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Citations for "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate"

by Caner, M. & Kilian, L.

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  1. GRENADE, Kari & MOORE, Winston, 2008. "Co-Movements Between Foreign And Domestic Interest Rates In A Fixed Exchange Rate Regime: The Case Of The Eccu And The Us," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 119-130.
  2. Muller, Ulrich K., 2005. "Size and power of tests of stationarity in highly autocorrelated time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 195-213, October.
  3. Ulrich K. Müller, 2002. "Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series," University of St. Gallen Department of Economics working paper series 2002 2002-26, Department of Economics, University of St. Gallen.
  4. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Papers 99-08, Michigan - Center for Research on Economic & Social Theory.
  5. Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Eyal Dvir & Kenneth S. Rogoff, 2009. "Three Epochs of Oil," NBER Working Papers 14927, National Bureau of Economic Research, Inc.
  7. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  8. Wasel Shadat, 2011. "On the Nonparametric Tests of Univariate GARCH Regression Models," The School of Economics Discussion Paper Series 1115, Economics, The University of Manchester.
  9. Francis W. Ahking, 2004. "The Power of the "Objective" Bayesian Unit-Root Test," Working papers 2004-14, University of Connecticut, Department of Economics.
  10. Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics.
  11. Mark J. Holmes & Jesus Otero & Theodore Panagiotidis, 2011. "PPP in OECD countries: An analysis of real exchange rate stationarity, cross-sectional dependency and strucutral breaks," Discussion Paper Series 2011_17, Department of Economics, University of Macedonia, revised Nov 2011.
  12. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Economics and Finance Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
  13. Tastan Huseyin, 2005. "Do real exchange rates contain a unit root? Evidence from Turkish data," Applied Economics, Taylor & Francis Journals, vol. 37(17), pages 2037-2053.
  14. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
  15. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
  16. Jönsson, Kristian, 2006. "Finite-Sample Stability of the KPSS Test," Working Papers 2006:23, Lund University, Department of Economics.
  17. Nafeesa Yunus, 2009. "Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 383-411.
  18. Kurozumi, Eiji, 2005. "Construction of Stationarity Tests with Less Size Distortions," Discussion Papers 2005-12, Graduate School of Economics, Hitotsubashi University.
  19. Ahmad Zubaidi Baharumshah & Chan Tze Haw & A.Mansur M. Masih & Evan Lau, 2011. "Financial integration of East Asian economies: evidence from real interest parity," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1979-1990.
  20. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
  21. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  22. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
  23. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "The Term Structure of Interest Rates, the Expectations Hypothesis and International Financial Integration: Evidence from Asian Economies," Working Paper Series 34_10, The Rimini Centre for Economic Analysis.
  24. Haluk Erlat, 2009. "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series 029, FIW.
  25. Philip Arestis & Ambika D. Luintel & Kul B. Luintel, 2004. "Does Financial Structure Matter?," Finance 0401006, EconWPA.
  26. Otero, Jesús, 2011. "The Long-Run Behaviour of the Terms of Trade between Primary Commodities and Manufactures," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  27. Jönsson, Kristian, 2006. "Testing Stationarity in Small and Medium-Sized Samples when Disturbances are Serially Correlated," Working Papers 2006:20, Lund University, Department of Economics, revised 09 Nov 2009.
  28. Dias, Daniel A. & Marques, Carlos Robalo, 2010. "Using mean reversion as a measure of persistence," Economic Modelling, Elsevier, vol. 27(1), pages 262-273, January.
  29. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2009. "Are Eu Budget Deficits Stationary?," Working Paper Series 17_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  30. 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.
  31. Jönsson, Kristian, 2004. "Testing for Stationarity in Panel Data Models when Disturbances are Cross-Sectionally Correlated," Working Papers 2004:17, Lund University, Department of Economics, revised 26 Nov 2004.
