IDEAS home Printed from https://ideas.repec.org/r/cup/etheor/v25y2009i06p1754-1792_99.html
   My bibliography  Save this item

Gls-Based Unit Root Tests With Multiple Structural Breaks Under Both The Null And The Alternative Hypotheses

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Alfred A. Haug, 2014. "On real interest rate persistence: the role of breaks," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1058-1066, April.
  2. Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
  3. Costantini, Mauro & Sen, Amit, 2016. "A simple testing procedure for unit root and model specification," Computational Statistics & Data Analysis, Elsevier, vol. 102(C), pages 37-54.
  4. Marcos Sanso-Navarro, 2011. "Broken trend stationarity of hours worked," Post-Print hal-00712742, HAL.
  5. Edilean Silva Bejarano Aragón & Gabriela Medeiros, 2015. "Monetary policy in Brazil: evidence of a reaction function with time-varying parameters and endogenous regressors," Empirical Economics, Springer, vol. 48(2), pages 557-575, March.
  6. repec:spr:agfoec:v:7:y:2019:i:1:d:10.1186_s40100-019-0137-5 is not listed on IDEAS
  7. Alfred A. Haug & Ian P. King, 2011. "Empirical Evidence on Inflation and Unemployment in the Long Run," Department of Economics - Working Papers Series 1128, The University of Melbourne.
  8. Skrobotov Anton, 2018. "On Trend Breaks and Initial Condition in Unit Root Testing," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-15, January.
  9. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  10. Gülbahar ÜÇLER, 2016. "Testing the relationship between military spending and private investments: Evidence from Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 307-318, Autumn.
  11. repec:agr:journl:v:3(616):y:2018:i:3(616):p:113-134 is not listed on IDEAS
  12. Güriş, Burak, 2017. "A New Nonlinear Unit Root Test with Fourier Function," MPRA Paper 82260, University Library of Munich, Germany.
  13. Camarero, Mariam & Carrion-i-Silvestre, Josep Lluís & Tamarit, Cecilio, 2013. "Global imbalances and the intertemporal external budget constraint: A multicointegration approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5357-5372.
  14. repec:ege:journl:v:17:y:2017:i:3:p:323-336 is not listed on IDEAS
  15. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Unit root testing under a local break in trend," Journal of Econometrics, Elsevier, vol. 167(1), pages 140-167.
  16. repec:kap:ijhcfe:v:17:y:2017:i:1:d:10.1007_s10754-016-9196-2 is not listed on IDEAS
  17. Omri, Anis, 2014. "An international literature survey on energy-economic growth nexus: Evidence from country-specific studies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 38(C), pages 951-959.
  18. Gülbahar ÜÇLER, 2016. "Testing the relationship between military spending and private investments: Evidence from Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(608), A), pages 307-318, Autumn.
  19. Hervé Ott, 2014. "Extent and possible causes of intrayear agricultural commodity price volatility," Agricultural Economics, International Association of Agricultural Economists, vol. 45(2), pages 225-252, March.
  20. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
  21. repec:agr:journl:v:4(605):y:2015:i:4(605):p:133-144 is not listed on IDEAS
  22. repec:eee:transa:v:126:y:2019:i:c:p:360-376 is not listed on IDEAS
  23. Saten Kumar, 2014. "Financial Crisis, Taylor Rule and the Fed," Working Papers 2014-02, Auckland University of Technology, Department of Economics.
  24. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
  25. Luc Doyen & Sébastien Lavaud & Anne-Sophie Masure, 2017. "RMA newsletter Spring 2017," Post-Print hal-02196591, HAL.
  26. 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, May.
