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Citations for "A Comparison of Unit-Root Test Criteria"

by Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A

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  1. Christopoulos, Dimitris K., 2007. "A note on capital mobility in Greece," Journal of Policy Modeling, Elsevier, vol. 29(3), pages 535-540.
  2. Giancarlo Gandolfo & Giulio Nicoletti, 2002. "Exchange rate volatility and economic openness: A causal relation?," Working Papers 68, Sapienza University of Rome, CIDEI.
  3. Schröder, Michael & Hüfner, Felix P., 2002. "Exchange rate pass-through to consumer prices: a European perspective," ZEW Discussion Papers 02-20, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  4. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, 01.
  5. R. A. L. Carter & A. Zellner, 2002. "The ARAR Error Model for Univariate Time Series and Distributed Lag Models," UWO Department of Economics Working Papers 20025, University of Western Ontario, Department of Economics.
  6. Yoo, Seung-Hoon, 2006. "Causal relationship between coal consumption and economic growth in Korea," Applied Energy, Elsevier, vol. 83(11), pages 1181-1189, November.
  7. Malley Jim & Molana Hassan, 2002. "Fiscal Policy And The Composition Of Private Consumption: Some Evidence From The U.A. And Canada," International Economic Journal, Taylor & Francis Journals, vol. 16(1), pages 139-158.
  8. Roberto ESPOSTI, 2000. "Public R&D Design and Technological Spill-Ins. A Dynamic Model," Working Papers 136, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Jim Malley & Thomas Moutos, . "Government Employment and Unemployment: With One Hand Giveth, the Other Taketh," ICMM Discussion Papers 47, Department of Economics University of Strathclyde.
  10. Falk, Barry, 1999. "Fitting autoregressive trend stationary models with finite samples," International Journal of Forecasting, Elsevier, vol. 15(1), pages 11-25, February.
  11. Roche, M.J. & McQuinn, K., 2002. "Grain Price Volatility in a Small Open Economy," Economics, Finance and Accounting Department Working Paper Series n1130202.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  12. Seung-Hoon Yoo, 2007. "Urban Water Consumption and Regional Economic Growth: The Case of Taejeon, Korea," Water Resources Management- An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 21(8), pages 1353-1361, August.
  13. Jerry Coakley & Stuart Snaith, 2004. "Testing for Long Run Relative PPP in Europe," Money Macro and Finance (MMF) Research Group Conference 2004 34, Money Macro and Finance Research Group.
  14. Apostolos Serletis, 1997. "Is There an East-West Split in North American Natural Gas Markets?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 47-62.
  15. Park, Chul Gyu & Shin, Dong Wan, 1996. "On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 341-346, May.
  16. Kristin J. Forbes & Menzie D. Chinn, 2003. "A Decomposition of Global Linkages in Financial Markets Over Time," NBER Working Papers 9555, National Bureau of Economic Research, Inc.
  17. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo Group Munich.
  18. Shin, Dong Wan & So, Beong-Soo, 1997. "Semiparametric unit root tests based on symmetric estimators," Statistics & Probability Letters, Elsevier, vol. 33(2), pages 177-184, April.
  19. Cook, Steven, 2002. "Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 75-79, November.
  20. Diego Romero-Ávila & Carlos Usabiaga, 2008. "On the persistence of Spanish unemployment rates," Empirical Economics, Springer, vol. 35(1), pages 77-99, August.
  21. Ndung'u, N.S., 1999. "Monetary and Exchange Rate Policy in Kenya," Papers 94, African Economic Research Consortium.
  22. Ozcan, Burcu, 2013. "The nexus between carbon emissions, energy consumption and economic growth in Middle East countries: A panel data analysis," Energy Policy, Elsevier, vol. 62(C), pages 1138-1147.
  23. Jim Malley & Hassan Molana, 2006. "Further Evidence from Aggregate Data on the Life-Cycle-Permanent-Income Model," Empirical Economics, Springer, vol. 31(4), pages 1025-1041, November.
  24. Taipalus , Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  25. Minoas Koukouritakis & Athanasios P. Papadopoulos & Andreas Yannopoulos, 2013. "Linkages between the euro zone and the south-eastern European countries: a global VAR analysis," Working Papers 163, Bank of Greece.
  26. Toshihiro Ihori & Takero Doi & Hiroki Kondo, 2000. "Japanese Fiscal Reform: Fiscal Reconstruction and Fiscal Policy," CIRJE F-Series CIRJE-F-83, CIRJE, Faculty of Economics, University of Tokyo.
  27. Silva Lopes, Artur C. & Monteiro, Olga Susana, 2007. "The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal," MPRA Paper 6310, University Library of Munich, Germany, revised 14 Dec 2007.
  28. Peter Wilson, 2001. "Exchange Rates and the Trade Balance for Dynamic Asian Economies—Does the J-Curve Exist for Singapore, Malaysia, and Korea?," Open Economies Review, Springer, vol. 12(4), pages 389-413, October.
  29. W A Razzak, 2007. "A Perspective on Unit Root and Cointegration in Applied Macroeconomics," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 4(1), pages 77-102.
