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Tests for Asymmetry in Possibly Nonstationary Time Series Data

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Cited by:

  1. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
  2. Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194.
  3. Shin, Dong Wan & Lee, Oesook, 2007. "Asymmetry and nonstationarity for a seasonal time series model," Journal of Econometrics, Elsevier, vol. 136(1), pages 89-114, January.
  4. Dimitris Christopoulos, 2004. "Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests," Macroeconomics 0406002, University Library of Munich, Germany.
  5. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
  6. Robert, Anderton & Baldwin, Richard & Taglioni, Daria, 2007. "The impact of monetary union on trade prices," Journal of Financial Transformation, Capco Institute, vol. 19, pages 35-48.
  7. George Kapetanios & Yongcheol Shin, 2006. "Unit root tests in three-regime SETAR models," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 252-278, July.
  8. Wan Shin, Dong & Lee, Oesook, 2003. "An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models," Journal of Econometrics, Elsevier, vol. 115(1), pages 29-52, July.
  9. Park, Soo Jung & Wan Shin, Dong & Uk Park, Byeong & Chul Kim, Woo & Oh, Man-Suk, 2005. "Bayesian test for asymmetry and nonstationarity in MTAR model with possibly incomplete data," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1192-1204, June.
  10. James K. Self, 2006. "Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3153-3174, November.
  11. Christopoulos, Dimitris & León-Ledesma, Miguel A., 2010. "Current account sustainability in the US: What did we really know about it?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 442-459, April.
  12. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
  13. Yamei Liu & Walter Enders, 2003. "Out‐of‐Sample Forecasts and Nonlinear Model Selection with an Example of the Term Structure of Interest Rates," Southern Economic Journal, John Wiley & Sons, vol. 69(3), pages 520-540, January.
  14. Man-Suk Oh & Dong Wan Shin, 2002. "Bayesian model selection and parameter estimation for possibly asymmetric and non-stationary time series using a reversible jump Markov chain Monte Carlo approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 771-789.
  15. Lee, Yonghee & Shin, Dong Wan, 2006. "Unit root tests for cross-sectionally dependent seasonal panels," Economics Letters, Elsevier, vol. 93(3), pages 311-317, December.
  16. Matei Demetrescu & Christoph Hanck, 2011. "Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 256-264, October.
  17. Park, Soo Jung & Shin, Dong Wan, 2006. "A sign test for unit roots in a momentum threshold autoregressive process," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 986-990, May.
  18. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
  19. Dong Shin & Oesook Lee, 2008. "Unit root tests for panel MTAR model with cross-sectionally dependent error," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(3), pages 315-326, April.
  20. Yaya, OlaOluwa S & Ogbonna, Ephraim A & Furuoka, Fumitaka & Gil-Alana, Luis A., 2019. "A new unit root analysis for testing hysteresis in unemployment," MPRA Paper 96621, University Library of Munich, Germany.
  21. Shin, Dong Wan & Park, Sangun, 2010. "Robust panel unit root tests for cross-sectionally dependent multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2801-2813, November.
  22. Shin, Dong Wan & Kang, Seungho, 2006. "An instrumental variable approach for panel unit root tests under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 134(1), pages 215-234, September.
  23. Fumitaka Furuoka & Luis A. Gil-Alana & OlaOluwa S. Yaya & Elayaraja Aruchunan & Ahamuefula E. Ogbonna, 2024. "A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis," Empirical Economics, Springer, vol. 66(6), pages 2471-2499, June.
  24. Dimitris Christopoulos, 2006. "Does a non-linear mean reverting process characterize real GDP movements?," Empirical Economics, Springer, vol. 31(3), pages 601-611, September.
  25. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2012. "Unit Roots and Structural Change," Urban Studies, Urban Studies Journal Limited, vol. 49(4), pages 757-776, March.
  26. Wan Shin, Dong & Jhee, Won-Chul, 2006. "Tests for asymmetry in possibly nonstationary dynamic panel models," Economics Letters, Elsevier, vol. 91(1), pages 15-20, April.
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