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Citations for "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power"

by Hansen, Bruce E.

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  1. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.
  2. Pesaran, M. Hashem & Smith, L. Vanessa & Yamagata, Takashi, 2007. "Panel Unit Root Tests in the Presence of a Multifactor Error Structure," IZA Discussion Papers 3254, Institute for the Study of Labor (IZA).
  3. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
  4. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
  5. Elena Pesavento, 2006. "Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size," Economics Working Papers ECO2006/18, European University Institute.
  6. Enders, Walter & Im, Kyung So & Lee, Junsoo & Strazicich, Mark C., 2010. "IV threshold cointegration tests and the Taylor rule," Economic Modelling, Elsevier, vol. 27(6), pages 1463-1472, November.
  7. Engel, Charles & Kim, Chang-Jin, 1999. "The Long-Run U.S./U.K. Real Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 335-56, August.
  8. Peter Tillmann & Maik H. Wolters, 2012. "The changing dynamics of US inflation persistence: a quantile regression approach," MAGKS Papers on Economics 201206, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  9. Sonora, Robert J., 2008. "Bivariate relative city price convergence in the United States: 1918-1997," Review of Financial Economics, Elsevier, vol. 17(2), pages 92-111.
  10. Luis A.Gil-Alana & Shinhye Chang & Mehmet Balcilar & Goodness C. Aye & Rangan Gupta, 2014. "Persistence in Precious Metal Prices: A Fractional Integration Approach with Structural Breaks," Working Papers 201458, University of Pretoria, Department of Economics.
  11. Lambrias, Kyriacos, 2011. "World Technology Shocks and the Real Euro-Dollar Exchange Rate," TSE Working Papers 11-261, Toulouse School of Economics (TSE).
  12. Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," University of Cincinnati, Economics Working Papers Series 2003-06, University of Cincinnati, Department of Economics.
  13. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," Economics Working Papers (Ensaios Economicos da EPGE) 631, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  14. Shiqing Ling & Michael McAleer, 2003. "Regression Quantiles for Unstable Autoregressive Models," CIRJE F-Series CIRJE-F-205, CIRJE, Faculty of Economics, University of Tokyo.
  15. Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan, 2014. "Non-linear adjustments to intranational PPP," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 360-371.
  16. Fève, Patrick & Hénin, Pierre-Yves, 1998. "Assessing effective sustainability of fiscal policy within the G-7," CEPREMAP Working Papers (Couverture Orange) 9815, CEPREMAP.
  17. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2004. "The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology," NBER Working Papers 10254, National Bureau of Economic Research, Inc.
  18. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
  19. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  20. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22.
  21. Graham Elliott & Michael Jansson & Elena Pesavento, 2003. "Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity," Emory Economics 0303, Department of Economics, Emory University (Atlanta).
  22. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA.
  23. Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
  24. Charles Engel, 1999. "Local-Currency Pricing and the Choice of Exchange-Rate Regime," Working Papers 0036, University of Washington, Department of Economics.
  25. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra, 2005. "The Asymmetric Behavior of the U.S. Public Debt," Economics Working Papers (Ensaios Economicos da EPGE) 593, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  26. Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, EconWPA.
  27. Podivinsky, Jan M. & King, Maxwell L., 2000. "The exact power envelope of tests for a unit root," Discussion Paper Series In Economics And Econometrics 0026, Economics Division, School of Social Sciences, University of Southampton.
  28. Alan M. Taylor, 1996. "International Capital Mobility in History: Purchasing-Power Parity in the Long Run," NBER Working Papers 5742, National Bureau of Economic Research, Inc.
  29. Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics.
  30. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, 07.
  31. Fossati, Sebastian, 2011. "Covariate Unit Root Tests with Good Size and Power," Working Papers 2011-4, University of Alberta, Department of Economics.
  32. Hosseinkouchack, Mehdi & Wolters, Maik H., 2012. "Do large recessions reduce output permanently?," Economics Working Papers 2012-16, Christian-Albrechts-University of Kiel, Department of Economics.
