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Citations for "Prewhitening Bias in HAC Estimation"

by Donggyu Sul & Peter C. B. Phillips & Chi-Young Choi

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  1. Bah, Mohamed Siry, 2015. "Real convergence in West African Economic and Monetary Union (WAEMU)," Economics Letters, Elsevier, vol. 135(C), pages 19-23.
  2. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Price level convergence, purchasing power parity and multiple structural breaks: An application to US cities," Working Papers XREAP2008-08, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
  3. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, 01.
  4. Venturini, Francesco, 2012. "Looking into the black box of Schumpeterian growth theories: An empirical assessment of R&D races," European Economic Review, Elsevier, vol. 56(8), pages 1530-1545.
  5. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
  6. Mark J. Holmes & Jesús Otero, 2015. "A Pairwise-Based Approach to Examine the Feldstein-Horioka Condition of International Capital Mobility," Working Papers in Economics 15/01, University of Waikato, Department of Economics.
  7. Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," PSE Working Papers halshs-00564897, HAL.
  8. Otero, Jesús, 2011. "The Long-Run Behaviour of the Terms of Trade between Primary Commodities and Manufactures," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  9. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.).
  10. Ana Iregui & Jesús Otero, 2011. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," Empirical Economics, Springer, vol. 40(2), pages 269-284, April.
  11. Kaddour Hadri & Eiji Kurozumi, 2009. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Economics Working Papers 09-01, Queen's Management School, Queen's University Belfast.
  12. Tsangyao Chang & Gengnan Chiang & Yichun Zhang, 2009. "Is volume index of gdp per capita stationary in oecd countries? panel stationary tests with structural breaks," Economics Bulletin, AccessEcon, vol. 29(2), pages 588-598.
  13. Rabah Arezki & Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2012. "Breaking the Prebish Singer Hypothesis using Panel Data Stationarity Tests," Economics Working Papers 12-01, Queen's Management School, Queen's University Belfast.
  14. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests," Working Paper Series 23_11, The Rimini Centre for Economic Analysis.
  15. Mark J. Holmes & Jesús Otero, 2016. "A pairwise-based approach to examining the Feldstein–Horioka condition of international capital mobility," Empirical Economics, Springer, vol. 50(2), pages 279-297, March.
  16. Salim, Ruhul A. & Hassan, Kamrul & Shafiei, Sahar, 2014. "Renewable and non-renewable energy consumption and economic activities: Further evidence from OECD countries," Energy Economics, Elsevier, vol. 44(C), pages 350-360.
  17. Mohamed El Hedi Arouri & Christophe Rault, 2010. "On The Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," Working Papers 538, Economic Research Forum, revised Aug 2010.
  18. Vendrame, Vasco & Tucker, Jon & Guermat, Cherif, 2016. "Some extensions of the CAPM for individual assets," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 78-85.
  19. Kim, Hyeongwoo & Durmaz, Nazif, 2012. "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, vol. 28(3), pages 575-586.
  20. Holmes, Mark J. & Otero, Jesús, 2014. "Re-examining the Feldstein–Horioka and Sachs' views of capital mobility: A heterogeneous panel setup," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 1-11.
  21. Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics, revised 09 Nov 2009.
  22. Christophe Rault & Alexandru Minea, 2011. "External Monetary Shocks and Monetary Integration: Evidence from the Bulgarian Currency Board," Post-Print halshs-00830165, HAL.
  23. Tiwari, Aviral Kumar & Kyophilavong, Phouphet & Albulescu, Claudiu Tiberiu, 2016. "Testing the stationarity of CO2 emissions series in Sub-Saharan African countries by incorporating nonlinearity and smooth breaks," Research in International Business and Finance, Elsevier, vol. 37(C), pages 527-540.
  24. María Presno & Manuel Landajo, 2010. "Computation of limiting distributions in stationarity testing with a generic trend," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 165-183, March.
  25. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies," Working Paper Series 34_10, The Rimini Centre for Economic Analysis.
  26. repec:gam:jeners:v:8:y:2015:i:11:p:12718-12728:d:58623 is not listed on IDEAS
  27. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2009. "Are Eu Budget Deficits Stationary?," Working Paper Series 17_09, The Rimini Centre for Economic Analysis.
  28. Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2012. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-Sectional Dependency and Structural Breaks," Open Economies Review, Springer, vol. 23(5), pages 767-783, November.
  29. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. ""Aggregation Bias" DOES Explain the PPP Puzzle," NBER Working Papers 11607, National Bureau of Economic Research, Inc.
