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A Primer on Unit Root Testing

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Cited by:

  1. Luis C. Nunes & Paulo M. M. Rodrigues, 2011. "On LM‐type tests for seasonal unit roots in the presence of a break in trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(2), pages 108-134, March.
  2. Thilo Reinschlussel & Martin C. Arnold, 2024. "Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso," Papers 2402.16580, arXiv.org.
  3. 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.
  4. Harvie, Charles & Pahlavani, Mosayeb, 2006. "Testing for Structural Breaks in the Korean Economy 1980-2005: An Application of the Innovational Outlier and Additive Outlier Models," Economics Working Papers wp06-09, School of Economics, University of Wollongong, NSW, Australia.
  5. Benos, Nikos & Stavrakoudis, Athanassios, 2022. "Okun's law: Copula-based evidence from G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 478-491.
  6. Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
  7. Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022. "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics 114620, London School of Economics and Political Science, LSE Library.
  8. Michael Jansson & Morten Ørregaard Nielsen, 2012. "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 80(5), pages 2321-2332, September.
  9. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Bank of Finland Research Discussion Papers 7/2012, Bank of Finland.
  10. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
  11. Zheng, Wei & Jin, Yong & Zhang, Guoyi, 2016. "Recursive estimation of time-average variance constants through prewhitening," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 30-37.
  12. 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.
  13. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
  14. Nielsen, Morten Ørregaard, 2009. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1515-1544, December.
  15. Bailey, Natalia & Giraitis, Liudas, 2016. "Spectral approach to parameter-free unit root testing," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 4-16.
  16. Hanck, Christoph, 2006. "For Which Countries did PPP hold? A Multiple Testing Approach," Technical Reports 2006,47, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  17. Ana Barreira & Rui Nuno Baleiras, 2000. "Cycles On Public Expenditure Composition Within the European Union," Regional and Urban Modeling 283600004, EcoMod.
  18. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
  19. Castro, Tomás del Barrio & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2013. "The Impact Of Persistent Cycles On Zero Frequency Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
  20. Ventosa-Santaularària, Daniel & Gómez, Manuel, 2006. "Inflation and Breaks: the validity of the Dickey-Fuller test," MPRA Paper 58773, University Library of Munich, Germany.
  21. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
  22. Isaac Kinuthia Kimunio & Joseph Muchai Muniu & Bethuel Kinyanjui Kinuthia, 2021. "Foreign-owned banks and their impact on Kenya’s financial stability," SN Business & Economics, Springer, vol. 1(1), pages 1-14, January.
  23. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
  24. Barczy, M. & Ispány, M. & Pap, G., 2011. "Asymptotic behavior of unstable INAR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 583-608, March.
  25. Giuseppe Cavaliere, 2002. "Bounded integrated processes and unit root tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(1), pages 41-69, February.
  26. Manes, Eran & Schneider, Friedrich & Tchetchik, Anat, 2016. "On the Boundaries of the Shadow Economy: An Empirical Investigation," IZA Discussion Papers 10067, Institute of Labor Economics (IZA).
  27. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  28. Distaso, Walter, 2008. "Testing for unit root processes in random coefficient autoregressive models," Journal of Econometrics, Elsevier, vol. 142(1), pages 581-609, January.
  29. Francis Bismans & Christelle Mougeot, 2009. "Austrian business cycle theory: Empirical evidence," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 22(3), pages 241-257, September.
  30. Munehisa Kasuya, 1999. "Downward Price Rigidity of the Japanese CPI -- Analysis by Probability Density Functions and Spatial Density Functions," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  31. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
  32. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
  33. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
  34. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  35. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
  36. Jakob Roland Munch & Michael Svarer, "undated". "Mortality and Socio-economic Differences in a Competing Risks Model," Economics Working Papers 2001-1, Department of Economics and Business Economics, Aarhus University.
  37. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(3), pages 587-636, June.
  38. Christophe Kamps, 2006. "New Estimates of Government Net Capital Stocks for 22 OECD Countries, 1960-2001," IMF Staff Papers, Palgrave Macmillan, vol. 53(1), pages 1-6.