  27. repec:bla:buecrs:v:71:y:2019:i:4:p:616-640 is not listed on IDEAS
  28. repec:eee:rujoec:v:1:y:2015:i:4:p:386-403 is not listed on IDEAS
  29. repec:rau:journl:v:12:y:2017:i:1:p:59-67 is not listed on IDEAS
  30. repec:agr:journl:v:4(605):y:2015:i:4(605):p:135-146 is not listed on IDEAS
  31. Paradiso, Antonio & Kumar, Saten & Margani, Patrizia, 2014. "Are Italian consumer confidence adjustments asymmetric? A macroeconomic and psychological motives approach," Journal of Economic Psychology, Elsevier, vol. 43(C), pages 48-63.
  32. Katircioğlu, Salih Turan, 2014. "Testing the tourism-induced EKC hypothesis: The case of Singapore," Economic Modelling, Elsevier, vol. 41(C), pages 383-391.
  33. 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.
  34. repec:spr:cliomt:v:12:y:2018:i:2:d:10.1007_s11698-017-0159-8 is not listed on IDEAS
  35. Umit BULUT, 2015. "The Interest Rate Corridor as a Macroprudential Tool to Mitigate Rapid Growth in Credits: Evidence from Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(605), W), pages 133-144, Winter.
  36. Noguera, José, 2013. "Oil prices: Breaks and trends," Energy Economics, Elsevier, vol. 37(C), pages 60-67.
  37. Emanuele Russo & Neil Foster-McGregor & Bart Verpagen, 2019. "Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series," LEM Papers Series 2019/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  38. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
  39. Nuno Sobreira & Luis C. Nunes & Paulo M. M. Rodrigues, 2014. "Characterizing Economic Growth Paths Based On New Structural Change Tests," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 845-861, April.
  40. David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2014. "Unit Root Testing under a Local Break in Trend using Partial Information on the Break Date," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 93-111, February.
  41. Jiadong Tong & Zijun Wang & Jian Yang, 2016. "Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(7), pages 695-718, July.
  42. Esteve, Vicente & Tamarit, Cecilio, 2012. "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, vol. 29(6), pages 2696-2703.
  43. repec:arp:tjssrr:2018:p:24-27 is not listed on IDEAS
  44. Bataa, Erdenebat & Izzeldin, Marwan & Osborn, Denise R., 2016. "Changes in the global oil market," Energy Economics, Elsevier, vol. 56(C), pages 161-176.
  45. Jouini, Jamel, 2015. "Economic growth and remittances in Tunisia: Bi-directional causal links," Journal of Policy Modeling, Elsevier, vol. 37(2), pages 355-373.
  46. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
  47. Katircioğlu, Salih Turan & Taşpinar, Nigar, 2017. "Testing the moderating role of financial development in an environmental Kuznets curve: Empirical evidence from Turkey," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 572-586.
  48. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW).
  49. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2019. "How resilient is La Réunion in terms of international tourism attractiveness: an assessment from unit root tests with structural breaks from 1981-2015," Applied Economics, Taylor & Francis Journals, vol. 51(24), pages 2639-2653, May.
  50. Imran H. Shah & Ian Corrick & Abdul Saboor, 2018. "How should Central Banks Respond to Non-neutral Inflation Expectations?," Open Economies Review, Springer, vol. 29(2), pages 321-351, April.
  51. repec:eee:finsta:v:33:y:2017:i:c:p:187-206 is not listed on IDEAS
  52. Cumhur ÞAHÝN & Hüseyin ALTAY, 2016. "Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment," Eurasian Business & Economics Journal, Eurasian Academy Of Sciences, vol. 4(4), pages 52-67, January.
  53. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, January.
  54. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
  55. Harris, David & Leybourne, Stephen J. & Taylor, A.M. Robert, 2016. "Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point," Journal of Econometrics, Elsevier, vol. 192(2), pages 451-467.
  56. Ekrem ERDEM & Ahmet KOSEOGLU & Ali Gokhan YUCEL, 2016. "Testing the validity of the Feldstein-Horioka Puzzle: New evidence from structural breaks for Turkey," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(607), S), pages 17-26, Summer.
