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Citations for "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null"

by Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul

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  1. Montanes, Antonio & Olloqui, Irene & Calvo, Elena, 2005. "Selection of the break in the Perron-type tests," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 41-64.
  2. Ghoshray Atanu & Kejriwal Mohitosh & Wohar Mark, 2014. "Breaks, trends and unit roots in commodity prices: a robust investigation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 23-40, February.
  3. Patrick Marsh, . "The Available Information for Invariant Tests of a Unit Root," Discussion Papers 05/03, Department of Economics, University of York.
  4. Mohitosh Kejriwal & Pierre Perron, 2006. "Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time Under Both the Null and Alternative Hypotheses," Boston University - Department of Economics - Working Papers Series WP2006-052, Boston University - Department of Economics.
  5. David Shepherd & Robert Dixon, 2010. "The not-so-great moderation? Evidence on changing volatility from Australian regions," Department of Economics - Working Papers Series 1090, The University of Melbourne.
  6. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría.
  7. Ghoshray, Atanu & Kejriwal, Mohitosh & Wohar, Mark E., 2011. "Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 120387, European Association of Agricultural Economists.
  8. Pradhan, Basanta K. & Subramanian, A., 2003. "On the stability of demand for money in a developing economy: Some empirical issues," Journal of Development Economics, Elsevier, vol. 72(1), pages 335-351, October.
  9. Patrick Marsh, . "A Measure of Distance for the Unit Root Hypothesis," Discussion Papers 05/02, Department of Economics, University of York.
  10. Robert Dixon & David Shepherd, 2006. "The Cyclical Dynamics and Volatility of Australian Output and Employment," Department of Economics - Working Papers Series 968, The University of Melbourne.
  11. Steven Cook, 2004. "Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship," Applied Economics Letters, Taylor & Francis Journals, vol. 11(14), pages 879-884.
  12. Stephen Leybourne & Paul Newbold, 2003. "Spurious rejections by cointegration tests induced by structural breaks," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1117-1121.
  13. Altissimo, Filippo & Corradi, Valentina, 2003. "Strong rules for detecting the number of breaks in a time series," Journal of Econometrics, Elsevier, vol. 117(2), pages 207-244, December.
  14. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
  15. Alfred Haug, 2012. "On real interest rate persistence: the role of breaks," Working Papers 65, Department of Applied Econometrics, Warsaw School of Economics.
  16. Claude Diebolt & Olivier Darné, 2005. "Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des Etats-Unis," Working Papers 05-06, Association Française de Cliométrie (AFC).
  17. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.
  18. Cook, Steven, 2002. "Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 75-79, November.
  19. Juan Carlos Cuestas & Dean Garratt, 2008. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Working Papers 2008/12, Nottingham Trent University, Nottingham Business School, Economics Division.
  20. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.
  21. Steven Cook, 2001. "Asymmetric unit root tests in the presence of structural breaks under the null," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-10.
  22. Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin, 2012. "Dynamic modelling of real estate investment trusts and stock markets," Economic Modelling, Elsevier, vol. 29(2), pages 395-407.
  23. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
  24. Montañés, Antonio & Reyes, Marcelo, 2000. "Structural breaks, unit roots and methods for removing the autocorrelation pattern," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 401-409, July.
  25. Matsuki, Takashi & Usami, Ryoichi, 2007. "China's Regional Convergence in Panels with Multiple Structural Breaks," MPRA Paper 10167, University Library of Munich, Germany, revised 17 May 2008.
  26. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis.
  27. Robert Dixon & David Shepherd, 2013. "Regional Dimensions of the Australian Business Cycle," Regional Studies, Taylor & Francis Journals, vol. 47(2), pages 264-281, February.
  28. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006.
  29. Martin Schmidt, 2011. "Institutional Change and Factor Movement in Major League Baseball: An Examination of the Coase Theorem’s Invariance Principle," Review of Industrial Organization, Springer, vol. 39(3), pages 187-205, November.
  30. Kim, Tae-Hwan & Leybourne, Stephen & Newbold, Paul, 2002. "Unit root tests with a break in innovation variance," Journal of Econometrics, Elsevier, vol. 109(2), pages 365-387, August.