  39. Myoung-Jin Um & Jun-Haeng Heo & Momcilo Markus & Donald J. Wuebbles, 2018. "Performance Evaluation of four Statistical Tests for Trend and Non-stationarity and Assessment of Observed and Projected Annual Maximum Precipitation Series in Major United States Cities," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(3), pages 913-933, February.
  40. Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
  41. Patrick Marsh, "undated". "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  42. repec:zbw:bofism:2012_047 is not listed on IDEAS
  43. Giuseppe Cavaliere, 2000. "A Rescaled Range Statistics Approach to Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 0318, Econometric Society.
  44. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
  45. Girardi, Riccardo & Paruolo, Paolo, 2013. "Wages and prices in Europe before and after the onset of the Monetary Union," Economic Modelling, Elsevier, vol. 35(C), pages 643-653.
  46. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
  47. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
  48. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2005. "Stationarity Tests Under Time-Varying Second Moments," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1112-1129, December.
  49. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
  50. Bo Zhang & Jiti Gao & Guangming Pan, 2020. "Estimation and Testing for High-Dimensional Near Unit Root Time Series," Monash Econometrics and Business Statistics Working Papers 12/20, Monash University, Department of Econometrics and Business Statistics.
  51. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 439-456, September.
  52. Ling, Shiqing & McAleer, Michael, 2004. "Regression quantiles for unstable autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 304-328, May.
  53. Brendan K. Beare, 2018. "Unit Root Testing with Unstable Volatility," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 816-835, November.
  54. Moon, Hyungsik & Phillips, Peter C.B., 1999. "Maximum Likelihood Estimation in Panels with Incidental Trends," University of California at Santa Barbara, Economics Working Paper Series qt3f55r5mj, Department of Economics, UC Santa Barbara.
  55. Christoph Hanck, 2009. "For which countries did PPP hold? A multiple testing approach," Empirical Economics, Springer, vol. 37(1), pages 93-103, September.
  56. Alain Kabundi & Elsabé Loots, 2009. "Patterns of co-movement between a developed and emerging market economy: The case of South Africa and Germany," Working Papers 159, Economic Research Southern Africa.
  57. Adalmir Marquetti, 2004. "Do Rising Real Wages Increase The Rate Of Labor‐Saving Technical Change? Some Econometric Evidence," Metroeconomica, Wiley Blackwell, vol. 55(4), pages 432-441, November.
  58. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
  59. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
  60. Ploberger, Werner, 2004. "A complete class of tests when the likelihood is locally asymptotically quadratic," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 67-94.
  61. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.
  62. Ahmed, Khalid, 2017. "Revisiting the role of financial development for energy-growth-trade nexus in BRICS economies," Energy, Elsevier, vol. 128(C), pages 487-495.
  63. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007. "A simple, robust and powerful test of the trend hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.
  64. Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
  65. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
  66. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
  67. Jakob Grazzini, 2012. "Analysis of the Emergent Properties: Stationarity and Ergodicity," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 1-7.
  68. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  69. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 404-415, October.
  70. Muriel, Nelson & González-Farías, Graciela, 2018. "Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR," Econometrics and Statistics, Elsevier, vol. 7(C), pages 46-62.
  71. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  72. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
  73. Xu, Ke-Li, 2016. "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 38-57.
  74. A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, April.
  75. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
  76. Suwastika Naidu & Atishwar Pandaram & Anand Chand, 2017. "A Johansen Cointegration Test for the Relationship between Remittances and Economic Growth of Japan," Modern Applied Science, Canadian Center of Science and Education, vol. 11(10), pages 137-137, October.
  77. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006. "Modified tests for a change in persistence," Journal of Econometrics, Elsevier, vol. 134(2), pages 441-469, October.
  78. White Halbert & Granger Clive W.J., 2011. "Consideration of Trends in Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-40, February.
  79. Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava, 2020. "Long-term forecasting of El Niño events via dynamic factor simulations," Journal of Econometrics, Elsevier, vol. 214(1), pages 46-66.
  80. Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
  81. Morten Ø. Nielsen, 2008. "A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis," Working Paper 1175, Economics Department, Queen's University.
