  25. Holtemöller, Oliver, 2002. "Money and banks: Some theory and empirical evidence for Germany," SFB 373 Discussion Papers 2002,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  26. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
  27. Muhammad, Shahbaz & Tiwari, Aviral & Reza, Sherafatian-Jahromi, 2012. "Financial Development and Income Inequality: Is there any Financial Kuznets curve in Iran?," MPRA Paper 40899, University Library of Munich, Germany, revised 26 Aug 2012.
  28. Heidari, Hassan & Katircioglu, Salih Turan & Davoudi, Narmin, 2012. "Are current account deficits sustainable? New evidence from Iran using bounds test approach to level relationships," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-18.
  29. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  30. Shahbaz, Muhammad & Kumar, Ronald Ravinesh & Ivanov, Stanislav & Loganathan, Nanthakumar, 2015. "Nexus between Tourism demand and output per capita with relative importance of trade and financial development: A study of Malaysia," MPRA Paper 67226, University Library of Munich, Germany, revised 11 Oct 2015.
  31. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA.
  32. Lanne, Markku & Lütkepohl, Helmut, 2001. "Unit root tests for time series with level shifts: A comparison of different proposals," SFB 373 Discussion Papers 2001,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  33. Paresh K Narayan & Ruipeng Liu, "undated". "A GARCH Model for Testing Market Efficiency," Financial Econometics Series 2015_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  34. Escribano, Álvaro & García, Ana & Aparicio, Felipe M., 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de Estadística.
  35. Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series WP2006-052, Boston University - Department of Economics.
  36. Anna Persson & Timo Teräsvirta, 2003. "The net barter terms of trade: A smooth transition approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 81-97.
  37. repec:kap:iaecre:v:12:y:2006:i:4:p:449-460 is not listed on IDEAS
  38. Vogelsang, Timothy J. & Wagner, Martin, 2013. "A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS," Econometric Theory, Cambridge University Press, vol. 29(03), pages 609-628, June.
  39. Escobari, Diego, 2011. "Testing for Stochastic and Beta-convergence in Latin American Countries," MPRA Paper 36741, University Library of Munich, Germany.
  40. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
  41. Maarten Bosker & Steven Brakman & Harry Garretsen & Marc Schramm, 2006. "A Century of Shocks: The Evolution of the German City Size Distribution 1925 – 1999," CESifo Working Paper Series 1728, CESifo Group Munich.
  42. Kazuhiro Ohtani, 2004. "Exact distribution and critical values of a unit root test in the presence of change in variance," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 855-860.
  43. Rashid, Abdul, 2008. "Macroeconomic Variables and Stock Market Performance: Testing for Dynamic Linkages with a Known Structural Break," MPRA Paper 26937, University Library of Munich, Germany.
  44. Christos Karpetis & Erotokritos Varelas & Spyros Zikos, 2006. "Unit Root Investigation of Greek Real Money Supply and GDP," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(4), pages 449-460, November.
  45. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  46. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
  47. repec:gam:jsusta:v:8:y:2016:i:4:p:375:d:68389 is not listed on IDEAS
  48. Zou, Changliang & Liu, Yukun & Qin, Peng & Wang, Zhaojun, 2007. "Empirical likelihood ratio test for the change-point problem," Statistics & Probability Letters, Elsevier, vol. 77(4), pages 374-382, February.
  49. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
  50. Shahbaz, Muhammad & Sherafatian-Jahromi, Reza & Malik, Muhammad Nasir & Shabbir, Muhammad Shahbaz & Jam, Farooq Ahmed, 2015. "Linkages between Defense Spending and Income Inequality in Iran," MPRA Paper 63642, University Library of Munich, Germany, revised 10 Apr 2015.
  51. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
  52. Alexis Lazaridis, 2008. "Singular value decomposition in cointegration analysis: a note regarding the difference stationary series," Quality & Quantity: International Journal of Methodology, Springer, vol. 42(5), pages 699-710, October.
  53. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  54. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005. "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, vol. 127(1), pages 103-128, July.
  55. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  56. Cáceres Hernández, J.J., 2001. "Optimalidad del patrón estacional de las exportaciones canarias de tomate," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 41-66, Agosto.
