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A Unit Root Test With Multiple Trend Breaks: A Theory and an Application to US and Japanese Macroeconomic Time-Series

Citations

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Cited by:

  1. Antonio E. Noriega & Lorena Medina, 2003. "Quasi purchasing power parity: Structural change in the Mexican peso/us dollar real exchange rate," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 227-236.
  2. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper 46502, University Library of Munich, Germany.
  3. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
  4. 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.
  5. Ozdemir, Zeynel Abidin & Balcilar, Mehmet & Tansel, Aysit, 2012. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," IZA Discussion Papers 6776, Institute of Labor Economics (IZA).
  6. Nedialko Nestorov, 2015. "Cointegration Approach – Application Opportunities," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 110-140.
  7. Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
  8. Katsuyuki Shibayama, 2015. "Trend Dominance in Macroeconomic Fluctuations," Studies in Economics 1518, School of Economics, University of Kent.
  9. Russo, Emanuele & Foster-McGregor, Neil & Verspagen, Bart, 2019. "Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series," MERIT Working Papers 2019-026, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
  10. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks," Economic Modelling, Elsevier, vol. 25(2), pages 312-325, March.
  11. Gillman, Max & Nakov, Anton, 2009. "Monetary effects on nominal oil prices," The North American Journal of Economics and Finance, Elsevier, vol. 20(3), pages 239-254, December.
  12. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
  13. Monojit Chatterji & Homagni Choudhury, 2010. "Growth Rate Estimation in the presence of Unit Roots," Dundee Discussion Papers in Economics 245, Economic Studies, University of Dundee.
  14. Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.
  15. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society.
  16. Noriega, Antonio E. & Soria, Luis M. & Velázquez, Ramón, 2008. "International evidence on stochastic and deterministic monetary neutrality," Economic Modelling, Elsevier, vol. 25(6), pages 1261-1275, November.
  17. Trofimov, Ivan D., 2018. "The secular decline in profit rates: time series analysis of a classical hypothesis," MPRA Paper 88248, University Library of Munich, Germany.
  18. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2013. "International Labour Force Participation Rates By Gender: Unit Root Or Structural Breaks?," Bulletin of Economic Research, Wiley Blackwell, vol. 65, pages 142-164, May.
  19. Lee, Chien-Chiang & Lee, Jun-De, 2009. "Energy prices, multiple structural breaks, and efficient market hypothesis," Applied Energy, Elsevier, vol. 86(4), pages 466-479, April.
  20. Lin, Pei-Chien & Huang, Ho-Chuan (River), 2012. "Inequality convergence revisited: Evidence from stationarity panel tests with breaks and cross correlation," Economic Modelling, Elsevier, vol. 29(2), pages 316-325.
  21. Andrew Phiri, 2018. "Robust analysis of convergence in per capita GDP in BRICS economies," Working Papers 1822, Department of Economics, Nelson Mandela University.
  22. K. Suresh & Aviral Tiwari, 2013. "Are Shocks to Real Output Permanent or Transitory? Evidence from a Panel of “Asean” Per Capita GDP Data," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 149-157, October.
  23. Aviral Tiwari & Amrit Chaudhari & K. Suresh, 2012. "Are Asian Per Capita GDP Stationary? Evidence from First and Second Generation Panel Unit Root Tests," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 19(1), pages 3-11, September.
  24. Hayashi, Naotsugu, 2005. "Structural changes and unit roots in Japan's macroeconomic time series: is real business cycle theory supported?," Japan and the World Economy, Elsevier, vol. 17(2), pages 239-259, April.
  25. Nyong, M. O. & Udah, E. B., 2012. "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(1).
  26. Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
  27. Yilanci, Veli & Aydin, Mücahit & Aydin, Mehmet, 2019. "Residual Augmented Fourier ADF Unit Root Test," MPRA Paper 96797, University Library of Munich, Germany.
  28. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  29. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
  30. Mehl, Arnaud, 2000. "Unit root tests with double trend breaks and the 1990s recession in Japan," Japan and the World Economy, Elsevier, vol. 12(4), pages 363-379, December.
  31. 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.
  32. Ivan D. Trofimov, 2024. "A Time Series Analysis of Corporate Profit Rates in Selected Developed Economies: Asymmetries, Non-linearity and Mean Reversion," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 303-338, June.
  33. Zeynel Abidin Ozdemir & Mehmet Balcilar & Aysit Tansel, 2012. "Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries," Koç University-TUSIAD Economic Research Forum Working Papers 1223, Koc University-TUSIAD Economic Research Forum.
  34. Fukuda, Kosei, 2006. "Monitoring unit root and multiple structural changes: An information criterion approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 121-130.
  35. Kornelis, Marcel & Dekimpe, Marnik G. & Leeflang, Peter S.H., 2008. "Does competitive entry structurally change key marketing metrics?," International Journal of Research in Marketing, Elsevier, vol. 25(3), pages 173-182.
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