  33. Tsong, Ching-Chuan & Wu, Chien-Wei & Chiu, Hsien-Hung & Lee, Cheng-Feng, 2013. "Covariate unit root tests under structural change and asymmetric STAR dynamics," Economic Modelling, Elsevier, vol. 33(C), pages 101-112.
  34. Lee, Cheng-Feng & Hu, Te-Chung & Li, Ping-Cheng & Tsong, Ching-Chuan, 2013. "Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test," Japan and the World Economy, Elsevier, vol. 28(C), pages 72-84.
  35. Claudiu Tiberiu Albulescu & Dominique Pepin & Aviral Kumar Tiwari, 2014. "A RE-EXAMINATION OF REAL INTEREST PARITY IN CEECs USING OLD AND NEW GENERATIONS OF PANEL UNIT ROOT TESTS," Working Papers hal-00959475, HAL.
  36. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
  37. Dirk G Baur & Thomas Dimpfl, 2012. "State-dependent Momentum in International Stock Markets," Working Paper Series 169, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  38. Lindé, Jesper, 2004. "The Effects of Permanent Technology Shocks on Labor Productivity and Hours in the RBC model," Working Paper Series 161, Sveriges Riksbank (Central Bank of Sweden).
  39. Lupi, Claudio, 2009. "Covariate Augmented Dickey-Fuller Tests with R," Economics & Statistics Discussion Papers esdp09051, University of Molise, Dept. EGSeI.
  40. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
  41. Mario Nigrinis Ospina, . "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia 281, Banco de la Republica de Colombia.
  42. Claudio Lupi, . "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(i02).
  43. Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
  44. Sebastian Fossati, 2013. "Unit root testing with stationary covariates and a structural break in the trend function," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 368-384, 05.
  45. Lindé, Jesper, 2009. "The effects of permanent technology shocks on hours: Can the RBC-model fit the VAR evidence?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 597-613, March.
  46. Costantini, Mauro & Lupi, Claudio, 2011. "A Simple Panel-CADF Test for Unit Roots," Economics & Statistics Discussion Papers esdp11062, University of Molise, Dept. EGSeI.
  47. Silvana Bartoletto & Bruno Chiarini & Elisabetta Marzano, 2012. "The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective," CESifo Working Paper Series 3812, CESifo Group Munich.
  48. Boengiu, Tudor & Morar Triandafil, Cristina & Morar Triandafil, Adrian, 2011. "Debt Ceiling and External Debt Sustainability in Romania: A Quantile Autoregression Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 15-29, December.
  49. Tsong, Ching-Chuan & Lee, Cheng-Feng, 2011. "Asymmetric inflation dynamics: Evidence from quantile regression analysis," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 668-680.
  50. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
  51. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, 06.
  52. Alvaroriascos & Luis Fernando Melo Velandia, 2004. "Sobre Los Efectos Dela Politica Monetaria Encolombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
  53. Elena Pesavento, 2005. "Residuals Based Tests for the Null of No Cointegration: An Analytical Comparison," Emory Economics 0503, Department of Economics, Emory University (Atlanta).
  54. Martin O'Brien, 2007. "Real Interest Parity in the EU and the Consequences for Euro Area Membership: Panel Data Evidence, 1979-2005," Papers WP183, Economic and Social Research Institute (ESRI).
  55. Dimitris K. Christopoulos & John Loizides & Efthymios G. Tsionas, 2009. "Electoral Motives, Partisan Motives And Dynamic Optimality With Many Taxes: An International Investigation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 94-113, 02.
  56. Westerlund, Joakim, 2015. "The effect of recursive detrending on panel unit root tests," Journal of Econometrics, Elsevier, vol. 185(2), pages 453-467.
  57. Sul, Donggyu, 2009. "Panel unit root tests under cross section dependence with recursive mean adjustment," Economics Letters, Elsevier, vol. 105(1), pages 123-126, October.
  58. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  59. Lee, Cheng-Feng & Tsong, Ching-Chuan, 2009. "Bootstrapping covariate stationarity tests for inflation rates," Economic Modelling, Elsevier, vol. 26(6), pages 1443-1448, November.