  30. Dimitris K. Christopoulos & John Loizides & Efthymios G. Tsionas, 2009. "Electoral Motives, Partisan Motives And Dynamic Optimality With Many Taxes: An International Investigation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 94-113, 02.
  31. K. Patterson & Saeed Heravi, 2003. "Weighted symmetric tests for a unit root: response functions, power, test dependence and test conflict," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 779-790.
  32. Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics 0311008, EconWPA.
  33. repec:ebl:ecbull:v:3:y:2004:i:11:p:1-9 is not listed on IDEAS
  34. Reinsel, Gregory C. & Cheang, Wai-Kwong, 2003. "Approximate ML and REML estimation for regression models with spatial or time series AR(1) noise," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 123-135, April.
  35. Yash P. Mehra, 2000. "Wage-price dynamics : are they consistent with cost push?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 27-43.
  36. Yoo, Seung-Hoon & Kim, Yeonbae, 2006. "Electricity generation and economic growth in Indonesia," Energy, Elsevier, vol. 31(14), pages 2890-2899.
  37. Ignacio Mauleón & Mª Mar Sánchez, 2000. "Fundamentals Of The Us And The Uk Interest Rates Under The Rational Expectation Scheme," Working Papers. Serie AD 2000-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  38. Bingham, Matthew F. & Prestemon, Jeffrey P. & MacNair, Douglas J. & Abt, Robert C. & Bingham, Matthew F., 2003. "Market structure in U. S. southern pine roundwood," Journal of Forest Economics, Elsevier, vol. 9(2), pages 97-117.
  39. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  40. Efthymios Tsionas, 2001. "Regional Convergence and Common, Stochastic Long-run Trends: A Re-examination of the US Regional Data," Regional Studies, Taylor & Francis Journals, vol. 35(8), pages 689-696.
  41. Noriega, Antonio E., 2004. "Long-run monetary neutrality and the unit-root hypothesis: further international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 179-197, August.
  42. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
  43. Selim Elekdag & Nabil Ben Ltaifa & Todd Schneider & Saade Chami, 2007. "Can a Rule-Based Monetary Policy Framework Work in a Developing Country? The Case of Yemen," IMF Working Papers 07/6, International Monetary Fund.
  44. Darrat, Ali F & Zhong, Maosen, 2000. "On Testing the Random-Walk Hypothesis: A Model-Comparison Approach," The Financial Review, Eastern Finance Association, vol. 35(3), pages 105-24, August.
  45. De Loo Ivo, 1998. "Fables of Faubus?: Testing the Sectoral Shift Hypothesis in the Netherlands Using a Simplified Kalman Filter Model," Research Memorandum 002, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
  46. Seung-Hoon Yoo, 2004. "Public R&D expenditure and private R&D expenditure: a causality analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 711-714.
  47. Yoo, Seung-Hoon & Kwak, So-Yoon, 2010. "Electricity consumption and economic growth in seven South American countries," Energy Policy, Elsevier, vol. 38(1), pages 181-188, January.
  48. Cook, Steven, 2003. "Modified unit root tests and momentum threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 83-88, August.
  49. Laing, Andrew R. & Nolan, James F., 2009. "Price Dynamics and Market Structure in Transportation: For-Hire Grain Trucking Along the Alberta- Saskatchewan Border," 50th Annual Transportation Research Forum, Portland, Oregon, March 16-18, 2009 207599, Transportation Research Forum.
  50. Ali Darrat & Khaled Elkhal & Gaurango Banerjee & Maosen Zhong, 2004. "Why do US banks borrow from the Fed? A fresh look at the 'reluctance' phenomenon," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 477-484.
  51. Yoo, Seung-Hoon & Ku, Se-Ju, 2009. "Causal relationship between nuclear energy consumption and economic growth: A multi-country analysis," Energy Policy, Elsevier, vol. 37(5), pages 1905-1913, May.
  52. Kam C. Chan & Louis T. W. Cheng & Joseph K. W. Fung, 2001. "Ownership Restrictions and Stock-Price Behavior in China," Chinese Economy, M.E. Sharpe, Inc., vol. 34(1), pages 29-48, January.
  53. Gallaway, Michael P. & McDaniel, Christine A. & Rivera, Sandra A., 2003. "Short-run and long-run industry-level estimates of U.S. Armington elasticities," The North American Journal of Economics and Finance, Elsevier, vol. 14(1), pages 49-68, March.
  54. Guillaume L'Hegaret & Boriss Siliverstovs & Christian von Hirschhausen, 2004. "International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan," Working Papers 0402, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
  55. Jim Malley & Hassan Molana, . "The Permanent Income Hypothesis Revisited: Reconciling Evidence from Aggregate Data with the Representative Consumer Behaviour," ICMM Discussion Papers 48, Department of Economics University of Strathclyde.
  56. Ali Darrat & Fatima Al-Shamsi, 2005. "On the path of integration in the Gulf region," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1055-1062.
  57. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  58. Balistreri, Edward J. & McDaniel, Christine A. & Wong, Eina Vivian, 2003. "An estimation of US industry-level capital-labor substitution elasticities: support for Cobb-Douglas," The North American Journal of Economics and Finance, Elsevier, vol. 14(3), pages 343-356, December.
