IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v59y1998i1p7-15.html
   My bibliography  Save this article

On the sensitivity of unit root inference to nonlinear data transformations

Author

Listed:
  • Franses, Philip Hans
  • Koop, Gary

Abstract

No abstract is available for this item.

Suggested Citation

  • Franses, Philip Hans & Koop, Gary, 1998. "On the sensitivity of unit root inference to nonlinear data transformations," Economics Letters, Elsevier, vol. 59(1), pages 7-15, April.
    • Handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:7-15
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(98)00014-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. C. W. J. Granger & Jeff Hallman, 1991. "Nonlinear Transformations Of Integrated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(3), pages 207-224, May.
    2. Coulson, N Edward & Robins, Russell P, 1985. "A Comment on the Testing of Functional Form in First Difference Models," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 710-712, November.
    3. Collins, Sean, 1991. "Prediction Techniques for Box-Cox Regression Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 267-277, July.
    4. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    5. Sean Collins, 1991. "Prediction techniques for Box-Cox regression models," Finance and Economics Discussion Series 148, Board of Governors of the Federal Reserve System (U.S.).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
    2. Deleersnyder, B. & Geyskens, I. & Gielens, K. & Dekimpe, M.G., 2002. "How Cannibalistic is the Internet Channel?," ERIM Report Series Research in Management ERS-2002-22-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. Helmut Lütkepohl & Fang Xu, 2012. "The role of the log transformation in forecasting economic variables," Empirical Economics, Springer, vol. 42(3), pages 619-638, June.
    4. Deleersnyder, B. & Geyskens, I. & Gielens, K.J.P. & Dekimpe, M.G., 2002. "How cannibalistic is the internet channel? A study of the newspaper industry in the United Kingdom and the Netherlands," Other publications TiSEM 16dcb25c-7ea9-4c75-bdf6-5, Tilburg University, School of Economics and Management.
    5. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
    6. Franses, Philip Hans & de Bruin, Paul, 2002. "On data transformations and evidence of nonlinearity," Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
    7. Yang, Zhenlin & Abeysinghe, Tilak, 2002. "An explicit variance formula for the Box-Cox functional form estimator," Economics Letters, Elsevier, vol. 76(2), pages 259-265, July.
    8. Krämer Walter, 2002. "Statistische Besonderheiten von Finanzzeitreihen / Statistical Properties of Financial Time Series," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(2), pages 210-229, April.
    9. Gijsenberg, Maarten J. & Nijs, Vincent R., 2019. "Advertising spending patterns and competitor impact," International Journal of Research in Marketing, Elsevier, vol. 36(2), pages 232-250.
    10. Kornelis, Marcel & Dekimpe, Marnik G. & Leeflang, Peter S.H., 2008. "Does competitive entry structurally change key marketing metrics?," International Journal of Research in Marketing, Elsevier, vol. 25(3), pages 173-182.
    11. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Morana, Claudio, 2024. "A new macro-financial condition index for the euro area," Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
    2. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2005. "Bootstrap prediction intervals for power-transformed time series," International Journal of Forecasting, Elsevier, vol. 21(2), pages 219-235.
    3. Yuanhua Feng & Wolfgang Karl Härdle, 2021. "Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression," Working Papers CIE 142, Paderborn University, CIE Center for International Economics.
    4. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
    5. Norman J. Morin & John M. Roberts, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
    6. Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth Centre Working Paper Series 0507, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    7. 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.
    8. Selby, Brent & Kockelman, Kara M., 2013. "Spatial prediction of traffic levels in unmeasured locations: applications of universal kriging and geographically weighted regression," Journal of Transport Geography, Elsevier, vol. 29(C), pages 24-32.
    9. Seiler, Volker, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
    10. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
    11. Heinemann, Friedrich, 1994. "Central Europe and European monetary integration: a strategy for catching up," ZEW Discussion Papers 94-21, ZEW - Leibniz Centre for European Economic Research.
    12. Froyen, Richard T & Waud, Roger N, 1988. "Real Business Cycles and the Lucas Paradigm," Economic Inquiry, Western Economic Association International, vol. 26(2), pages 183-201, April.
    13. Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187, World Scientific Publishing Co. Pte. Ltd..
    14. Rocha, Roberto de Rezende, 1991. "Inflation and stabilization in Yugoslavia," Policy Research Working Paper Series 752, The World Bank.
    15. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
    16. Yong Glasure & Aie-Rie Lee & James Norris, 1999. "Level of economic development and political democracy revisited," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(4), pages 466-477, November.
    17. repec:cte:wsrepe:ws1506 is not listed on IDEAS
    18. Ramey, Garey & Ramey, Valerie A, 1995. "Cross-Country Evidence on the Link between Volatility and Growth," American Economic Review, American Economic Association, vol. 85(5), pages 1138-1151, December.
    19. Carl E. Walsh, 1987. "Monetary targeting and inflation: 1976-1984," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 5-16.
    20. Klaus Reiner Schenk-Hopp�, "undated". "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series (Revised Version)," IEW - Working Papers 054, Institute for Empirical Research in Economics - University of Zurich.
    21. Tony Caporale & Barbara McKiernan, 1998. "The Fischer Black Hypothesis: Some Time‐Series Evidence," Southern Economic Journal, John Wiley & Sons, vol. 64(3), pages 765-771, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:59:y:1998:i:1:p:7-15. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.