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Citations for "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration"

by Franses, Philip Hans & Haldrup, Niels

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  1. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
  2. Escribano, Álvaro & Arranz, Miguel A., 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de Estadística.
  3. Jushan Bai & Josep Lluís Carrion-I-Silvestre, 2009. "Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 471-501.
  4. Saadet Kasman & Adnan Kasman & Duygu Ayhan, 2010. "Testing the Purchasing Power Parity Hypothesis for the New Member and Candidate Countries of the European Union: Evidence from Lagrange Multiplier Unit Root Tests with Structural Breaks," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(2), pages 53-65, March.
  5. Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de Estadística.
  6. YAMAMOTO, Yohei, 2015. "Asymptotic Inference for Common Factor Models in the Presence of Jumps," Discussion Papers 2015-05, Graduate School of Economics, Hitotsubashi University.
  7. Montes, Gabriel Caldas & Peixoto, Gabriel Barros Tavares, 2014. "Risk-taking channel, bank lending channel and the “paradox of credibility”," Economic Modelling, Elsevier, vol. 39(C), pages 82-94.
  8. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
  9. Frederick H. Wallace & Gary L. Shelley, 2004. "Long Run Neutrality and Superneutrality of Money: Aggregate and Sectoral Tests for Nicaragua," Macroeconomics 0402004, EconWPA.
  10. Fiuza, Eduardo P.S. & Tito, Fabiana F.M., 2010. "Post-merger time series analysis: Iron ore mining," Resources Policy, Elsevier, vol. 35(3), pages 141-155, September.
  11. Fantazzini, Dean & Toktamysova, Zhamal, 2015. "Forecasting German car sales using Google data and multivariate models," International Journal of Production Economics, Elsevier, vol. 170(PA), pages 97-135.
  12. Olivier Darné & Amélie Charles, 2012. "A note of the uncertain trend in US real GNP: Evidence from robust unit root tests," Post-Print hal-00956936, HAL.
  13. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.).
  14. Haldrup, Niels Prof. & Montanes, Antonio & Sansó, Andreu, 2000. "Measurement Errors and Outliers in Seasonal Unit Root Testing," University of California at San Diego, Economics Working Paper Series qt0gw7q9hk, Department of Economics, UC San Diego.
  15. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  16. Haluk Erlat, 2003. "The Nature of Persistence in Turkish Real Exchange Rates," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 39(2), pages 70-97, March.
  17. Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
  18. Olivier Darné & Claude Diebolt, 2006. "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis," Revue d'économie politique, Dalloz, vol. 116(1), pages 65-78.
  19. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911, October.
  20. Espasa, Antoni & Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
  21. Jesús Otero & Jeremy Smith, 2007. "The KPSS Test with Outliers," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 423-423, May.
  22. Montes, Gabriel Caldas & Assumpção, Antonio Carlos de Jesus, 2014. "Uma Nota Sobre o Papel da Credibilidade da Política Monetária e Fiscal: Evidências para o Brasil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(4).
  23. Eduardo P. S. Fiuza & Fabiana F.M. Tito, 2007. "Time Series Econometrics in a Post-Acquisition Antitrust Analysis: The Brazilian Iron Ore Market," Discussion Papers 1306, Instituto de Pesquisa Econômica Aplicada - IPEA.
  24. Sabate, Marcela & Gadea, Maria Dolores & Serrano, Jose Maria, 2003. "PPP and structural breaks. The peseta-sterling rate, 50 years of a floating regime," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 613-627, October.
  25. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2007. "A robust multivariate long run analysis of European electricity prices," Working Papers 20070901, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  26. Antonio Alberto Mazali & José Angelo Divino, 2011. "Real Wage Rigidity andthe New Phillips Curve: the Brazilian Case," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 38, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  27. 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.
  28. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
  29. Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011. "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-20, April.
  30. Escribano, Álvaro & García, Ana & Aparicio, Felipe M., 2003. "Range unit root tests," DES - Working Papers. Statistics and Econometrics. WS ws031126, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Hande Kucuk-Tuger & Burc Tuger, 2004. "Relative Price Variability : The Case of Turkey 1994-2002," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 4(2), pages 1-40.
  32. Olivier Darné & Jean-François Hoarau, 2008. "The purchasing power parity in Australia: evidence from unit root test with structural break," Post-Print hal-01243482, HAL.
  33. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
  34. Bataa, Erdenebat, 2012. "The Composite Leading Indicator of Mongolia," MPRA Paper 72415, University Library of Munich, Germany.
  35. Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
  36. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
  37. Nandwa, B., 2006. "Implication of the Taylor Rule on Real Exchange Rate Movement in Kenya," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2), pages -.
  38. Zhou, Su & Kutan, Ali M., 2011. "Is the evidence for PPP reliable? A sustainability examination of the stationarity of real exchange rates," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2479-2490, September.
  39. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
  40. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
  41. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
  42. Christian M. Hafner & Arie Preminger, 2016. "The effect of additive outliers on a fractional unit root test," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 401-420, October.
  43. Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics.
  44. repec:fgv:epgrbe:v:67:n:3:a:5 is not listed on IDEAS
  45. Olivier Darne & Laetitia Ripoll-Bresson, 2004. "Exchange rate regime classification and real performances: new empirical evidence," Money Macro and Finance (MMF) Research Group Conference 2003 21, Money Macro and Finance Research Group.
  46. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  47. Franses, Philip Hans & Lucas, André, 1997. "Outlier robust cointegration analysis," Serie Research Memoranda 0045, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  48. Niels Haldrup & Peter Møllgaard & Claus Kastberg Nielslen, 2005. "Sequential versus simultaneous market delineation: The relevant antitrust market for salmon," Economics Working Papers 2005-05, Department of Economics and Business Economics, Aarhus University.
