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Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties

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Cited by:

  1. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2017. "The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis," African Development Review, African Development Bank, vol. 29(2), pages 319-336, June.
  2. Mallory, Mindy L. & Irwin, Scott H. & Hayes, Dermot J., 2012. "How market efficiency and the theory of storage link corn and ethanol markets," Energy Economics, Elsevier, vol. 34(6), pages 2157-2166.
  3. del Barrio Castro, Tomás & Rodrigues, Paulo M.M. & Robert Taylor, A.M., 2018. "Semi-Parametric Seasonal Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 34(2), pages 447-476, April.
  4. Zhang, Guofu & Du, Ziping, 2017. "Co-movements among the stock prices of new energy, high-technology and fossil fuel companies in China," Energy, Elsevier, vol. 135(C), pages 249-256.
  5. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
  6. Oscar Bajo-Rubio & Carmen Diaz-Roldan & Vicente Esteve, 2005. "Is the Fisher effect non-linear? some evidence for Spain, 1963-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 15(12), pages 849-854.
  7. Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(1), pages 1-32, April.
  8. Emilio Congregado & Antonio A. Golpe & Vicente Esteve, 2019. "On the Substitutability between Paid-employment and Self-employment: Evidence from the Period 1969–2014 in the United States," Sustainability, MDPI, Open Access Journal, vol. 11(2), pages 1-17, January.
  9. Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz, 2012. "Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201216, University of Pretoria, Department of Economics.
  10. Chia-Lin Chang & Michael McAleer & Christine Lim, 2010. "Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan," Working Papers in Economics 10/40, University of Canterbury, Department of Economics and Finance.
  11. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb..
  12. Bajo-Rubio, Oscar & Díaz-Roldán, Carmen & Esteve, Vicente, 2014. "Deficit sustainability, and monetary versus fiscal dominance: The case of Spain, 1850–2000," Journal of Policy Modeling, Elsevier, vol. 36(5), pages 924-937.
  13. Emilio Congregado & Vicente Esteve & Antonio A. Golpe, 2013. "From complements to substitutes: Structural breaks in the elasticity of substitution between paid-employment and self-employment in the US," Working Papers 1319, Department of Applied Economics II, Universidad de Valencia.
  14. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
  15. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
  16. Cavaliere, Giuseppe & Xu, Fang, 2014. "Testing for unit roots in bounded time series," Journal of Econometrics, Elsevier, vol. 178(P2), pages 259-272.
  17. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
  18. Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
  19. Vicente Esteve & Juan Sanchis, "undated". "Estimating the substitutability between private and public consumption: the case of Spain, 1960- 2001," Studies on the Spanish Economy 161, FEDEA.
  20. Ireland, Peter N., 1999. "Does the time-consistency problem explain the behavior of inflation in the United States?," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 279-291, October.
  21. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2011. "The Global Financial Crisis and Stochastic Convergence in the Euro Area," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 315-333, August.
  22. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
  23. Isabel Cortés-Jiménez & Manuel Artís, 2005. "The role of the tourism sector in economic development - Lessons from the Spanish experience," ERSA conference papers ersa05p488, European Regional Science Association.
  24. Emilio Congregado & Antonio Golpe & André Stel, 2014. "The role of scale economies in determining firm size in modern economies," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 52(2), pages 431-455, March.
  25. Todd E. Clark, 2006. "Disaggregate evidence on the persistence of consumer price inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 563-587.
  26. Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015. "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, vol. 49(C), pages 317-327.
  27. Chia-Lin Chang & Michael McAleer & Christine Lim, 2009. "Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan," CIRJE F-Series CIRJE-F-647, CIRJE, Faculty of Economics, University of Tokyo.
  28. Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2013. "The Spanish term structure of interest rates revisited: Cointegration with multiple structural breaks, 1974–2010," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 24-34.
  29. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 3-29, June.