  31. CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 17, pages 85-105, Abril.
  32. Dergiades, Theologos & Martinopoulos, Georgios & Tsoulfidis, Lefteris, 2011. "Energy Consumption and Economic Growth: Parametric and Non-Parametric Causality Testing for the Case of Greece," MPRA Paper 51120, University Library of Munich, Germany, revised 12 Nov 2011.
  33. Cook, Steven, 2006. "Testing for cointegration in the presence of mis-specified structural change," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1380-1384, July.
  34. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
  35. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría.
  36. Mills, Terence C. & Crafts, Nicholas F. R., 2004. "Sectoral output trends and cycles in Victorian Britain," Economic Modelling, Elsevier, vol. 21(2), pages 217-232, March.
  37. repec:ebl:ecbull:v:3:y:2004:i:24:p:1-11 is not listed on IDEAS
  38. Cook, Steven & Vougas, Dimitrios, 2004. "On the finite-sample size distortion of smooth transition unit root tests," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 175-182, December.
  39. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
  40. Josep Lluís Carrion-i-Silvestre & Dukpa Kim & Pierre Perron, 2007. "GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses," Boston University - Department of Economics - Working Papers Series wp2008-019, Boston University - Department of Economics.
  41. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  42. Meltem Ucal & Mehmet Hüseyin Bilgin & Alfred Haug, 2014. ": Income Inequality and FDI: Evidence with Turkish Data," Working Papers 1407, University of Otago, Department of Economics, revised Jun 2014.
  43. Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
  44. Foster, Neil & Stehrer, Robert, 2007. "Modeling transformation in CEECs using smooth transitions," Journal of Comparative Economics, Elsevier, vol. 35(1), pages 57-86, March.
  45. Rodrigues, Paulo M.M., 2006. "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, vol. 91(3), pages 413-419, June.
  46. Sen, Amit, 2008. "Behaviour of Dickey-Fuller tests when there is a break under the unit root null hypothesis," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 622-628, April.
  47. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics.
  48. David Harvey & Stephen Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 163-177.
  49. Shepherd, David & Shi, Francis K.C., 2006. "Fuzzy modelling and estimation of economic relationships," Computational Statistics & Data Analysis, Elsevier, vol. 51(1), pages 417-433, November.
  50. Steven Cook, 2004. "Detecting changes in persistence in linear time series," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-11.
  51. Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.
  52. Lee, Junsoo, 2000. "On the end-point issue in unit root tests in the presence of a structural break," Economics Letters, Elsevier, vol. 68(1), pages 7-11, July.
  53. Maki, Daiki, 2009. "Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1754-1760.
  54. Martin Schmidt, 2009. "The nonlinear behavior of competition: the impact of talent compression on competition," Journal of Population Economics, Springer, vol. 22(1), pages 57-74, January.
  55. Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
  56. Steven Cook, 2003. "Empirical evidence on the robustness of the weighted symmetric unit root test," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 761-763.
  57. Chrigui Zouhair & Boujelbene Younes, 2009. "The Opportunities for Adopting Inflation Targeting in Tunisia: a Cointegration Study and Transmission Channels of Monetary Policy," Transition Studies Review, Springer, vol. 16(3), pages 671-692, October.
  58. Cláudio Hamilton dos Santos & Márcio Bruno Ribeiro & Sérgio Wulff Gobetti, 2008. "A Evolução da Carga Tributária Bruta Brasileira no Período 1995-2007: Tamanho, Composição e Especificações Econométricas Agregadas," Discussion Papers 1350, Instituto de Pesquisa Econômica Aplicada - IPEA.
  59. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
  60. Martin B. Schmidt, 2006. "Institutional Change and Factor Movement: A Test of the Coase Theorem's Invariance Principle," Working Papers 47, Department of Economics, College of William and Mary.
  61. Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
  62. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  63. Psaradakis, Zacharias, 2002. "On the asymptotic behaviour of unit-root tests in the presence of a Markov trend," Statistics & Probability Letters, Elsevier, vol. 57(1), pages 101-109, March.
  64. Martin Schmidt, 2006. "On the evolution of competition: an application of nonlinear tests," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 1-12.
  65. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
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