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Citations for "Time Series Regression with a Unit Root"

by Phillips, P C B

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  1. Paresh Kumar Narayan, 2007. "Are Nominal Exchange Rates and Price Levels Co-Integrated? New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive Models," The Economic Record, The Economic Society of Australia, vol. 83(260), pages 74-85, 03.
  2. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
  3. 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.
  4. Kleibergen, F., 1996. "Reduced Rank of Regression Using Generalized Method of Moments Estimators," Discussion Paper 1996-20, Tilburg University, Center for Economic Research.
  5. Paparoditis, Efstathios & Politis, Dimitris N, 2013. "The Asymptotic Size and Power of the Augmented Dickey-Fuller Test for a Unit Root," University of California at San Diego, Economics Working Paper Series qt0784p55m, Department of Economics, UC San Diego.
  6. Hsiao, Cheng & Fujiki, Hiroshi, 1998. "Nonstationary Time-Series Modeling versus Structural Equation Modeling: With an Application to Japanese Money Demand," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 57-79, May.
  7. Balcombe, Kelvin George & Davis, J.R., 1996. "An application of cointegration theory in the estimation of the Almost Ideal Demand system for food consumption in Bulgaria," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 15(1), September.
  8. Park, Joon, 2002. "Bootstrap Unit Root Tests," Working Papers 2003-04, Rice University, Department of Economics.
  9. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2002. "Is the US Fiscal Deficit Sustainable? A Fractionally Integrated and Cointegrated Approach," Faculty Working Papers 02/02, School of Economics and Business Administration, University of Navarra.
  10. Juan Carlos Cuestas & Barry Harrison, 2009. "Further evidence on the Real Interest Rate Parity hypothesis in Central and Eastern European Countries: unit roots and nonlinearities," Working Papers 2009/1, Nottingham Trent University, Nottingham Business School, Economics Division.
  11. Vittorio U. Grilli, 1988. "Seigniorage in Europe," NBER Working Papers 2778, National Bureau of Economic Research, Inc.
  12. Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft.
  13. Chihwa Kao & Suzanne McCoskey, 1997. "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics 9711002, EconWPA.
  14. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  15. Hong Liang & C. John McDermott & Paul Cashin, 1999. "How Persistent Are Shocks to World Commodity Prices?," IMF Working Papers 99/80, International Monetary Fund.
  16. Hali J. Edison & Eric Fisher, 1989. "A long-run view of the european monetary system," International Finance Discussion Papers 339, Board of Governors of the Federal Reserve System (U.S.).
  17. 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.
  18. Badolo, Félix, 2012. "Chocs de prix internationaux et transmission : cas du marché du riz au Burkina Faso," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(3), pages 317-346, Septembre.
  19. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  20. Yildirim, Ertugrul & Aslan, Alper & Ozturk, Ilhan, 2012. "Coal consumption and industrial production nexus in USA: Cointegration with two unknown structural breaks and causality approaches," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(8), pages 6123-6127.
  21. Serletis, Apostolos & Malliaris, Anastasios & Hinich, Melvin & Gogas, Periklis, 2010. "Episodic Nonlinearity in Leading Global Currencies," DUTH Research Papers in Economics 3-2010, Democritus University of Thrace, Department of Economics.
  22. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
  23. John Galbraith & Victoria Zinde-Walsh, 2001. "Autoregression-Based Estimators for ARFIMA Models," CIRANO Working Papers 2001s-11, CIRANO.
  24. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005. "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, vol. 127(1), pages 103-128, July.
  25. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179.
  26. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
  27. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  28. Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
  29. Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
  30. Umit Bulut, 2016. "May Monetary Transmission Lags Have a Role in Missing Inflation Targets in Turkey? Cointegration Tests with Structural Breaks and Structural VAR Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 93-103, April.
  31. Yikang, Li, 1998. "Low-pass filtered least squares estimators of cointegrating vectors," Journal of Econometrics, Elsevier, vol. 85(2), pages 289-316, August.
  32. Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
  33. Newell, Richard G. & Pizer, William A., 2003. "Discounting the distant future: how much do uncertain rates increase valuations?," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 52-71, July.
  34. Jesús Fernández-Villaverde, 2008. "Horizons of Understanding: A Review of Ray Fair's Estimating How the Macroeconomy Works," Journal of Economic Literature, American Economic Association, vol. 46(3), pages 685-703, September.
  35. George Hondroyiannis, 2009. "Fertility Determinants and Economic Uncertainty:An Assessment Using European Panel Data," Working Papers 96, Bank of Greece.
  36. Christopher Spencer & Paul Temple, 2012. "Alternative Paths of Learning: Standardisation and Growth in Britain, 1901-2009," Discussion Paper Series 2012_10, Department of Economics, Loughborough University, revised Oct 2012.