  49. Gabriel Barros Tavares Peixoto & Gabriel Caldas Montes, 2014. "Risk-Taking Channel, Bank Lendingchannel And The “Paradox Of Credibility”: Empirical Evidence For Brazil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  50. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
  51. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers 15, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  52. Miguel Arranz & Alvaro Escribano, 2004. "Outliers - robust ECM cointegration tests based on the trend components," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(4), pages 243-266, December.
  53. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005. "Sequential versus simultaneous market," Working Papers 02-2005, Copenhagen Business School, Department of Economics.
  54. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 627-631.
  55. Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
  56. Montes, Gabriel Caldas & Tavares, Debora Pereira & Guillén, Osmani Teixeira de Carvalho, 2013. "Canal de Transmissão da Política Monetária Por Meio dos Seguros Contratados Pelo Setor Bancário," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(3), July.
  57. 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..
  58. Adolfo Sachsida & Mário Jorge Cardoso de Mendonça, 2006. "Domestic Saving and Investment Revised: Can the Feldstein-Horioka Equation be Used for Policy Analysis?," Discussion Papers 1158, Instituto de Pesquisa Econômica Aplicada - IPEA.
  59. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
  60. Tiziano Bellini, 2016. "The forward search interactive outlier detection in cointegrated VAR analysis," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 10(3), pages 351-373, September.
  61. Eduardo P. S. Fiuza & Fabiana F. M. Tito, 2015. "Time Series Econometrics in a Post-acquisition Antitrust Analysis: the Brazilian Iron ore Market," Discussion Papers 0182, Instituto de Pesquisa Econômica Aplicada - IPEA.
  62. Maican, Florin G. & Sweeney, Richard J., 2013. "Real exchange rate adjustment in European transition countries," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
  63. Funding la Cour, Lisbeth & Møllegaard, H. Peter, 2000. "TESTS OF (ABUSE OF) DOMINATION: The Danish cement industry," Working Papers 10-2000, Copenhagen Business School, Department of Economics.
  64. Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  65. 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.
  66. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Working Papers 1185, Queen's University, Department of Economics.
  67. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  68. Haldrup, Niels & Nielsen, Morten Oe., "undated". "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, Department of Economics and Business Economics, Aarhus University.
  69. Giulio Cifarelli & Giovanna Paladino, 2009. "The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation," Open Economies Review, Springer, vol. 20(4), pages 525-543, September.
  70. repec:fgv:epgrbe:v:68:y:2015:i:4:a:24609 is not listed on IDEAS
  71. Luis Alberiko Gil-Alana, 2005. "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra.
  72. Wells, J. M., 1997. "Modelling seasonal patterns and long-run trends in U.S. time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 407-420, September.
  73. Lisbeth la Cour & H. Møllgaard, 2002. "Market Domination: Tests Applied to the Danish Cement Industry," European Journal of Law and Economics, Springer, vol. 14(2), pages 99-127, September.
  74. 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.
  75. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
  76. José Américo Pereira Antunes & Claudio Oliveira De Moraes & Gabriel Caldas Montes, 2016. "Bank Regulatory Capital, Risk-Taking Channel And Monetary Policy: Evidence From An Inflation Targeting Emerging Economy," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting] 042, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  77. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, Department of Economics and Business Economics, Aarhus University.
  78. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
  79. Carstensen, Kai, 2003. "The finite-sample performance of robust unit root tests," Munich Reprints in Economics 19943, University of Munich, Department of Economics.
  80. Lee, Tae-Hwy & Tse, Yiuman, 1996. "Cointegration tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 73(2), pages 401-410, August.
  81. Marilza Pereira Valentine & Erik Alencar de Figueiredo & Sinézio Fernades Maia & Adriano Nascimento da Paixão, 2003. "Impactos da Política Monetária Sobre os Níveis de Emprego no Brasil Pós-Plano Real: uma Abordagem Quantitativa," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] f07, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  82. repec:ebl:ecbull:v:3:y:2004:i:16:p:1-8 is not listed on IDEAS
  83. Cláudio Hamilton dos Santos & Márcio Bruno Ribeiro & Sérgio Wulff Gobetti, 2008. "A Evolução da Carga Tributária Bruta Brasileira no Período 1995-2007: Tamanho, Composição e Especificações Econométricas Agregadas," Discussion Papers 1350, Instituto de Pesquisa Econômica Aplicada - IPEA.
  84. Fell, Harrison, 2008. "EU-ETS and Nordic Electricity: A CVAR Approach," Discussion Papers dp-08-31, Resources For the Future.
  85. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.
  86. 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.
  87. Chen, Jie, 2006. "Re-evaluating the association between housing wealth and aggregate consumption: New evidence from Sweden," Journal of Housing Economics, Elsevier, vol. 15(4), pages 321-348, December.
  88. Jungmittag Andre & Grupp Hariolf, 2006. "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913 / Dynamic Relationships Between Innovation Activities and Per Capita Income in Germany ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(2), pages 180-207, April.
  89. Halkos, George & Zisiadou, Argyro, 2016. "Exploring the effect of terrorist attacks on markets," MPRA Paper 71877, University Library of Munich, Germany.
  90. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
  91. Hirsch, Tristan & Rinke, Saskia, 2017. "Changes in Persistence in Outlier Contaminated Time Series," Hannover Economic Papers (HEP) dp-583, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  92. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring.
  93. Shin, Dong Wan & So, Beong Soo, 1999. "New tests for unit roots in autoregressive processes with possibly infinite variance errors," Statistics & Probability Letters, Elsevier, vol. 44(4), pages 387-397, October.
  94. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2006. "Deregulated Wholesale Electricity Prices in Europe," Working Papers 20061001, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  95. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  96. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
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