  59. Park, Sun-Young & Yoo, Seung-Hoon, 2014. "The dynamics of oil consumption and economic growth in Malaysia," Energy Policy, Elsevier, vol. 66(C), pages 218-223.
  60. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May.
  61. Konno, Toru & Fukushige, Mototsugu, 2003. "Did NAFTA cause the structural changes in bilateral import functions between the US and Mexico?," Journal of Policy Modeling, Elsevier, vol. 25(1), pages 53-59, January.
  62. Afxentiou, Panos & Serletis, Apostolos, 2000. "Output growth and the variability of exports and imports growth: international evidence from Granger causality tests," MPRA Paper 1750, University Library of Munich, Germany.
  63. Yoo, Seung-Hoon, 2005. "Electricity consumption and economic growth: evidence from Korea," Energy Policy, Elsevier, vol. 33(12), pages 1627-1632, August.
  64. Steven Cook, 2004. "On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  65. Njuguna S. Ndung'U & Rose W. Ngugi, 1999. "Adjustment and liberalization in Kenya: the financial and foreign exchange markets," Journal of International Development, John Wiley & Sons, Ltd., vol. 11(3), pages 465-491.
  66. L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
  67. Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
  68. Christoph Hanck, 2012. "Multiple unit root tests under uncertainty over the initial condition: some powerful modifications," Statistical Papers, Springer, vol. 53(3), pages 767-774, August.
  69. Chang, Ching-Chih & Soruco Carballo, Claudia Fabiola, 2011. "Energy conservation and sustainable economic growth: The case of Latin America and the Caribbean," Energy Policy, Elsevier, vol. 39(7), pages 4215-4221, July.
  70. Dimitris Christopoulos, 2004. "Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests," Macroeconomics 0406002, EconWPA.
  71. B Bhaskara Rao & Rup Singh, 2005. "A Cointegration And Error Correction Approach To Demand For Money In Fiji: 1971-2002," Macroeconomics 0511012, EconWPA.
  72. Jo-Hee Hwang & Seung-Hoon Yoo, 2014. "Energy consumption, CO 2 emissions, and economic growth: evidence from Indonesia," Quality & Quantity- International Journal of Methodology, Springer, vol. 48(1), pages 63-73, January.
  73. Douglas Fisher & Adrian R. Fleissig & Apostolos Serletis, 2001. "An empirical comparison of flexible demand system functional forms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 59-80.
  74. Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
  75. Yoo, S.-H., 2006. "The causal relationship between electricity consumption and economic growth in the ASEAN countries," Energy Policy, Elsevier, vol. 34(18), pages 3573-3582, December.
  76. Krauss, Christopher & Herrmann, Klaus & Teis, Stefan, 2015. "On the power and size properties of cointegration tests in the light of high-frequency stylized facts," FAU Discussion Papers in Economics 11/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  77. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  78. Tsutsui, Yoshiro, 2003. "Stock prices in Japan rise at night," Japan and the World Economy, Elsevier, vol. 15(4), pages 391-406, December.
  79. Kyoung-Min Lim & Myunghwan Kim & Chang Seob Kim & Seung-Hoon Yoo, 2012. "Short-Run and Long-Run Elasticities of Diesel Demand in Korea," Energies, MDPI, Open Access Journal, vol. 5(12), pages 5055, November.
  80. Brian Kahn & Ashok Parikh, 1998. "Does purchasing power parity survive political shocks in South Africa?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 134(1), pages 99-116, March.
  81. Masahiro Kawai & Munehisa Kasuya & Naohisa Hirakata, 2003. "Analysis of the Relative Price of Nontradable Goods in the G7 Countries," Bank of Japan Working Paper Series 03-E-5, Bank of Japan.
  82. A. F. Darrat & D. A. Yousef, 2004. "Fertility, human capital, and macroeconomic performance: long-term interactions and short-run dynamics," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 537-554.
  83. Lim, Kyoung-Min & Lim, Seul-Ye & Yoo, Seung-Hoon, 2014. "Short- and long-run elasticities of electricity demand in the Korean service sector," Energy Policy, Elsevier, vol. 67(C), pages 517-521.
  84. Mangal Goswami & Oya Celasun, 2002. "An Analysis of Money Demand and Inflation in the Islamic Republic of Iran," IMF Working Papers 02/205, International Monetary Fund.
  85. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
  86. Sánchez, Ismael, 2000. "Spectral density estimators at frequency zero for nonstationarity tests in arma models," DES - Working Papers. Statistics and Econometrics. WS 10132, Universidad Carlos III de Madrid. Departamento de Estadística.
  87. Kyoung-Min Lim & Seul-Ye Lim & Seung-Hoon Yoo, 2014. "Oil Consumption, CO 2 Emission, and Economic Growth: Evidence from the Philippines," Sustainability, MDPI, Open Access Journal, vol. 6(2), pages 967, February.
  88. Clegg, Matthew & Krauss, Christopher, 2016. "Pairs trading with partial cointegration," FAU Discussion Papers in Economics 05/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
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