  30. Vishal Chandr Jaunky & Robert Lundmark, 2015. "Are Shocks to Wood Fuel Production Permanent? Evidence from the EU," Energies, MDPI, Open Access Journal, vol. 8(11), pages 12335, November.
  31. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  32. Skrobotov Anton, 2013. "Bias Correction of KPSS Test with Structural Break for Reducing of Size Distortion," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 33-61, December.
  33. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
  34. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2013. "Modelling the behaviour of unemployment rates in the US over time and across space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5711-5722.
  35. Evans, Paul & Kim, Ji Uk, 2011. "Stochastic convergence of the catch-up rate and multiple structural breaks in Asian countries," Economics Letters, Elsevier, vol. 111(3), pages 260-263, June.
  36. Vishal Jaunky, 2013. "Democracy and economic growth in Sub-Saharan Africa: a panel data approach," Empirical Economics, Springer, vol. 45(2), pages 987-1008, October.
  37. Josep Lluís Carrion-i-Silvestre & Vicente German-Soto, 2008. "Panel Data Stochastic Convergence Analysis of the Mexican Regions," IREA Working Papers 200805, University of Barcelona, Research Institute of Applied Economics, revised Apr 2008.
  38. repec:ebl:ecbull:v:3:y:2006:i:27:p:1-10 is not listed on IDEAS
  39. Balaguer, Jacint & Ripollés, Jordi, 2014. "Are the transport fuel retail markets regionally integrated in Spain? Evidence from price transmission," Economic Modelling, Elsevier, vol. 42(C), pages 323-332.
  40. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," MPRA Paper 22712, University Library of Munich, Germany.
  41. Nelson C. Mark & Donggyu Sul, 2002. "Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand," NBER Technical Working Papers 0287, National Bureau of Economic Research, Inc.
  42. Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
  43. Apergis, Nicholas & Lau, Marco Chi Keung & Yarovaya, Larisa, 2016. "Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 50-59.
  44. Luke Hartigan, 2016. "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers 2016-06, School of Economics, The University of New South Wales.
  45. Iregui, Ana María & Otero, Jesús, 2013. "The long-run behaviour of the terms of trade between primary commodities and manufactures: A panel data approach," 87th Annual Conference, April 8-10, 2013, Warwick University, Coventry, UK 158682, Agricultural Economics Society.
  46. Sun, Yixiao & Phillips, Peter C.B. & Jin, Sainan, 2011. "Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1320-1368, December.
  47. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "On the Stationarity of Current Account Deficits in the European Union," Working Paper Series 05_10, The Rimini Centre for Economic Analysis.
  48. Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University.
  49. Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
  50. Arezki, Rabah & Hadri, Kaddour & Loungani, Prakash & Rao, Yao, 2014. "Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 208-223.
  51. Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
  52. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2006. "New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks," Working Papers in Economics 159, Universitat de Barcelona. Espai de Recerca en Economia.
  53. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
  54. Claudio Morana, 2008. "International stock markets comovements: the role of economic and financial integration," Empirical Economics, Springer, vol. 35(2), pages 333-359, September.
  55. 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.
  56. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
  57. Salim, Ruhul A. & Rafiq, Shuddhasattwa, 2012. "Why do some emerging economies proactively accelerate the adoption of renewable energy?," Energy Economics, Elsevier, vol. 34(4), pages 1051-1057.
  58. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2016. "Renewable-to-total electricity consumption ratio: Estimating the permanent or transitory fluctuations based on flexible Fourier stationarity and unit root tests," Renewable and Sustainable Energy Reviews, Elsevier, vol. 57(C), pages 1409-1427.
  59. 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.
  60. Durech, Richard & Minea, Alexandru & Mustea, Lavinia & Slusna, Lubica, 2014. "Regional evidence on Okun's Law in Czech Republic and Slovakia," Economic Modelling, Elsevier, vol. 42(C), pages 57-65.
  61. Výrost, Tomáš & Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Granger causality stock market networks: Temporal proximity and preferential attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 262-276.
  62. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  63. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  64. Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 125-147, February.
  65. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
  66. Jean-François Hoarau, 2010. "Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks," Post-Print hal-01243461, HAL.
  67. Lee, Hyejin & Meng, Ming & Lee, Junsoo, 2012. "Performance of nonlinear instrumental variable unit root tests using recursive detrending methods," Economics Letters, Elsevier, vol. 117(1), pages 214-216.
  68. Jacobo Campo Robledo, 2012. "Impacto de las patentes sobre el crecimiento económico: un modelo panel cointegrado 1990-2010," REVISTA EQUIDAD Y DESARROLLO, UNIVERSIDAD DE LA SALLE, October.
  69. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
  70. Vougas, Dimitrios V., 2008. "Unit root testing based on BLUS residuals," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1943-1947, September.