  82. Bailey, Natalia & Giraitis, Liudas, 2016. "Spectral approach to parameter-free unit root testing," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 4-16.
  83. Ning Fu & Mingu Kang & Joongi Hong & Suntae Kim, 2024. "Enhanced Genetic-Algorithm-Driven Triple Barrier Labeling Method and Machine Learning Approach for Pair Trading Strategy in Cryptocurrency Markets," Mathematics, MDPI, vol. 12(5), pages 1-21, March.
  84. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.
  85. Elisa Yamazaki Tanabe & José Carlos Ramírez Sánchez, 2010. "Evaluación del impacto del mercado de derivados en los canales de transmisión de la política monetaria en México: Metodologías VAR y M-GARCH," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 47-78.
  86. 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.
  87. Brandan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Series Working Papers 2008-WO6, University of Oxford, Department of Economics.
  88. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Discussion Papers in Economics at the University of Washington 0040, Department of Economics at the University of Washington.
  89. Jinyuan Chang & Guanghui Cheng & Qiwei Yao, 2022. "Testing for unit roots based on sample autocovariances [Heteroskedasticity and autocorrelation consistent covariance matrix estimation]," Biometrika, Biometrika Trust, vol. 109(2), pages 543-550.
  90. Shi‐jie Jiang & Jeffrey Tzu‐Hao Tsai & Feiyun Xiang, 2023. "Dynamics of underwriting profits in the US market: Payout patterns and regulation effects," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3100-3118, July.
  91. Bairagi, S. & Mohanty, S., 2018. "Analysis of Price Transmission along the Cambodian Rice Value Chain," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277022, International Association of Agricultural Economists.
  92. Alain Kabundi & Elsabé Loots, 2010. "Patterns Of Co‐Movement Between South Africa And Germany: Evidence From The Period 1985 To 2006," South African Journal of Economics, Economic Society of South Africa, vol. 78(4), pages 383-399, December.
  93. Oscar Alfranca & Ruth Rama & Nicholas von Tunzelmann, 2002. "A patent analysis of global food and beverage firms: The persistence of innovation," Agribusiness, John Wiley & Sons, Ltd., vol. 18(3), pages 349-368.
  94. Ventosa-Santaulária, Daniel & Gómez-Zaldívar, Manuel, 2009. "Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 29(1), May.
  95. Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
  96. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  97. Xiao, Zhijie, 2004. "Estimating average economic growth in time series data with persistency," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
  98. repec:zbw:bofrdp:2012_007 is not listed on IDEAS
  99. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  100. Batrancea Larissa & Rathnaswamy Malar Maran & Batrancea Ioan & Nichita Anca & Rus Mircea-Iosif & Tulai Horia & Fatacean Gheorghe & Masca Ema Speranta & Morar Ioan Dan, 2020. "Adjusted Net Savings of CEE and Baltic Nations in the Context of Sustainable Economic Growth: A Panel Data Analysis," JRFM, MDPI, vol. 13(10), pages 1-17, October.
  101. Paulo M.M. Rodrigues & Jorge M. L. G. Andraz, 2015. "A Reappraisal of Eurozone Countries Output Differentials," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  102. 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.
  103. Ricardo Quineche & Gabriel Rodríguez, 2017. "Selecting the Lag Length for the M GLS Unit Root Tests with Structural Change: A Warning Note for Practitioners Based on Simulations," Econometrics, MDPI, vol. 5(2), pages 1-10, April.
  104. Horváth, Lajos & Kokoszka, Piotr, 2003. "A bootstrap approximation to a unit root test statistic for heavy-tailed observations," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 163-173, April.
  105. Bo Zhang & Jiti Gao & Guangming Pan, 2019. "A Near Unit Root Test for High-Dimensional Nonstationary Time Series," Monash Econometrics and Business Statistics Working Papers 10/19, Monash University, Department of Econometrics and Business Statistics.
  106. Basher, Syed Abul & Raboy, David G., 2018. "The misuse of net present value in energy efficiency standards," Renewable and Sustainable Energy Reviews, Elsevier, vol. 96(C), pages 218-225.
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