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Citations for "Rank Tests for Nonlinear Cointegration"

by Breitung, Jorg

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  1. Venus khim-sen Liew, 2009. "Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen," Economics Bulletin, AccessEcon, vol. 29(2), pages 1320-1329.
  2. Davies, Andrew, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, Elsevier, vol. 15(4), pages 305-321.
  3. Vasco Gabriel & Luis Martins, 2010. "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers 0910, School of Economics, University of Surrey.
  4. Ye, Yonggang & Chang, Tsangyao & Hung, Ken & Lu, Yang-Cheng, 2011. "Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(2), pages 346-357.
  5. Su, Chi-Wei, 2011. "Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests," Economic Modelling, Elsevier, vol. 28(3), pages 845-851, May.
  6. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim, 2009. "Purchasing power parity in Asian economies: further evidence from rank tests for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 51-54.
  7. Raihan, Selim & Abdullah, S M & Barkat, Aroni & Siddiqua, Salina, 2017. "Mean Reversion of the Real Exchange Rate and the validity of PPP Hypothesis in the context of Bangladesh: A Holistic Approach," MPRA Paper 77172, University Library of Munich, Germany.
  8. Ibrahim Onour, "undated". "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  9. Martha A. Misas A. & Enrique López E. & Carlos A. Arango A. & Juan Nicolás Hernández A., 2004. "No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 10-57, Junio.
  10. Xiao-Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, 05.
  11. Christian Bayer & Christoph Hanck, 2013. "Combining non-cointegration tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 83-95, 01.
  12. Liew, Venus Khim-Sen & Ling, Tai-Hu & Chia, Ricky Chee-Jiun & Yoon, Gawon, 2012. "On the application of the rank tests for nonlinear cointegration to PPP: The case of Papua New Guinea," Economic Modelling, Elsevier, vol. 29(2), pages 326-332.
  13. repec:bdr:ensayo:v::y:2004:i:45:p:10-57 is not listed on IDEAS
  14. Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
  15. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation for Research in Economics, Yale University.
  16. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
  17. Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
  18. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
  19. Taylor, A. M. Robert, 2005. "Variance ratio tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 124(1), pages 33-54, January.
  20. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2012. "Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Discussion Paper 2012-089, Tilburg University, Center for Economic Research.
  21. Mohamed El Hedi Arouri & Jamel Jouini & Nhu Tuyen Le & Duc Khuong Nguyen, 2012. "On the Relationship between World Oil Prices and GCC Stock Markets," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 98-120, January.
  22. Mendonca, Gui Pedro, 2008. "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper 14648, University Library of Munich, Germany.
  23. Chih-Wei SU & Hsu-Ling CHANG & Chun JIANG, 2013. "Does Wealth or Credit Effect Exist in China?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 104-114, October.
  24. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
  25. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  26. Alfred A. Haug & Syed A. Basher, 2004. "Unit Roots, Nonlinear Cointegration and Purchasing Power Parity," Econometrics 0401006, EconWPA, revised 16 Nov 2005.
  27. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
  28. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
  29. Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
  30. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  31. Ibrahim Onour, "undated". "Is the high crude oil prices cause the soaring global food prices?," API-Working Paper Series 1001, Arab Planning Institute - Kuwait, Information Center.
  32. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
  33. Mohcine Bakhat & Klaas WŸrzburg, 2013. "Price Relationships of Crude Oil and Food Commodities," Working Papers fa06-2013, Economics for Energy.
  34. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela Ben, 2015. "Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 121-135.
  35. Sami Chaabouni, 2016. "Modeling and forecasting 3E in Eastern Asia: a comparison of linear and nonlinear models," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(5), pages 1993-2008, September.
  36. Dogru, Bülent & Recepoglu, Mursit, 2013. "Türki̇ye’De Hi̇sse Senedi̇ Fi̇yatlari Ve Dövi̇z Kuru Arasinda Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İli̇şki̇si̇
    [Linear and Nonlinear Cointegration Relationship between Stock Prices and Excha
    ," MPRA Paper 50505, University Library of Munich, Germany.
  37. Ricky Chee Jiun Chia & Shiok Ye Lim & Sheue Li Ong, 2014. "Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1438-1447.
  38. Lim, Shiok Ye & Ho, Chong Mun, 2013. "Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach," Economic Modelling, Elsevier, vol. 32(C), pages 136-145.
  39. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  40. Chi-Wei Su, 2012. "The relationship between exchange rate and macroeconomic variables in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 30(1), pages 33-56.
  41. Shiok Ye Lim & Ricky Chee-Jiun Chia & Chong Mun Ho, 2010. "Long-run Validity of Export-Led Growth: An Empirical Reinvestigation from Linear and Nonlinear Cointegration Test," Economics Bulletin, AccessEcon, vol. 30(2), pages 1182-1190.
  42. Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011. "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 19-30, June.
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