  57. repec:spr:jecfin:v:42:y:2018:i:3:d:10.1007_s12197-017-9401-2 is not listed on IDEAS
  58. Wojciech Charemza & Carlos Diaz Vela & Svetlana Makarova, 2013. "Inflation fan charts, monetary policy and skew normal distribution," Discussion Papers in Economics 13/06, Division of Economics, School of Business, University of Leicester.
  59. Ventosa-Santaulària Daniel & Gómez-Zaldívar Manuel, 2011. "Testing for a Deterministic Trend When There is Evidence of Unit Root," Journal of Time Series Econometrics, De Gruyter, vol. 2(2), pages 1-26, January.
  60. Salamaliki, Paraskevi K. & Venetis, Ioannis A., 2013. "Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock," Energy Economics, Elsevier, vol. 39(C), pages 108-121.
  61. Ketenci, Natalya, 2015. "Capital mobility in Russia," Russian Journal of Economics, Elsevier, vol. 1(4), pages 386-403.
  62. Karaman Örsal, Deniz Dilan & Arsova, Antonia, 2016. "A panel cointegration rank test with structural breaks and cross-sectional dependence," Annual Conference 2016 (Augsburg): Demographic Change 145822, Verein für Socialpolitik / German Economic Association.
  63. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2018. "FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft," Working Papers 1813, Department of Applied Economics II, Universidad de Valencia.
  64. repec:eee:jpolmo:v:40:y:2018:i:6:p:1332-1345 is not listed on IDEAS
  65. Najibullah, Syed & Masih, Mansur, 2015. "Remittances and economic growth nexus: Do financial development and investment act as transmission channels? An ARDL bounds approach," MPRA Paper 65837, University Library of Munich, Germany.
  66. repec:ist:ibsibr:v:48:y:2019:i:1:p:84-112 is not listed on IDEAS
  67. Dutta, Shantanu & Essaddam, Naceur & Kumar, Vinod & Saadi, Samir, 2017. "How does electronic trading affect efficiency of stock market and conditional volatility? Evidence from Toronto Stock Exchange," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 867-877.
  68. Majdoub, Jihed & Mansour, Walid & Jouini, Jamel, 2016. "Market integration between conventional and Islamic stock prices," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 436-457.
  69. Gozgor, Giray, 2016. "Are shocks to renewable energy consumption permanent or transitory? An empirical investigation for Brazil, China, and India," Renewable and Sustainable Energy Reviews, Elsevier, vol. 66(C), pages 913-919.
  70. Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
  71. Erdenebat Bataa & Andrew Vivian & Mark Wohar, 2019. "Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014," Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 616-640, October.
  72. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  73. repec:gam:jecnmx:v:5:y:2017:i:2:p:22-:d:100001 is not listed on IDEAS
  74. repec:sos:sosjrn:170301 is not listed on IDEAS
  75. Alejandro C. García-Cintado & Diego Romero-Ávila & Carlos Usabiaga, 2016. "The economic integration of Spain: a change in the inflation pattern," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 25(1), pages 1-41, December.
  76. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
  77. Bilgili, Faik & Koçak, Emrah & Bulut, Ümit & Sualp, M. Nedim, 2016. "How did the US economy react to shale gas production revolution? An advanced time series approach," Energy, Elsevier, vol. 116(P1), pages 963-977.
  78. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-81.
  79. Natalya Ketenci, 2016. "The bilateral trade flows of the EU in the presence of structural breaks," Empirical Economics, Springer, vol. 51(4), pages 1369-1398, December.
  80. Iriarte-Goñi, Iñaki & Ayuda, María-Isabel, 2012. "Not only subterranean forests: Wood consumption and economic development in Britain (1850–1938)," Ecological Economics, Elsevier, vol. 77(C), pages 176-184.