  71. Shafiei, Sahar & Salim, Ruhul A., 2014. "Non-renewable and renewable energy consumption and CO2 emissions in OECD countries: A comparative analysis," Energy Policy, Elsevier, vol. 66(C), pages 547-556.
  72. Andreou, Elena, 2008. "Restoring monotone power in the CUSUM test," Economics Letters, Elsevier, vol. 98(1), pages 48-58, January.
  73. Campo Robledo, Jacobo, 2011. "Sostenibilidad fiscal: una aproximación con datos panel para 8 países Latinoaméricanos
    [Fiscal sustainability: A data panel approach for eight Latin American countries]
    ," MPRA Paper 33091, University Library of Munich, Germany.
  74. Salim, Ruhul A. & Shafiei, Sahar, 2014. "Urbanization and renewable and non-renewable energy consumption in OECD countries: An empirical analysis," Economic Modelling, Elsevier, vol. 38(C), pages 581-591.
  75. Lee, Chien-Chiang & Chang, Chun-Ping, 2007. "Energy consumption and GDP revisited: A panel analysis of developed and developing countries," Energy Economics, Elsevier, vol. 29(6), pages 1206-1223, November.
  76. Hadri, Kaddour & Kurozumi, Eiji, 2012. "A simple panel stationarity test in the presence of serial correlation and a common factor," Economics Letters, Elsevier, vol. 115(1), pages 31-34.
  77. Iñaki Iriarte-Goñi & María Isabel Ayuda, 2011. "Not Only Subterranean Forests: Wood Consumption And Economic Development In Britain (1850-1938)," Documentos de Trabajo (DT-AEHE) 1107, Asociacion Espa–ola de Historia Economica.
  78. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA.
  79. Peter C.B. Phillips, 2004. "HAC Estimation by Automated Regression," Cowles Foundation Discussion Papers 1470, Cowles Foundation for Research in Economics, Yale University.
  80. Lee, Jin & Lee, Young Im, 2012. "Size improvement of the KPSS test using sieve bootstraps," Economics Letters, Elsevier, vol. 116(3), pages 483-486.
  81. Arezki, Rabah & Hadri, Kaddour & Kurozumi, Eiji & Rao, Yao, 2012. "Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break," Economics Letters, Elsevier, vol. 117(3), pages 814-816.
  82. Lee, Chien-Chiang & Lee, Jun-De & Lee, Chi-Chuan, 2010. "Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks," Japan and the World Economy, Elsevier, vol. 22(1), pages 49-58, January.
  83. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  84. Lyócsa, Štefan & Baumöhl, Eduard, 2015. "Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs," Economic Systems, Elsevier, vol. 39(2), pages 253-268.
  85. Rodrigues, Paulo M.M., 2006. "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, vol. 91(3), pages 413-419, June.
  86. Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo, 2013. "Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures," Economics Letters, Elsevier, vol. 120(2), pages 195-199.
  87. Westerlund, Joakim, 2003. "Feasible Estimation in Cointegrated Panels," Working Papers 2003:12, Lund University, Department of Economics, revised 10 Nov 2003.
  88. Chen, Pei-Fen & Lee, Chien-Chiang, 2007. "Is energy consumption per capita broken stationary? New evidence from regional-based panels," Energy Policy, Elsevier, vol. 35(6), pages 3526-3540, June.
  89. repec:hal:wpaper:halshs-00564897 is not listed on IDEAS
  90. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA.
  91. 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.
  92. Jesús Otero & Luis Fernando Gamboa & Andrés García-Suaza, 2011. "An analysis of the relationship between wages in the public and private sector in colombia: a panel data approach," DOCUMENTOS DE TRABAJO 008738, UNIVERSIDAD DEL ROSARIO.
  93. Roman Horváth & Štefan Lyócsa & Eduard Baumöhl, 2016. "Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedance," Working Papers 357, Institut für Ost- und Südosteuropaforschung (Institute for East and South-East European Studies).
  94. Apergis, Nicholas & Lau, Marco Chi Keung, 2015. "Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market," Energy Economics, Elsevier, vol. 52(PA), pages 176-182.
  95. Paul Evans & Ji Uk Kim, 2016. "Convergence analysis as spatial dynamic panel regression and distribution dynamics of $$\hbox {CO}_{2}$$ CO 2 emissions in Asian countries," Empirical Economics, Springer, vol. 50(3), pages 729-751, May.
  96. Chang, Tsangyao & Ranjbar, Omid & Tang, D.P., 2013. "Revisiting the mean reversion of inflation rates for 22 OECD countries," Economic Modelling, Elsevier, vol. 30(C), pages 245-252.
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