  37. Afxentiou, Panos & Serletis, Apostolos, 2000. "Output growth and the variability of exports and imports growth: international evidence from Granger causality tests," MPRA Paper 1750, University Library of Munich, Germany.
  38. 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.
  39. Atrayee Ghosh Roy, 2009. "Evidence on economic growth and government size," Applied Economics, Taylor & Francis Journals, vol. 41(5), pages 607-614.
  40. Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
  41. Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
  42. repec:onb:oenbwp:y::i:25:b:1 is not listed on IDEAS
  43. Brendan K. Beare, 2008. "Unit Root Testing with Unstable Volatility," Economics Papers 2008-W06, Economics Group, Nuffield College, University of Oxford.
  44. Gregory D. Hess & Shigeru Iwata, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Research Working Paper 97-02, Federal Reserve Bank of Kansas City.
  45. Caner, Mehmet, 1998. "Tests for cointegration with infinite variance errors," Journal of Econometrics, Elsevier, vol. 86(1), pages 155-175, June.
  46. Gunther Capelle-Blancard & Hélène Raymond-Feingold & Michel Beine, 2008. "International nonlinear causality between stock markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00305387, HAL.
  47. Hall, Stephen & Psaradakis, Zacharias & Sola, Martin, 1997. "Switching error-correction models of house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 517-527, October.
  48. Patrick Richard, 2008. "Modified Fast Double Sieve Bootstraps for ADF Tests," Cahiers de recherche 08-17, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
  49. Li, Yushu & Shukur, Ghazi, 2009. "Testing for Unit Root against LSTAR model – wavelet improvements under GARCH distortion," Working Paper Series in Economics and Institutions of Innovation 184, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  50. Begona EguÌa & Cruz EchevarrÌa, . "Existe alguna relaciÛn entre las tasas de desempleo y la estructura demogr·fica en Espana?," Studies on the Spanish Economy 11, FEDEA.
  51. Kwapil, Claudia & Scharler, Johann, 2010. "Interest rate pass-through, monetary policy rules and macroeconomic stability," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 236-251, March.
  52. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, 03.
  53. John T. Barkoulas & Christopher F. Baum & Gurkan S. Oguz, 1997. "Stochastic Long Memory in Traded Goods Prices," Boston College Working Papers in Economics 349., Boston College Department of Economics.
  54. David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  55. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
  56. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
  57. Lucas, Andre, 1995. "An outlier robust unit root test with an application to the extended Nelson-Plosser data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 153-173.
  58. Carmen M. Reinhart. & Vicent R. Reinhart, 1991. "Fluctuaciones del producto y choques monetarios: evidencia colombiana," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 10(20), pages 53-85, Diciembre.
  59. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  60. Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers 21/11, Monash University, Department of Econometrics and Business Statistics.
  61. Michael Jansson & Morten Ørregaard Nielsen, 2012. "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 80(5), pages 2321-2332, 09.
  62. Robinson, Peter M. & Henry, Marc, 2003. "Higher-order kernel semiparametric M-estimation of long memory," Journal of Econometrics, Elsevier, vol. 114(1), pages 1-27, May.
  63. Robert J. Myers & Roley R. Piggott & William G. Tomek, 1990. "Estimating Sources Of Fluctuations In The Australian Wool Market: An Application Of Var Methods," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 34(3), pages 242-262, December.
  64. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2012. "Testing for Multiple Bubbles," Working Papers 13-2012, Singapore Management University, School of Economics.
  65. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  66. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
  67. 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.
  68. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior," Working Papers 15-2011, Singapore Management University, School of Economics.
  69. Tang, Tuck Cheong, 2003. "An empirical analysis of China's aggregate import demand function," China Economic Review, Elsevier, vol. 14(2), pages 142-163.
  70. Gomez, Miguel I. & Koerner, Julia, 2009. "Do retail coffee prices increase faster than they fall? Asymmetric price transmission in France, Germany and the United States," Working Papers 55930, Cornell University, Department of Applied Economics and Management.
  71. Shu-Ping Shi & Peter C.B. Phillips & Jun Yu, 2011. "Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles," Working Papers 08-2011, Singapore Management University, School of Economics.
  72. So, Beong Soo & Shin, Dong Wan, 2001. "An invariant sign test for random walks based on recursive median adjustment," Journal of Econometrics, Elsevier, vol. 102(2), pages 197-229, June.
  73. Zhijie Xiao & Peter C.B. Phillips, 1997. "An ADF Coefficient Test for a Unit Root in ARMA Models of Unknown Order with Empirical Applications to the U.S. Economy," Cowles Foundation Discussion Papers 1161, Cowles Foundation for Research in Economics, Yale University.