  81. Guo, Jin & Zheng, Xinye & Chen, Zhan-Ming, 2016. "How does coal price drive up inflation? Reexamining the relationship between coal price and general price level in China," Energy Economics, Elsevier, vol. 57(C), pages 265-276.
  82. repec:eee:eneeco:v:81:y:2019:i:c:p:545-565 is not listed on IDEAS
  83. Muhammad Omer & Jakob De Haan & Bert Scholtens, 2015. "An empirical analysis of excess interbank liquidity: a case study of Pakistan," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4754-4776, March.
  84. García-Cintado, Alejandro & Romero-Ávila, Diego & Usabiaga, Carlos, 2015. "Can the hysteresis hypothesis in Spanish regional unemployment be beaten? New evidence from unit root tests with breaks," Economic Modelling, Elsevier, vol. 47(C), pages 244-252.
  85. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
  86. Saten Kumar, 2016. "Is the US Consumer Credit Asymmetric?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(2), pages 194-215, May.
  87. repec:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1195-0 is not listed on IDEAS
  88. repec:bla:coecpo:v:35:y:2017:i:1:p:201-215 is not listed on IDEAS
  89. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
  90. repec:eee:eneeco:v:65:y:2017:i:c:p:355-374 is not listed on IDEAS
  91. De Vita, Glauco & Trachanas, Emmanouil, 2016. "‘Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India’ — A failed replication (negative Type 1 and Type 2)," Energy Economics, Elsevier, vol. 56(C), pages 150-160.
  92. repec:eee:touman:v:61:y:2017:i:c:p:96-109 is not listed on IDEAS
  93. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
  94. 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, January.
  95. Rafael Morales-Lage & Aurelia Bengochea-Morancho & Mariam Camarero & Inmaculada Martínez-Zarzoso, 2017. "Stochastic and club convergence of sectoral CO2 emissions in the European Union," Working Papers 2017/01, Economics Department, Universitat Jaume I, Castellón (Spain).
  96. Sobreira, Nuno & Nunesz, Luis C. & Rodriguesz, Paulo M. M., 2012. "Neoclassical, semi-endogenous or endogenous growth theory? Evidence based on new structural change tests," Insper Working Papers wpe_291, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  97. repec:eee:finsta:v:29:y:2017:i:c:p:72-91 is not listed on IDEAS
  98. Kim, Dukpa, 2011. "Estimating a common deterministic time trend break in large panels with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 164(2), pages 310-330, October.
  99. repec:vls:finstu:v:20:y:2016:i:2:p:6-24 is not listed on IDEAS
  100. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
  101. repec:gam:jecnmx:v:5:y:2017:i:2:p:17-:d:95932 is not listed on IDEAS
  102. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
  103. repec:sos:sosjrn:170302 is not listed on IDEAS
  104. repec:eco:journ2:2017-06-8 is not listed on IDEAS
  105. repec:ebl:ecbull:eb-16-00819 is not listed on IDEAS
  106. Mehmet Akif Destek, 2015. "Energy Consumption, Economic Growth, Financial Development and Trade Openness in Turkey: Maki Cointegration Test," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 3(4), pages 162-168, December.
  107. Neil Kellard & Denise Osborn & Jerry Coakley & Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2015. "Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey–Fuller Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 603-629, September.
  108. repec:ibn:ijefaa:v:9:y:2017:i:12:p:253-259 is not listed on IDEAS
  109. A. Montañés & L. Olmos, 2014. "Do the Spanish regions converge? A unit root analysis for the HDI of the Spanish regions," Applied Economics, Taylor & Francis Journals, vol. 46(34), pages 4218-4230, December.
  110. You, Kefei & Sarantis, Nicholas, 2012. "Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach," China Economic Review, Elsevier, vol. 23(4), pages 1146-1163.
  111. Eléazar Zerbo, 2015. "What determines the long-run growth in Sub-Saharan Africa? Exploring the role of energy, trade openness and financial development in six countries," Working Papers hal-01238524, HAL.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.