  32. Ivan Paya & David A. Peel, 2005. "The Process Followed By Ppp Data. On The Properties Of Linearity Tests," Working Papers. Serie AD 2005-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  33. Tang, Chor Foon & Tan, Bee Wah, 2015. "The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam," Energy, Elsevier, vol. 79(C), pages 447-454.
  34. Jesús Otero & Luis Fernando Gamboa & Andrés García-Suaza, 2011. "An analysis of the relationship between wages in the public and private sector in colombia: a panel data approach," DOCUMENTOS DE TRABAJO 008738, UNIVERSIDAD DEL ROSARIO.
  35. Jomana Amara, 2011. "Testing for stationarity using covariates: an application to purchasing power parity," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1295-1301.
  36. Sonali DAS , Rangan GUPTA & Patrick A. KAYA, 2010. "Convergence Of Metropolitan House Prices In South Africa: A Re-Examination Using Efficient Unit Root Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
  37. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.).
  38. JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
  39. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
  40. Víctor M. Cuevas Ahumada, 2009. "La competitividad internacional manufacturera en Argentina, México y Turquía: una investigación empírica," ECONOMÍA, GESTIÓN Y DESARROLLO 009355, UNIVERSIDAD JAVERIANA - CALI.
  41. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.
  42. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
  43. Vishal Jaunky, 2013. "Democracy and economic growth in Sub-Saharan Africa: a panel data approach," Empirical Economics, Springer, vol. 45(2), pages 987-1008, October.
  44. Luintel, Kul B & Khan, Mosahid & Arestis, Philip & Theodoridis, Konstantinos, 2008. "Financial Structure and Economic Growth," Cardiff Economics Working Papers E2008/3, Cardiff University, Cardiff Business School, Economics Section.
  45. Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
  46. Jorge Selaive ; Vicente Tuesta, 2004. "Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach," Econometric Society 2004 Latin American Meetings 90, Econometric Society.
  47. repec:ebl:ecbull:v:3:y:2004:i:16:p:1-8 is not listed on IDEAS
  48. Eyal Dvir & Ken Rogoff, 2009. "The Three Epochs of Oil," Boston College Working Papers in Economics 706, Boston College Department of Economics.
  49. Kim, Soyoung & Lima, Luiz Renato, 2010. "Local persistence and the PPP hypothesis," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 555-569, April.
  50. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
  51. Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-8.
  52. Paresh Kumar Narayan, 2005. "New evidence on purchasing power parity from 17 OECD countries," Applied Economics, Taylor & Francis Journals, vol. 37(9), pages 1063-1071.
  53. Rodriguez, Gonzalo & Bande, Roberto, 2014. "Market differences in wild and farmed marine fish in the Spanish seafood market," MPRA Paper 59142, University Library of Munich, Germany.
  54. Jönsson, Kristian, 2005. "Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results," Working Papers 2005:16, Lund University, Department of Economics.
  55. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  56. Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers) 799, Bank of Italy, Economic Research and International Relations Area.
  57. Mabel Cabezas B. & Jorge Selaive C. & Gonzalo Becerra M., 2004. "Determinants of Non-Mining Exports: A Regional Perspective," Working Papers Central Bank of Chile 296, Central Bank of Chile.
  58. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  59. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
  60. Ana María Iregui & Jesús Otero, 2008. "Testing the law of one price in food markets: evidence for Colombia using disaggregated data," DOCUMENTOS DE TRABAJO 005102, UNIVERSIDAD DEL ROSARIO.
  61. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.
  62. Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
  63. Marques, Luís Miguel & Fuinhas, José Alberto & Marques, António Cardoso, 2012. "Interação entre o mercado acionista e o crescimento económico: Uma apreciação do caso português (1993-2010)
    [Interaction between the stock market and economic growth: An assessment of the Portugues
    ," MPRA Paper 39808, University Library of Munich, Germany.
  64. Paul Alagidede & George Tweneboah & Anokye M. Adam, 2008. "Nominal Exchange Rates and Price Convergence in the West African Monetary Zone," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 181-198, December.
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