  57. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(1), pages 3-29, June.
  58. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  59. Shahbaz, Muhammad & Shabbir, Shahbaz Muhammad & Butt, Muhammad Sabihuddin, 2011. "Does Military Spending Explode External Debt in Pakistan?," MPRA Paper 30429, University Library of Munich, Germany, revised 21 Apr 2011.
  60. Presno Casquero, Mª J. & López Menéndez, A.J., 2001. "Estacionariedad en torno a un nivel con ruptura. Un estudio de simulación," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 18, pages 189-208, Agosto.
  61. Mela, Giulio & Canali, Gabriele, 2012. "EU and World Agricultural Markets: Are They more Integrated after the Fischler Reform?," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122480, European Association of Agricultural Economists.
  62. Carlos Oyarzún & Iván Araya, 2001. "Long run dynamics of regional growth in Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 28(1 Year 20), pages 69-78, June.
  63. Hache, Emmanuel & Lantz, Frédéric, 2013. "Speculative trading and oil price dynamic: A study of the WTI market," Energy Economics, Elsevier, vol. 36(C), pages 334-340.
  64. G. Dekimpe, Marnik & Hanssens, Dominique M. & Silva-Risso, Jorge M., 1998. "Long-run effects of price promotions in scanner markets," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 269-291, November.
  65. Esteve, Vicente & Tamarit, Cecilio, 2012. "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, vol. 29(6), pages 2696-2703.
  66. Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2009. "Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level," European Journal of Political Economy, Elsevier, vol. 25(4), pages 525-539, December.
  67. Rosas Chimal, Mario Alberto & Flores Ortega, Miguel, 2017. "Calificación riesgo país y flujos de capital en México: 1998-2012/Country risk rating and capital flows in Mexico: 1998-2012," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 35, pages 191-216, Enero.
  68. Banga, Rashmi & Das, Abhijit, 2010. "Role of trade policies in growth of Indian manufacturing sector," MPRA Paper 35198, University Library of Munich, Germany.
  69. Utku Utkulu & Dilek Seymen, 2004. "Trade and Competitiveness Between Turkey and the EU: Time Series Evidence," Working Papers 2004/8, Turkish Economic Association, revised Mar 2004.
  70. Shahbaz, Muhammad & Shabbir, Shahbaz Muhammad & Butt, Muhammad Sabihuddin, 2011. "Effect of financial development on agricultural growth in Pakistan: new extensions from bounds test to level relationships and granger causality tests," MPRA Paper 34162, University Library of Munich, Germany, revised 16 Oct 2011.
  71. Shin, Dong Wan & Sarkar, Sahadeb & Lee, Jong Hyup, 1996. "Unit root tests for time series with outliers," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 189-197, October.
  72. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.
  73. Tomas del Barrio Castro & Mariam Camarero & Cecilio Tamarit, 2013. "The trade balance in euro countries: a natural case study of periodic integration with a changing mean," Working Papers 1321, Department of Applied Economics II, Universidad de Valencia.
  74. Arnone, Marco & Romelli, Davide, 2013. "Dynamic central bank independence indices and inflation rate: A new empirical exploration," Journal of Financial Stability, Elsevier, vol. 9(3), pages 385-398.
  75. Hultkrantz, Lars & Andersson, Linda & Mantalos, Panagiotis, 2014. "Stumpage prices in Sweden 1909–2012: Testing for non-stationarity," Journal of Forest Economics, Elsevier, vol. 20(1), pages 33-46.
  76. Lu, Yang-Cheng & Chang, Tsangyao & Hung, Ken & Liu, Wen-Chi, 2010. "Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2019-2025.
  77. Serletis, Apostolos & Krause, David, 1996. "Empirical evidence on the long-run neutrality hypothesis using low-frequency international data," Economics Letters, Elsevier, vol. 50(3), pages 323-327, March.
  78. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  79. Indjehagopian, J. P. & Lantz, F. & Simon, V., 2000. "Dynamics of heating oil market prices in Europe," Energy Economics, Elsevier, vol. 22(2), pages 225-252, April.
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