IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Testing for Unit Roots Using Forward and Reverse Dickey-Fuller Regressions"

by Leybourne, S J

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window

  1. Werner Kristjanpoller & Josephine E. Olson & Rodolfo I. Salazar, 2016. "Does the commodities boom support the export led growth hypothesis? Evidence from Latin American countries," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-13, December.
  2. Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey-Fuller Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 355-369, 05.
  3. Virtanen, Timo & Tölö, Eero & Virén, Matti & Taipalus, Katja, 2016. "Use of unit root methods in early warning of financial crises," Research Discussion Papers 27/2016, Bank of Finland.
  4. Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo Group Munich.
  5. Christian Dreger & Dierk Herzer, 2012. "A further examination of the export-led growth hypothesis," FIW Working Paper series 084, FIW.
  6. Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR, 2009. "International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries," William Davidson Institute Working Papers Series wp970, William Davidson Institute at the University of Michigan.
  7. Giulietti, Monica & Iregui, Ana María & Otero, Jesús, 2015. "A pair-wise analysis of the law of one price: Evidence from the crude oil market," Economics Letters, Elsevier, vol. 129(C), pages 39-41.
  8. Ekrame BOUBTANE & Dramane COULIBALY & C. RAULT, 2013. "Immigration, growth and unemployment: Panel VAR evidence from OECD countries," Working Papers 201304, CERDI.
  9. M. Hashem Pesaran & L. Vanessa Smith & Takashi Yamagata, 2008. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," Discussion Papers 08/03, Department of Economics, University of York.
  10. Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2015. "A Pair-Wise Analysis of Intra-City Price Convergence Within the Paris Housing Market," Working Paper Series 15-39, The Rimini Centre for Economic Analysis.
  11. Tena, Juan de Dios & Tremayne, A.R., 2009. "Modelling monetary transmission in UK manufacturing industry," Economic Modelling, Elsevier, vol. 26(5), pages 1053-1066, September.
  12. António Afonso & Christophe Rault, 2010. "Short and Long-run Behaviour of Long-term Sovereign Bond Yields," Working Papers Department of Economics 2010/19, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  13. Sanchez, Ismael, 1998. "Testing for Unit Roots with Prediction Errors," University of California at San Diego, Economics Working Paper Series qt8pc6n1j8, Department of Economics, UC San Diego.
  14. Nuñez, Hector M. & Otero, Jesús, 2015. "Integration in Gasoline and Ethanol Markets in Brazil over Time and Space under the Flex-fuel Technology," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 204306, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  15. PESARAN M. Hashem & SCHUERMANN Til & WEINER Scott, "undated". "Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model," EcoMod2003 330700121, EcoMod.
  16. Arouri, Mohamed El Hedi & Ben Youssef, Adel & M'henni, Hatem & Rault, Christophe, 2012. "Energy Consumption, Economic Growth and CO2 Emissions in Middle East and North African Countries," IZA Discussion Papers 6412, Institute for the Study of Labor (IZA).
  17. Mark Holmes & Jesus Otero & Theodore Panagiotidis, 2015. "The Expectations Hypothesis and Decoupling of Short- and Long-Term US Interest Rates: A Pairwise Approach," Working Paper Series 15-31, The Rimini Centre for Economic Analysis.
  18. Holmes, Mark J. & Iregui, Ana María & Otero, Jesús, 2015. "Interest rate pass through and asymmetries in retail deposit and lending rates: An analysis using data from Colombian banks," Economic Modelling, Elsevier, vol. 49(C), pages 270-277.
  19. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94 Edward Elgar Publishing.
  20. Smith, Richard J. & Robert Taylor, A. M., 2001. "Recursive and rolling regression-based tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 105(2), pages 309-336, December.
  21. Shelef, Amit, 2016. "A Gini-based unit root test," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 763-772.
  22. Tung Liu & Lee C. Spector, 2003. "Dynamic employment adjustments over business cycles," Working Papers 200302, Ball State University, Department of Economics, revised Jan 2005.
  23. J.W. Fedderke & I. Lourenco & F. Gwenhamo, 2011. "Alternative indices of political freedoms, property rights, and political instability for Zambia," Working Papers 207, Economic Research Southern Africa.
  24. Pawel Milobedzki, 2008. "Orlen or Lotos? Which is Setting Prices at the Wholesale Market for Unleaded Petrol in Poland?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 37-44.
  25. Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
  26. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  27. Ozcan, Burcu, 2013. "The nexus between carbon emissions, energy consumption and economic growth in Middle East countries: A panel data analysis," Energy Policy, Elsevier, vol. 62(C), pages 1138-1147.
  28. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
  29. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2014. "On infimum Dickey–Fuller unit root tests allowing for a trend break under the null," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 235-242.