  60. Lawrence J Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "How do Canadian hours worked respond to a technology shock?," International Finance Discussion Papers 774, Board of Governors of the Federal Reserve System (U.S.).
  61. Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
  62. repec:csg:ajrcwp:05 is not listed on IDEAS
  63. 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.).
  64. Costantini, Mauro & Lupi, Claudio & Popp, Stephan, 2007. "A Panel-CADF Test for Unit Roots," Economics & Statistics Discussion Papers esdp07039, University of Molise, Dept. EGSeI.
  65. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 637-657, August.
  66. Maria Elena Bontempi & Roberto Golinelli, 2012. "The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1733-1751, November.
  67. Graham Elliott & Elena Pesavento, 2005. "Higher Power Tests for Bilateral Failure of PPP after 1973," Emory Economics 0502, Department of Economics, Emory University (Atlanta).
  68. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  69. Yoosoon Chang & Wonho Song, 2002. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-2, International Conferences on Panel Data.
  70. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(01), pages 56-94, February.
  71. Lupi, Claudio, 2011. "Panel-CADF Testing with R: Panel Unit Root Tests Made Easy," Economics & Statistics Discussion Papers esdp11063, University of Molise, Dept. EGSeI.
  72. Byeongseon, Seo, 1998. "Statistical inference on cointegration rank in error correction models with stationary covariates," Journal of Econometrics, Elsevier, vol. 85(2), pages 339-385, August.
  73. Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(03), pages 407-439, June.
  74. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
  75. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
  76. Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
  77. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  78. Kazuki Hiraga, 2011. "New Methods for Testing the Sustainability of Government Debt," Keio/Kyoto Joint Global COE Discussion Paper Series 2011-020, Keio/Kyoto Joint Global COE Program.
  79. Elliott, Graham & Jansson, Michael & Pesavento, Elena, 2004. "Optimal Power for Testing Potential Cointegrating Vectors with Known," University of California at San Diego, Economics Working Paper Series qt2bv7n071, Department of Economics, UC San Diego.
  80. Mauro S. Ferreira, 2007. "Capturing asymmetry in real exchange rate with quantile autoregression," Textos para Discussão Cedeplar-UFMG td306, Cedeplar, Universidade Federal de Minas Gerais.
  81. Christopoulos, Dimitris K. & León-Ledesma, Miguel A., 2008. "Time-series output convergence tests and stationary covariates," Economics Letters, Elsevier, vol. 101(3), pages 297-299, December.
  82. Siklos, Pierre L., 2010. "Meeting Maastricht: Nominal convergence of the new member states toward EMU," Economic Modelling, Elsevier, vol. 27(2), pages 507-515, March.
  83. Juhl, Ted, 2004. "A Lagrange multiplier stationarity test using covariates," Economics Letters, Elsevier, vol. 85(3), pages 321-326, December.
  84. Tsong, Ching-Chuan, 2011. "Testing for a unit root with covariates against nonlinear alternatives," Economic Modelling, Elsevier, vol. 28(3), pages 1226-1234, May.
  85. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
  86. Fève, Patrick & Hénin, Pierre-Yves & Jolivaldt, Philippe, 1998. "Feedback covariates unit root tests : an application to the sustainability of fiscal policy," CEPREMAP Working Papers (Couverture Orange) 9810, CEPREMAP.
  87. L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 635-643.
  88. Christopoulos, Dimitris & McAdam, Peter, 2015. "Do financial reforms help stabilize inequality?," Working Paper Series 1780, European Central Bank.
  89. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
  90. Kim, Bae-Geun, 2010. "Identifying a permanent markup shock and its implications for macroeconomic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1471-1491, August.
  91. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, EconWPA.
  92. Joakim Westerlund, . "On the Asymptotic Distribution of the DF–GLS Test Statistic," Financial Econometics Series 2014_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  93. Joakim Westerlund & Paresh Kumar Narayan, . "Testing for Predictability in Conditionally Heteroskedastic Stock Returns," Financial Econometics Series 2014_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
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