Testing unit root based on partially adaptive estimation
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Lima Luiz Renato & Xiao Zhijie, 2010. "Testing Unit Root Based on Partially Adaptive Estimation," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-34, June.
- Luiz Renato Lima & Zhijie Xiao, 2004. "Testing Unit Root Based on Partially Adaptive Estimation," Econometric Society 2004 Latin American Meetings 63, Econometric Society.
References listed on IDEAS
- Xiao, Zhijie, 2001. "Likelihood-Based Inference In Trending Time Series With A Root Near Unity," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1082-1112, December.
- Potscher, Benedikt M. & Prucha, Ingmar R., 1986. "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, vol. 32(2), pages 219-251, July.
- John Y. Campbell & N. Gregory Mankiw, 1987.
"Are Output Fluctuations Transitory?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 857-880.
- John Y. Campbell & N. Gregory Mankiw, 1986. "Are Output Fluctuations Transitory?," NBER Working Papers 1916, National Bureau of Economic Research, Inc.
- Campbell, John & Mankiw, Gregory, 1987. "Are Output Fluctuations Transitory?," Scholarly Articles 3122545, Harvard University Department of Economics.
- Thompson, Samuel B., 2004. "Robust Tests Of The Unit Root Hypothesis Should Not Be “Modified”," Econometric Theory, Cambridge University Press, vol. 20(2), pages 360-381, April.
- Balke, Nathan S & Fomby, Thomas B, 1994.
"Large Shocks, Small Shocks, and Economic Fluctuations: Outliers in Macroeconomic Time Series,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 181-200, April-Jun.
- Nathan S. Balke & Thomas B. Fomby, 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Working Papers 9101, Federal Reserve Bank of Dallas.
- 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.
- Cheung, Yin-Wong & Lai, Kon S., 1997. "Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test," Econometric Theory, Cambridge University Press, vol. 13(5), pages 679-691, October.
- Phillips, Peter C.B., 1995.
"Robust Nonstationary Regression,"
Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
- Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Peter C. B. Phillips & Zhijie Xiao, 1998.
"A Primer on Unit Root Testing,"
Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1.
- Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
- Knight, Keith, 1991. "Limit Theory for M-Estimates in an Integrated Infinite Variance," Econometric Theory, Cambridge University Press, vol. 7(2), pages 200-212, June.
- Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(2), pages 331-346, February.
- Gamini Premaratne, 2005. "A Test for Symmetry with Leptokurtic Financial Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 169-187.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-161, January.
- repec:bla:jecsur:v:12:y:1998:i:5:p:423-69 is not listed on IDEAS
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
- Flôres Junior, Renato Galvão, 2004. "On the use (fulness) of CGE modelling in trade negotiations and policy," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 564, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Olivier Darné & Amélie Charles, 2012.
"A note on the uncertain trend in US real GNP: Evidence from robust unit root tests,"
Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
- Amélie Charles & Olivier Darné, 2010. "A note on the uncertain trend in US real GNP: Evidence from robust unit root test," Working Papers hal-00547737, HAL.
- Olivier Darné & Amélie Charles, 2012. "A note of the uncertain trend in US real GNP: Evidence from robust unit root tests," Post-Print hal-00956936, HAL.
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.- Xiao, Zhijie, 2004.
"Estimating average economic growth in time series data with persistency,"
Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
- Xiao, Qifang & Xiao, Zhijie, 2003. "Estimating Average Economic Growth in Time Series Data with Persistency," Working Papers 03-0111, University of Illinois at Urbana-Champaign, College of Business.
- Luiz Lima & Jaime de Jesus Filho, 2008. "Further investigation of the uncertain trend in US GDP," Applied Economics, Taylor & Francis Journals, vol. 40(9), pages 1207-1216.
- Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
- Olivier Darné & Amélie Charles, 2012.
"A note on the uncertain trend in US real GNP: Evidence from robust unit root tests,"
Economics Bulletin, AccessEcon, vol. 32(3), pages 2399-2406.
- Amélie Charles & Olivier Darné, 2010. "A note on the uncertain trend in US real GNP: Evidence from robust unit root test," Working Papers hal-00547737, HAL.
- Olivier Darné & Amélie Charles, 2012. "A note of the uncertain trend in US real GNP: Evidence from robust unit root tests," Post-Print hal-00956936, HAL.
- Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
- Paulo M.M. Rodrigues & Uwe Hassler, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- Aparicio, Felipe M. & García, Ana, 2003.
"Range unit root tests,"
DES - Working Papers. Statistics and Econometrics. WS
ws031126, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Aparicio, Felipe M. & García, Ana, 2004. "A range unit root test," DES - Working Papers. Statistics and Econometrics. WS ws041104, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Cribari-Neto, Francisco, 1996. "On time series econometrics," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(Supplemen), pages 37-60.
- Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
- 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.
- Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
- 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.
- Olivier Darné & Claude Diebolt, 2004. "Unit Roots and Infrequent Large Shocks : New International Evidence on Output," Post-Print hal-00279015, HAL.
- Blanchard, Olivier Jean & Quah, Danny, 1989.
"The Dynamic Effects of Aggregate Demand and Supply Disturbances,"
American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
- Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
- Michael Jansson, 2008.
"Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis,"
Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, September.
- Michael Jansson, 2007. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," CREATES Research Papers 2007-12, Department of Economics and Business Economics, Aarhus University.
- Kai Carstensen, 2003.
"The finite-sample performance of robust unit root tests,"
Statistical Papers, Springer, vol. 44(4), pages 469-482, October.
- Carstensen, Kai, 2003. "The finite-sample performance of robust unit root tests," Munich Reprints in Economics 19943, University of Munich, Department of Economics.
- Chang, Shinhye & Gupta, Rangan & Miller, Stephen M. & Wohar, Mark E., 2019.
"Growth volatility and inequality in the U.S.: A wavelet analysis,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 48-73.
- Shinhye Chang & Rangan Gupta & Stephen M. Miller & Mark E. Wohar, 2018. "Growth Volatility and Inequality in the U.S.: A Wavelet Analysis," Working papers 2018-05, University of Connecticut, Department of Economics.
- Shinhye Chang & Rangan Gupta & Stephen M. Miller & Mark E. Wohar, 2018. "Growth Volatility and Inequality in the U.S.: A Wavelet Analysis," Working Papers 201819, University of Pretoria, Department of Economics.
- Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
- Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
- Hess, Gregory D. & Iwata, Shigeru, 1997.
"Asymmetric persistence in GDP? A deeper look at depth,"
Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
- 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.
- Olivier Darné & Amélie Charles, 2011.
"Large shocks in U.S. macroeconomic time series: 1860-1988,"
Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
- Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502, HAL.
- Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Post-Print hal-00771828, HAL.
- Rothenberg, Thomas J. & Stock, James H., 1997. "Inference in a nearly integrated autoregressive model with nonnormal innovations," Journal of Econometrics, Elsevier, vol. 80(2), pages 269-286, October.
More about this item
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-06-09 (Econometrics)
- NEP-ETS-2004-06-02 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
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:fgv:epgewp:528. 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: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/epgvfbr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.