  30. Maslyuk, Svetlana & Dharmaratna, Dinusha, 2013. "Renewable Electricity Generation, CO2 Emissions and Economic Growth: Evidence from Middle-Income Countries in Asia /Generación de electricidad renovable, las emisiones de CO2 y crecimiento económico: ," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 31, pages 217-244, Enero.
  31. Cuevas, Víctor M., 2010. "The dynamics of Mexican manufacturing exports," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
  32. Leon du Toit, 2009. "Economic Crises, Stabilisation Policy and Output in Emerging Market Economies," Working Papers 20/2009, Stellenbosch University, Department of Economics.
  33. Antonio Cubel & Vicente Esteve & Maria Teresa Sanchis & Juan A. Sanchis-Llopis, 2014. "The effect of foreign and domestic patents on total factor productivity during the second half of the 20th century," Working Papers 06/14, Instituto Universitario de Análisis Económico y Social.
  34. repec:gam:jecnmx:v:4:y:2016:i:2:p:21:d:67747 is not listed on IDEAS
  35. Olivier Darne & Jean-Francois Hoarau, 2007. "The purchasing power parity in Australia: evidence from unit root test with structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 203-206.
  36. Xin Huang, 2019. "Persistence of Bank Credit Default Swap Spreads," Risks, MDPI, Open Access Journal, vol. 7(3), pages 1-13, August.
  37. Jerzy Rembeza & Kamila Radlińska, 2020. "Price Linkages Between Tea Markets: A Case Study for Colombo, Kolkata and Mombasa Auctions," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 134-150.
  38. Gluschenko, Konstantin, 2018. "Market of the Novosibirsk Oblast in the System of Regional Markets," MPRA Paper 83649, University Library of Munich, Germany.
  39. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 9-12, January.
  40. Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
  41. Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
  42. 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.
  43. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.),Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  44. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
  45. Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Boston College Working Papers in Economics 518, Boston College Department of Economics.
  46. Natalya Ketenci & Vasudeva N. R. Murthy, 2018. "Some determinants of life expectancy in the United States: results from cointegration tests under structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 508-525, July.
  47. Nima Nonejad, 2013. "Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008," CREATES Research Papers 2013-25, Department of Economics and Business Economics, Aarhus University.
  48. Bernd Aumann & Rolf Scheufele, 2010. "Is East Germany catching up? A time series perspective," Post-Communist Economies, Taylor & Francis Journals, vol. 22(2), pages 177-192.
  49. Papadamou, Stephanos & Siriopoulos, Costas, 2008. "Does the ECB Care about Shifts in Investors’ Risk Appetite?," MPRA Paper 25973, University Library of Munich, Germany.
  50. Maria Jesus Herrerias & Javier Ordóñez, 2014. "Stochastic Regional Convergence in China: The Role of Regional Clusters in a Nonlinear Perspective (1952–2007)," Pacific Economic Review, Wiley Blackwell, vol. 19(2), pages 153-169, May.
  51. Cavaliere, Giuseppe & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2011. "Testing For Unit Roots In The Presence Of A Possible Break In Trend And Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 27(5), pages 957-991, October.
  52. Hsiao-chuan Chang, 2004. "Budget Balance And Trade Balance:Kin Or Strangers. A Case Study Of Taiwan," Department of Economics - Working Papers Series 893, The University of Melbourne.
  53. Wouter J. Den Haan & Andrew T. Levin, 1995. "Inferences from parametric and non-parametric covariance matrix estimation procedures," International Finance Discussion Papers 504, Board of Governors of the Federal Reserve System (U.S.).
  54. 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.
  55. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  56. Ömer YALÇINKAYA & Vedat KAYA, 2017. "Eğitimin Ekonomik Büyüme Üzerindeki Etkileri: PISA Katılımcıları Üzerinde Bir Uygulama (1990-2014)," Sosyoekonomi Journal, Sosyoekonomi Society, issue 25(33).