  74. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  75. Ho, Tsung-wu, 2001. "The government spending and private consumption: a panel cointegration analysis," International Review of Economics & Finance, Elsevier, vol. 10(1), pages 95-108.
  76. 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.
  77. Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 19-2009, Singapore Management University, School of Economics.
  78. Haldrup, Niels & Hylleberg, Svend, 1995. "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, vol. 48(3-4), pages 221-228, June.
  79. repec:got:cegedp:76 is not listed on IDEAS
  80. García, Ana & Escribano, Álvaro & Aparicio, Felipe M., 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
  81. Hondroyiannis, George & Papapetrou, Evangelia, 2001. "An Investigation of the Public Deficits and Government Spending Relationship: Evidence for Greece," Public Choice, Springer, vol. 107(1-2), pages 169-82, April.
  82. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Cointegration in Panel Data with Breaks and Cross-section Dependence," Discussion Papers 11-25, Department of Economics, University of Birmingham.
  83. Tassos Magdalinos, 2005. "On the inconsistency of the unrestricted estimator of the information matrix near a unit root," Discussion Papers 06/05, University of Nottingham, Granger Centre for Time Series Econometrics.
  84. Falk, Barry L. & Wang, Chun-Hsuan, 2003. "Testing Long-Run Ppp with Infinite-Variance Returns," Staff General Research Papers Archive 10323, Iowa State University, Department of Economics.
  85. Paresh K Narayan & Ruipeng Liu, . "A GARCH Model for Testing Market Efficiency," Financial Econometics Series 2015_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  86. Tanaka, Katsuto, 2011. "Linear Nonstationary Models : A Review of the Work of Professor P.C.B. Phillips," Discussion Papers 2011-05, Graduate School of Economics, Hitotsubashi University.
  87. Mills Jr., David C. & Nesmith, Travis D., 2008. "Risk and concentration in payment and securities settlement systems," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 542-553, April.
  88. Kitamura, Yuichi & Phillips, Peter C. B., 1997. "Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments," Journal of Econometrics, Elsevier, vol. 80(1), pages 85-123, September.
  89. Coe, Patrick J. & Serletis, Apostolos, 2002. "Bounds tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 179-199, January.
  90. Diaz-Emparanza, Ignacio, 2014. "Numerical distribution functions for seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 237-247.
  91. Svensson, Lars E. O., 1993. "Assessing target zone credibility : Mean reversion and devaluation expectations in the ERM, 1979-1992," European Economic Review, Elsevier, vol. 37(4), pages 763-793, May.
  92. Walls, W. David, 1993. "A Cointegration Rank Test of Market Linkages with an Application to the U.S. Natural Gas Industry," University of California Transportation Center, Working Papers qt6sj0961h, University of California Transportation Center.
  93. Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Working Papers 90-15, University of Washington, Department of Economics.
  94. Frederic S. Mishkin & John Simon, 1994. "An Empirical Examination of the Fisher Effect in Australia," RBA Research Discussion Papers rdp9410, Reserve Bank of Australia.
  95. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
  96. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  97. Toda, Hiro Y. & McKenzie, C.R., 1999. "LM tests for unit roots in the presence of missing observations: small sample evidence1Earlier versions of this paper were presented at the European Meeting of the Econometric Society, Toulouse, Augus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 457-468.
  98. Casarin, Ariel A. & Delfino, Maria Eugenia, 2011. "Price freezes, durables, and residential electricity demand. Evidence from Greater Buenos Aires," Energy Economics, Elsevier, vol. 33(5), pages 859-869, September.
  99. Ho Yeol Lim, 2003. "Asset price movements and monetary policy in South Korea," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 313-337 Bank for International Settlements.
  100. Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta, 2013. "Housing and the Business Cycle in South Africa," Working Papers 201323, University of Pretoria, Department of Economics.
  101. Manuela Nenna, 2001. "Price Level Convergence among Italian Cities: Any Role for the Harrod-Balassa-Samuelson Hypothesis?," Working Papers 64, Sapienza University of Rome, CIDEI.
  102. Joseph G. Haubrich & Andrew W. Lo, 1991. "The sources and nature of long-term memory in the business cycle," Working Paper 9116, Federal Reserve Bank of Cleveland.
  103. Wang, Xiaohu & Yu, Jun, 2016. "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, vol. 193(1), pages 35-53.
  104. Yang, Jack J. W., 2002. "The information spillover between stock returns and institutional investors' trading behavior in Taiwan," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 533-547.
