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Testing for Unit Roots: 2


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Cited by:

  1. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
  2. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 671-690.
  3. Behzad T. Diba & Seonghwan Oh, 1988. "Have money-stock fluctuations had a liquidity effect on expected real interest rates?," Working Papers 88-19, Federal Reserve Bank of Philadelphia.
  4. Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
  5. Luger, Richard, 2003. "Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
  6. Yin-Wong Cheung & Dickson C. Tam & Matthew S. Yiu, 2008. "Does the Chinese interest rate follow the US interest rate?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 53-67.
  7. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990. "An analogue model of phase-averaging procedures," Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
  8. Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 319-346, October.
  9. Zehra Aftab & Aurangzeb, 2002. "The Long-run and Short-run Impact of Exchange Rate Devaluation on Pakistan's Trade Performance," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(3), pages 277-286.
  10. Jae W. Chung, 1998. "Effects of U.S. Trade Remedy Law Enforcement under Uncertainty: The Case of Steel," Southern Economic Journal, John Wiley & Sons, vol. 65(1), pages 151-159, July.
  11. Rolf Larsson, 1997. "On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 585-599, September.
  12. Yin-Wong Cheung & Antonio Garcia Pascual, 2004. "Testing for output convergence: a re-examination," Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 45-63, January.
  13. Offer Lieberman & Peter C. B. Phillips, 2014. "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
  14. Gonzalo, J. & Pitaris, J.Y., 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors," Papers 35, Boston University - Department of Economics.
  15. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
  16. Mitra, Kaushik, 2005. "Is more data better?," Journal of Economic Behavior & Organization, Elsevier, vol. 56(2), pages 263-272, February.
  17. Moon, Hyungsik Roger & Perron, Benoit & Phillips, Peter C.B., 2007. "Incidental trends and the power of panel unit root tests," Journal of Econometrics, Elsevier, vol. 141(2), pages 416-459, December.
  18. María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 1, pages 109-154, Junio.
  19. Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Working Papers 90-15, University of Washington, Department of Economics.
  20. Gregory Mankiw, N. & Shapiro, Matthew D., 1986. "Do we reject too often? : Small sample properties of tests of rational expectations models," Economics Letters, Elsevier, vol. 20(2), pages 139-145.
  21. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
  22. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
  23. Bierens, H.J., 1990. "A note on the limiting distribution of sample autocorrelations in the presence of a unit root," Serie Research Memoranda 0034, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  24. Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
  25. Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 1-15.
  26. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
  27. Kazuhiro Ohtani, 2002. "Exact critical values of unit root tests with drift and trend," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 137-145.
  28. Elliott, Graham & Muller, Ulrich K., 2006. "Minimizing the impact of the initial condition on testing for unit roots," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 285-310.
  29. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
  30. Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
  31. Clayton Webb & Suzanna Linn & Matthew J. Lebo, 2020. "Beyond the Unit Root Question: Uncertainty and Inference," American Journal of Political Science, John Wiley & Sons, vol. 64(2), pages 275-292, April.
  32. Chang, Yoosoon & Park, Joon Y., 2004. "Taking a New Contour: A Novel View on Unit Root Test," Working Papers 2004-10, Rice University, Department of Economics.
  33. Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
  34. Kiviet, Jan F. & Phillips, Garry D.A., 2012. "Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3705-3729.
  35. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
  36. Sneek, J.M., 1991. "Approximating the distribution of sample autocorrelations of some ARIMA processes in O(n) operations," Serie Research Memoranda 0022, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  37. Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
  38. Kazuhiro Ohtani, 1999. "Exact critical values of unit root tests when there is a constant term and a time trend," Applied Economics Letters, Taylor & Francis Journals, vol. 6(8), pages 497-500.
  39. Barry A. Goss & S. Gulay Avsar, 2013. "Simultaneity, Forecasting and Profits in London Copper Futures," Australian Economic Papers, Wiley Blackwell, vol. 52(2), pages 79-96, June.
  40. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
  41. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
  42. Philip A. Shively, 2001. "Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 537-551.
  43. Ferretti, Nélida & Romo, Juan, 1993. "Bootstrap tests for unit root AR(1) models," DES - Working Papers. Statistics and Econometrics. WS 3733, Universidad Carlos III de Madrid. Departamento de Estadística.
  44. Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
  45. Harris, Richard D. F. & Tzavalis, Elias, 1999. "Inference for unit roots in dynamic panels where the time dimension is fixed," Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
  46. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
  47. José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
  48. B. Burcin Yurtoglu, 2004. "Persistence of firm-level profitability in Turkey," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 615-625.
  49. Sneek, J.M. & Smits, J., 1990. "An approximation to the distribution of quadratic forms in many normal variables," Serie Research Memoranda 0049, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  50. Schotman, P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root Hypothesis," Econometric Institute Archives 272385, Erasmus University Rotterdam.
  51. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
  52. Bierens, H.J., 1989. "Testing stationarity against the unit root hypothesis," Serie Research Memoranda 0081, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  53. Yakova D. Martina, 2017. "Comparative Analysis of the Tax Structures of Bulgaria, Denmark and France," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 25-32.
  54. Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.
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