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Citations for "Testing for a Moving Average Unit Root"

by Tanaka, Katsuto

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  1. Michael Artis & Massimiliano Marcellino, . "Fiscal Solvency and Fiscal Forecasting in Europe," Working Papers 142, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  2. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  3. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(01), pages 56-94, February.
  4. Javier Gómez Biscarri & Javier Hualde, 2014. "Regression-based analysis of cointegration systems," Working Papers 780, Barcelona Graduate School of Economics.
  5. Vasco J. Gabriel, 2001. "Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison," NIPE Working Papers 7/2001, NIPE - Universidade do Minho.
  6. Robert Paige & A. Trindade & R. Wickramasinghe, 2014. "Extensions of saddlepoint-based bootstrap inference," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(5), pages 961-981, October.
  7. Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo Group Munich.
  8. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  9. Graham Elliott & James H. Stock, 1992. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," NBER Technical Working Papers 0122, National Bureau of Economic Research, Inc.
  10. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  11. 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.
  12. Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.
  13. Ozgen Sayginsoy, 2005. "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Econometrics 0503014, EconWPA, revised 11 Mar 2005.
  14. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "The KPSS Test with Two Structural Breaks," DEA Working Papers 13, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  15. María Presno & Anna López, 2003. "Testing for stationarity in series with a shift in the mean. A fredholm approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 195-213, June.
  16. Chihwa Kao & Suzanne McCoskey, 1997. "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics 9711002, EconWPA.
  17. Lee, Junsoo & Huang, Cliff J. & Shin, Yongcheol, 1997. "On stationary tests in the presence of structural breaks," Economics Letters, Elsevier, vol. 55(2), pages 165-172, August.
  18. 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.
  19. Ozgen Sayginsoy & Tim Vogelsang, 2004. "Powerful Tests of Structural Change That are Robust to Strong Serial Correlation," Discussion Papers 04-08, University at Albany, SUNY, Department of Economics.
  20. Vougas, Dimitrios V., 2008. "New exact ML estimation and inference for a Gaussian MA(1) process," Economics Letters, Elsevier, vol. 99(1), pages 172-176, April.
  21. Ahn & Byung Chul, 1994. "Testing the null of stationarity in the presence of structural breaks for multiple time series," Econometrics 9411001, EconWPA, revised 08 Nov 1994.
  22. Breitung, Jörg, 1998. "Canonical correlation statistics for testing the cointegration rank in a reversed order," SFB 373 Discussion Papers 1998,105, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  23. Morimune, Kimio & Miyazaki, Kenji, 1997. "ARIMA approach to the unit root analysis of macro economic time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 395-403.
  24. Sánchez, Ismael & Peña, Daniel, 1995. "Properties of predictors in overdifferenced nearly nonstationary autoregression," DES - Working Papers. Statistics and Econometrics. WS 10347, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Larsson, Rolf, 2014. "A likelihood ratio type test for invertibility in moving average processes," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 489-501.
  26. Kurozumi, Eiji, 2009. "Construction of Stationarity Tests with Less Size Distortions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 50(1), pages 87-105, June.
  27. Ozgen Sayginsoy, 2004. "Powerful and Serial Correlation Robust Tests of the Economic Convergence Hypothesis," Discussion Papers 04-07, University at Albany, SUNY, Department of Economics.
  28. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
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