  105. Rodt, Marc & Schäfer, Klaus, 2005. "Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie," Freiberg Working Papers 2005,18, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
  106. Weshah Razzak, 2009. "On the GCC Currency Union," EERI Research Paper Series EERI_RP_2009_29, Economics and Econometrics Research Institute (EERI), Brussels.
  107. Yiuman Tse & G. Booth, 1995. "The relationship between U.S. and eurodollar interest rates: Evidence from the futures market," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(1), pages 28-46, March.
  108. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  109. Bierens, H.J. & Broersma, L., 1990. "The relation between unemployment and interest rate : some empirical evidence," Serie Research Memoranda 0078, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  110. Gebre-Mariam, Yohannes Kebede, 2011. "Testing for unit roots, causality, cointegration, and efficiency: The case of the northwest US natural gas market," Energy, Elsevier, vol. 36(5), pages 3489-3500.
  111. Peter C.B. Phillips, 1987. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations," Cowles Foundation Discussion Papers 846, Cowles Foundation for Research in Economics, Yale University.
  112. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  113. Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
  114. Vicente Esteve & Juan Sanchis, . "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA.
  115. Jeffrey J. Hallman, 1990. "Cointegration and transformed series," Working Paper 9014, Federal Reserve Bank of Cleveland.
  116. Alberto Montagnoli & Andros Gregoriou & Alexandros Kontonikas, 2007. "Euro Area Inflation Differentials: Unit Roots, Structural Breaks and Non-Linear Adjustment," Working Papers 2007_13, Business School - Economics, University of Glasgow.
  117. Minot, Nicholas, 2011. "Transmission of world food price changes to markets in Sub-Saharan Africa:," IFPRI discussion papers 1059, International Food Policy Research Institute (IFPRI).
  118. Johansson, Anders C. & Ljungwall, Christer, 2009. "Spillover Effects Among the Greater China Stock Markets," World Development, Elsevier, vol. 37(4), pages 839-851, April.
  119. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," Working Papers 1185, Queen's University, Department of Economics.
  120. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  121. George Hondroyiannis & Evangelia Papapetrou, 1999. "Fertility choice and economic growth: Empirical evidence from the U.S," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(1), pages 108-120, February.
  122. A. E. Akinlo & A. F. Odusola, 2003. "Assessing the impact of Nigeria's naira depreciation on output and inflation," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 691-703.
  123. He, Changli & Sandberg, Rickard, 2005. "Dickey-Fuller Type of Tests against Nonlinear Dynamic Models," SSE/EFI Working Paper Series in Economics and Finance 580, Stockholm School of Economics.
  124. Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2009. "Deficit sustainability and inflation in EMU: An analysis from the Fiscal Theory of the Price Level," European Journal of Political Economy, Elsevier, vol. 25(4), pages 525-539, December.
  125. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series 0612, Economics, The University of Manchester.
  126. He, Changli & Sandberg, Rickard, 2005. "Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change," SSE/EFI Working Paper Series in Economics and Finance 579, Stockholm School of Economics, revised 08 Feb 2005.
  127. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  128. Pao-Lin Tien, 2009. "Using Long-Run Restrictions to Investigate the Sources of Exchange Rate Fluctuations," Wesleyan Economics Working Papers 2009-004, Wesleyan University, Department of Economics.
  129. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999.
  130. Chambers, Marcus J & Kyriacou, Maria, 2010. "Jackknife Bias Reduction in the Presence of a Unit Root," Economics Discussion Papers 2785, University of Essex, Department of Economics.
  131. repec:ebl:ecbull:v:3:y:2008:i:20:p:1-10 is not listed on IDEAS
  132. Moosa, Imad A., 1998. "Are Commodity Prices a Leading Indicator of Inflation?," Journal of Policy Modeling, Elsevier, vol. 20(2), pages 201-212, April.
  133. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  134. Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
  135. Peter Phillips & Hyungsik Moon, 2000. "Nonstationary panel data analysis: an overview of some recent developments," Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
  136. repec:onb:oenbwp:y::i:118:b:1 is not listed on IDEAS
  137. Haubrich, Joseph G, 1993. "Consumption and Fractional Differencing: Old and New Anomalies," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 767-72, November.
  138. Jakob Grazzini, 2012. "Analysis of the Emergent Properties: Stationarity and Ergodicity," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 7.
  139. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Price level convergence, purchasing power parity and multiple structural breaks: An application to US cities," Working Papers XREAP2008-08, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
  140. Juan Carlos Cuestas & Karsten Steahr, 2011. "Fiscal shocks and budget balance persistence in the EU countries from Central and Eastern Europe," Working Papers 2011014, The University of Sheffield, Department of Economics, revised May 2011.
  141. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
  142. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
  143. Bunzel, Helle & Vogelsang, Timothy J., 2005. "Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch-Singer Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 381-394, October.
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