  30. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for rational bubbles in banking indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 365-376.
  31. Steven Cook, 2005. "Estimating the autoregressive parameter: recursive mean adjustment and the initial condition," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 203-206.
  32. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
  33. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August.
  34. Giulietti, Monica & Iregui, Ana María & Otero, Jesús, 2014. "Crude oil price differentials, product heterogeneity and institutional arrangements," Energy Economics, Elsevier, vol. 46(S1), pages 28-32.
  35. Jesús Otero & Jeremy Smith, 2012. "Response surface models for the Leybourne unit root tests and lag order dependence," Computational Statistics, Springer, vol. 27(3), pages 473-486, September.
  36. Christoph Hanck, 2012. "Multiple unit root tests under uncertainty over the initial condition: some powerful modifications," Statistical Papers, Springer, vol. 53(3), pages 767-774, August.
  37. repec:ebl:ecbull:v:3:y:2004:i:11:p:1-9 is not listed on IDEAS
  38. Iregui, Ana María & Otero, Jesús, 2013. "Testing the law of one price in retail banking: An analysis for Colombia using a pair-wise approach," Economics Letters, Elsevier, vol. 118(1), pages 29-32.
  39. repec:hal:journl:halshs-00800608 is not listed on IDEAS
  40. Dan H. Andersen & Hans-Joachim Voth, 1997. "Neutrality and Mediterranean Shipping Under Danish Flag, 1750-1807," Oxford University Economic and Social History Series _018, Economics Group, Nuffield College, University of Oxford.
  41. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies.
  42. Cook, Steven, 2004. "A momentum-threshold autoregressive unit root test with increased power," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 307-310, May.
  43. Sebri, Maamar & Ben Salha, Ousama, 2013. "On the causal dynamics between economic growth, renewable energy consumption, CO2 emissions and trade openness: Fresh evidence from BRICS countries," MPRA Paper 52535, University Library of Munich, Germany.
  44. Juan de Dios Tena, 2006. "The Impact of Non-financial Factors on Heterogeneous Sectoral Price and Output," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 52(3), pages 19-29.
  45. AROURI, Mohamed El Hedi & BEN YOUSSEF, Adel & M'HENNI, Hatem & Rault, Christophe, 2012. "Empirical Analysis of The EKC Hypothesis for Sulfur Dioxide Emissions in Selected Middle East and North African Countries," MPRA Paper 46185, University Library of Munich, Germany, revised 2012.
  46. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
  47. Richard T. Baillie & Kun Ho Kim, 2015. "Local Deviations from Uncovered Interest Parity: The Role of Macroeconomic Fundamentals," Working Paper Series 15-43, The Rimini Centre for Economic Analysis.
  48. Steven Cook, 2004. "On the finite-sample power of modified Dickey-Fuller tests: The role of the initial condition," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  49. Krystyna Strzala, 2006. "Current Account Solvency and the Feldstein-Horioka Puzzle," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 69-82.
  50. Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
  51. Cook, Steven, 2003. "Modified unit root tests and momentum threshold autoregressive processes," Statistics & Probability Letters, Elsevier, vol. 64(1), pages 83-88, August.
  52. Alexander Chudik & Vanessa Smith, 2013. "The GVAR approach and the dominance of the U.S. economy," Globalization and Monetary Policy Institute Working Paper 136, Federal Reserve Bank of Dallas.
  53. Christian Dreger & Dierk Herzer, 2013. "A further examination of the export-led growth hypothesis," Empirical Economics, Springer, vol. 45(1), pages 39-60, August.
  54. L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
  55. Romero-Ávila, Diego, 2009. "Multiple Breaks, Terms of Trade Shocks and the Unit-Root Hypothesis for African Per Capita Real GDP," World Development, Elsevier, vol. 37(6), pages 1051-1068, June.
  56. Sen, Amit, 2009. "Unit root tests in the presence of an innovation variance break that has power against the mean break stationary alternative," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 354-360, February.
  57. Steven Cook, 2003. "The stylized approach to unit root testing: Neglected contributions and the cost of simplicity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(3), pages 267-272.
  58. Arne Kildegaard, 2006. "Fundamentals of real exchange rate determination: What role in the peso crisis?," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(1), pages 3-22.
  59. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2016. "Climbing the property ladder: An analysis of market integration in London property prices," Working Paper Series 16-30, The Rimini Centre for Economic Analysis.
  60. Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
  61. Fielding, David, 1997. "Adjustment, trade policy and investment slumps: evidence from Africa," Journal of Development Economics, Elsevier, vol. 52(1), pages 121-137, February.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.