  57. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 439-456, September.
  58. Delgado Narro, Augusto Ricardo, 2020. "The Process of Convergence among the Japanese Prefectures: 1955 - 2012," MPRA Paper 100361, University Library of Munich, Germany.
  59. Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2015. "How strong is the linkage between tourism and economic growth in Europe?," Economic Modelling, Elsevier, vol. 44(C), pages 142-155.
  60. Niels Haldrup & Peter Lildholdt, 2002. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 155-171, March.
  61. Daniel Chiquiar & Antonio Noriega & Manuel Ramos-Francia, 2010. "A time-series approach to test a change in inflation persistence: the Mexican experience," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3067-3075.
  62. Oscar Bajo-Rubio & Carmen D Roldᮠ & Esteve, 2014. "Sustainability of external imbalances in the OECD countries," Applied Economics, Taylor & Francis Journals, vol. 46(4), pages 441-449, February.
  63. Rolando Peláez, 2012. "The housing bubble in real-time: the end of innocence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 211-225, January.
  64. Gabriela Bezerra Medeiros & Marcelo Savino Portugal & Edilean Kleber da Silva Bejarano Aragón, 2017. "Endogeneity and nonlinearities in Central Bank of Brazil’s reaction functions: an inverse quantile regression approach," Empirical Economics, Springer, vol. 53(4), pages 1503-1527, December.
  65. PERRON, Pierre & MALLET, Sylvie, 1998. "The FCLT with Dependent Errors: an Helicopter Tour of the Quality of the Approximation," Cahiers de recherche 9817, Universite de Montreal, Departement de sciences economiques.
  66. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics.
  67. Oscar Bajo-Rubio & Carmen Diaz-Roldan & Vicente Esteve, 2008. "US deficit sustainability revisited: a multiple structural change approach," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1609-1613.
  68. Nikolaos Kourogenis & Nikitas Pittis, 2008. "Testing for a unit root under errors with just barely infinite variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1066-1087, November.
  69. Jose Angelo Divino & Michael McAleer, 2009. "Modelling the Growth and Volatility in Daily International Mass Tourism to Peru," Documentos de Trabajo del ICAE 2009-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  70. repec:fgv:epgrbe:v:66:n:3:a:3 is not listed on IDEAS
  71. Esteve, Vicente, 2006. "A note on nonlinear dynamics in the Spanish term structure of interest rates," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 316-323.
  72. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
  73. Ai Deng, 2014. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 122-150.
  74. Jorge Fornero & Markus Kirchner, 2018. "Learning about Commodity Cycles and Saving-Investment Dynamics in a Commodity-Exporting Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 205-262, March.
  75. Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2006. "Is the budget deficit sustainable when fiscal policy is non-linear? The case of Spain," Journal of Macroeconomics, Elsevier, vol. 28(3), pages 596-608, September.
  76. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
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  78. Vassilis Monastiriotis & Cigdem Borke Tunali, 2020. "The Sustainability of External Imbalances in the European Periphery," Open Economies Review, Springer, vol. 31(2), pages 273-294, April.
  79. Ghoshray, Atanu, 2010. "Smooth transition effects in price transmission: The case of international wheat export prices," Economics Letters, Elsevier, vol. 106(3), pages 169-171, March.
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  81. Maria Jesus Herrerias & Vicente Orts, 2011. "The driving forces behind China’s growth," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 19(1), pages 79-124, January.
  82. K. W. Chau & Gaolu Zou, 2018. "Energy Prices, Real Estate Sales and Industrial Output in China," Energies, MDPI, Open Access Journal, vol. 11(7), pages 1-15, July.
  83. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics.
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  85. Marques, André M. & Lima, Gilberto Tadeu & Troster, Victor, 2017. "Unemployment persistence in OECD countries after the Great Recession," Economic Modelling, Elsevier, vol. 64(C), pages 105-116.
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  92. 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.
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