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Citations for "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate"

by Caner, Mehmet & Kilian, Lutz

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  1. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, cross-Sectional Dependency and Structural Breaks," Working Paper Series 51_11, The Rimini Centre for Economic Analysis.
  2. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. 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.
  4. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.).
  5. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  6. Mabel Cabezas B. & Jorge Selaive C. & Gonzalo Becerra M., 2004. "Determinants of Non-Mining Exports: A Regional Perspective," Working Papers Central Bank of Chile 296, Central Bank of Chile.
  7. Javier Gomez-Biscarri & Javier Hualde, 2014. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona Graduate School of Economics.
  8. Víctor M. Cuevas Ahumada, 2009. "La competitividad internacional manufacturera en Argentina, México y Turquía: una investigación empírica," ECONOMÍA, GESTIÓN Y DESARROLLO 009355, UNIVERSIDAD JAVERIANA - CALI.
  9. Tastan Huseyin, 2005. "Do real exchange rates contain a unit root? Evidence from Turkish data," Applied Economics, Taylor & Francis Journals, vol. 37(17), pages 2037-2053.
  10. Jönsson, Kristian, 2005. "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers 2005:16, Lund University, Department of Economics.
  11. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Masih, A. Mansur A., 2005. "Financial Integration of East Asian Economies: Evidence from Real Interest Parity," MPRA Paper 2210, University Library of Munich, Germany, revised 2007.
  12. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Working Papers 450, Research Seminar in International Economics, University of Michigan.
  13. Haluk Erlat, 2009. "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW.
  14. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
  15. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2010. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies," Discussion Paper Series 2010_18, Department of Economics, University of Macedonia, revised Nov 2009.
  16. 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.
  17. Kristian Jönsson, 2011. "Testing Stationarity in Small‐ and Medium‐Sized Samples when Disturbances are Serially Correlated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 669-690, October.
  18. Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "Are EU budget deficits stationary?," Empirical Economics, Springer, vol. 38(3), pages 767-778, June.
  19. 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.
  20. Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  21. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
  22. 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.
  23. 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.
  24. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
  25. Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
  26. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  27. 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.
  28. Kurozumi, Eiji, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
  29. Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics.
  30. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
  31. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  32. Jomana Amara, 2011. "Testing for stationarity using covariates: an application to purchasing power parity," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1295-1301.
  33. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
  34. Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-8.
  35. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics.
  36. Luintel, Kul B & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008. "Financial Structure and Economic Growth," Cardiff Economics Working Papers E2008/3, Cardiff University, Cardiff Business School, Economics Section.
  37. Sonali Das & Rangan Gupta & Patrick Agu Kaya, 2009. "Convergence of Metropolitan House Prices in South Africa: A Re-Examination Using Efficient Unit Root Tests," Working Papers 200922, University of Pretoria, Department of Economics.
  38. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
  39. Daniel Dias & Carlos Robalo Marques, 2005. "Using Mean Reversion as a Measure of Persistence," Working Papers w200503, Banco de Portugal, Economics and Research Department.
  40. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
  41. Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers) 799, Bank of Italy, Economic Research and International Relations Area.
  42. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1063-1071.
  43. Jorge Selaive & Vicente Tuesta, 2003. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Working Papers Central Bank of Chile 252, Central Bank of Chile.
  44. Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2012. "Interação entre o mercado acionista e o crescimento económico: Uma apreciação do caso português (1993-2010)
    [Interaction between the stock market and economic growth: An assessment of the Portugues
    ," MPRA Paper 39808, University Library of Munich, Germany.
  45. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
  46. Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Finance 0401006, EconWPA.
  47. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.
  48. 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.
  49. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  50. 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.
  51. repec:ebl:ecbull:v:3:y:2004:i:16:p:1-8 is not listed on IDEAS
  52. 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.
  53. Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
  54. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
  55. Muller, Ulrich K., 2005. "Size and power of tests of stationarity in highly autocorrelated time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 195-213, October.
  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. Rodriguez, Gonzalo & Bande, Roberto, 2014. "Market differences in wild and farmed marine fish in the Spanish seafood market," MPRA Paper 59142, University Library of Munich, Germany.
  58. 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).
  59. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
  60. GRENADE, Kari & MOORE, Winston, 2008. "Co-Movements Between Foreign And Domestic Interest Rates In A Fixed Exchange Rate Regime: The Case Of The Eccu And The Us," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 119-130.
  61. Kim, Soyoung & Lima, Luiz Renato, 2010. "Local persistence and the PPP hypothesis," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 555-569, April.
  62. Paul Alagidede & George Tweneboah & Anokye M. Adam, 2008. "Nominal Exchange Rates and Price Convergence in the West African Monetary Zone," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 181-198, December.
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