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Citations for "Tests of Common Stochastic Trends"

by Nyblom, Jukka & Harvey, Andrew

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  1. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
  2. El Montasser, Ghassen, 2012. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 45110, University Library of Munich, Germany, revised 04 Mar 2014.
  3. Tommaso Proietti & Eric Hillebrand, 2015. "Seasonal Changes in Central England Temperatures," CREATES Research Papers 2015-28, Department of Economics and Business Economics, Aarhus University.
  4. Haldrup, Niels, . "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.
  5. Fabio Busetti, 2012. "On detecting end-of-sample instabilities," Temi di discussione (Economic working papers) 881, Bank of Italy, Economic Research and International Relations Area.
  6. Matteo Pelagatti & Valeria Negri, 2008. "Milan’s Cycle as an Accurate Leading Indicator for the Italian Business Cycle," Working Papers 20080601, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  7. Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0701, Faculty of Economics, University of Cambridge.
  8. Baigorri, Carlos M. & Maldonado, Wilfredo F.L., 2014. "Optimal mobile termination rate: The Brazilian mobile market case," Telecommunications Policy, Elsevier, vol. 38(1), pages 86-95.
  9. Barkoulas, John & Baum, Christopher F. & Chakraborty, Atreya, 2003. "Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums," Journal of Macroeconomics, Elsevier, vol. 25(1), pages 109-122, March.
  10. Joshua Aizenman & Yothin Jinjarak, 2008. "Current Account Patterns and National Real Estate Markets," NBER Working Papers 13921, National Bureau of Economic Research, Inc.
  11. Auci, Sabrina & Becchetti, Leonardo, 2006. "The instability of the adjusted and unadjusted environmental Kuznets curves," Ecological Economics, Elsevier, vol. 60(1), pages 282-298, November.
  12. Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," IDEI Working Papers 158, Institut d'Économie Industrielle (IDEI), Toulouse.
  13. Guglielmo Maria Caporale & Marinko Škare, 2011. "Employment Growth, Inflation and Output Growth: Was Phillips Right? Evidence from a Dynamic Panel," CESifo Working Paper Series 3502, CESifo Group Munich.
  14. Bruno, Giancarlo & Malgarini, Marco, 2002. "An Indicator of Economic Sentiment for the Italian Economy," MPRA Paper 42331, University Library of Munich, Germany.
  15. Luati, Alessandra & Proietti, Tommaso, 2012. "Maximum likelihood estimation of time series models: the Kalman filter and beyond," Working Papers 2012_02, University of Sydney Business School, Discipline of Business Analytics.
  16. Nielsen, Morten Oe., . "Multivariate Lagrange Multiplier Tests for Fractional Integration," Economics Working Papers 2002-18, Department of Economics and Business Economics, Aarhus University.
  17. Tucker S. McElroy & Michael W. McCracken, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
  18. I. A. Moosa & J. L. Baxter, 2002. "Modelling the trend and seasonals within an AIDS model of the demand for alcoholic beverages in the United Kingdom," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 95-106.
  19. Chen, Xiaoshan & MacDonald, Ronald, 2015. "Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 20-35.
  20. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  21. Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics 0509009, EconWPA.
  22. Ai, Xiaohui & Li, Wenbo V. & Liu, Guoqing, 2012. "Karhunen–Loeve expansions for the detrended Brownian motion," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1235-1241.
  23. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-05, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  24. James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics.
  25. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  26. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2001. "Unité et pluralité du cycle européen," Revue de l'OFCE, Presses de Sciences-Po, vol. 78(3), pages 9-73.
  27. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
  28. repec:spo:wpecon:info:hdl:2441/2130 is not listed on IDEAS
  29. Pelagatti, Matteo M. & Sen, Pranab K., 2013. "Rank tests for short memory stationarity," Journal of Econometrics, Elsevier, vol. 172(1), pages 90-105.
  30. Ralf Brüggemann, 2006. "Sources of German unemployment: a structural vector error correction analysis," Empirical Economics, Springer, vol. 31(2), pages 409-431, June.
  31. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(01), pages 56-94, February.
  32. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  33. Javier Gómez Biscarri & Javier Hualde, 2014. "Regression-based analysis of cointegration systems," Working Papers 780, Barcelona Graduate School of Economics.
  34. Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta & Tsangyao Chang, 2013. "The Dynamic Relationship between House Prices and Output: Evidence from US Metropolitan Statistical Areas," Working Papers 201349, University of Pretoria, Department of Economics.
  35. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
  36. Zanetti Chini, Emilio, 2010. "Does the purchasing power parity hypothesis hold after 1998?," MPRA Paper 27225, University Library of Munich, Germany.
  37. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2014. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working Papers 1403, University of Nevada, Las Vegas , Department of Economics.
  38. Sven Schreiber, 2011. "Estimating the natural rate of unemployment in euro-area countries with co-integrated systems," Post-Print hal-00671241, HAL.
  39. Fabio Busetti, 2003. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Temi di discussione (Economic working papers) 476, Bank of Italy, Economic Research and International Relations Area.
  40. Fabio Busetti & A. M. Robert Taylor, 2003. "Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots," Temi di discussione (Economic working papers) 470, Bank of Italy, Economic Research and International Relations Area.
  41. Søren Johansen, 2014. "Times Series: Cointegration," Discussion Papers 14-24, University of Copenhagen. Department of Economics.
  42. Tommaso Proietti, 2005. "Convergence in Italian regional per-capita GDP," Applied Economics, Taylor & Francis Journals, vol. 37(5), pages 497-506.
  43. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers 10, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  44. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  45. Aizenman, Joshua & Pasricha, Gurnain, 2009. "Selective Swap Arrangements and the Global Financial Crisis: Analysis and Interpretation," Santa Cruz Department of Economics, Working Paper Series qt2vw7s14s, Department of Economics, UC Santa Cruz.
  46. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  47. El Montasser, Ghassen, 2014. "The seasonal KPSS Test: some extensions and further results," MPRA Paper 54920, University Library of Munich, Germany.
  48. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
  49. Arvid Raknerud, 2001. "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers 295, Statistics Norway, Research Department.
  50. Jukka Nyblom & Andrew Harvey, 2001. "Testing against smooth stochastic trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 415-429.
  51. Vasco M.Carvalho & Andrew C.Harvey, 2002. "Growth, Cycles and Convergence in US Regional Time Series," Cambridge Working Papers in Economics 0221, Faculty of Economics, University of Cambridge.
  52. Esa Mangeloja, 2003. "Structural testing of Business Cycles," Macroeconomics 0308004, EconWPA.
  53. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," Stirling Economics Discussion Papers 2014-12, University of Stirling, Division of Economics.
  54. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  55. Ghassen El Montasser, 2015. "The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 339, May.
  56. Rath, Deba Prasad & Misra, Biswa Swarup, 2006. "Examining Sustainability of Federal Finances in India: An Application of Non-stationary Panel Methods," MPRA Paper 21894, University Library of Munich, Germany.
  57. Jen-Je Su, 2003. "On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 637-641.
  58. Harvey, A. & Vasco Carvalho, 2002. "Models for Converging Economies," Cambridge Working Papers in Economics 0216, Faculty of Economics, University of Cambridge.
  59. Nyblom, Jukka, 2001. "Invariant Tests for Covariance Structures in Multivariate Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 294-315, February.
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