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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. Banga, Rashmi & Das, Abhijit, 2010. "Role of trade policies in growth of Indian manufacturing sector," MPRA Paper 35198, University Library of Munich, Germany.
  2. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
  3. 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.
  4. García, Ana & Escribano, Álvaro & 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.
  5. 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.
  6. 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.
  7. Muhammad Shahbaz & Nanthakumar Loganathan & Aviral Tiwari & Reza Sherafatian-Jahromi, 2015. "Financial Development and Income Inequality: Is There Any Financial Kuznets Curve in Iran?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 124(2), pages 357-382, November.
  8. 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.
  9. Bosker, Maarten & Brakman, Steven & Garretsen, Harry & Schramm, Marc, 2008. "A century of shocks: The evolution of the German city size distribution 1925-1999," Regional Science and Urban Economics, Elsevier, vol. 38(4), pages 330-347, July.
  10. Muhammad Shahbaz & Reza Sherafatian-Jahromi & Muhammad Nasir Malik & Muhammad Shahbaz Shabbir & Farooq Ahmed Jam, 2016. "Linkages between defense spending and income inequality in Iran," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(3), pages 1317-1332, May.
  11. 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.
  12. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
  13. Utku Utkulu & Durmus Özdemir, 2005. "Does Trade Liberalization Cause a Long Run Economic Growth in Turkey," Economic Change and Restructuring, Springer, vol. 37(3), pages 245-266, 09.
  14. 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.
  15. 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.
  16. 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.
  17. 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..
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Matteo Lanzafame, 2010. "The nature of regional unemployment in Italy," Empirical Economics, Springer, vol. 39(3), pages 877-895, December.
  24. 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).
  25. 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.
  26. Oliver Holtemöller, 2004. "A monetary vector error correction model of the Euro area and implications for monetary policy," Empirical Economics, Springer, vol. 29(3), pages 553-574, 09.
  27. repec:sbe:breart:v:13:y:1993:i:2:a:2981 is not listed on IDEAS
  28. Shahbaz, Muhammad, 2012. "Does trade openness affect long run growth? Cointegration, causality and forecast error variance decomposition tests for Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2325-2339.
  29. 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.
  30. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 342-358, August.
  31. 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.
  32. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  33. 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.
  34. 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.
  35. 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.
  36. repec:gam:jsusta:v:8:y:2016:i:4:p:375:d:68389 is not listed on IDEAS
  37. Lee, Jim, 1996. "Testing for a unit root in time series with trend breaks," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 503-519.
  38. 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.
  39. Lanne, Markku & Lutkepohl, Helmut, 2002. "Unit root tests for time series with level shifts: a comparison of different proposals," Economics Letters, Elsevier, vol. 75(1), pages 109-114, March.
  40. repec:kap:iaecre:v:12:y:2006:i:4:p:449-460 is not listed on IDEAS
  41. 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.
  42. 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.
  43. 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.
  44. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
  45. ESCOBARI, Diego, 2011. "Testing for Stochastic and Beta-convergence in Latin American Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 11(2).
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. Inoue, Atsushi, 1999. "Tests of cointegrating rank with a trend-break," Journal of Econometrics, Elsevier, vol. 90(2), pages 215-237, June.
  52. Claude Lopez & Javier Reyes, 2009. "Stationary properties of the real interest rate and the per-capita consumption growth rate: empirical evidence for theoretical arguments," Applied Economics, Taylor & Francis Journals, vol. 41(13), pages 1643-1651.
  53. 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.
  54. 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.
  55. Christophe Boucher, 2003. "Stock Market Valuation : the Role of the Macroeconomic Risk Premium," Finance 0305011, EconWPA.
  56. 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.
  57. Cai, Xia & Tian, Yubin & Ning, Wei, 2017. "Modified information approach for detecting change points in piecewise linear failure rate function," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 130-140.
  58. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
  59. 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.
  60. Utku UTKULU & Dilek SEYMEN & Aydin ARI, "undated". "Export Supply and Trade Reform: The Turkish Evidence," EcoMod2004 330600144, EcoMod.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Josep Lluís Carrion-i-Silvestre & Maria Dolores Gadea, 2015. "Testing for multiple level shifts in I(0) and I(1) stochastic processes," EcoMod2015 8702, EcoMod.
  67. 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.
  68. 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.
  69. 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.
  70. Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
  71. 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.
  72. 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.
  73. 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.
  74. 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.
  75. 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.
  76. 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.
  77. 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 1-17, April.
  78. 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).
  79. 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.
  80. 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.
  81. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
  82. 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.
  83. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
  84. 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.
  85. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(4), pages 1-13, December.
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