Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Nonseasonal Time Series

Citations

Cited by:

1. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Bank of Finland Research Discussion Papers 7/2012, Bank of Finland.
2. Chambers, Marcus J. & Ercolani, Joanne S. & Taylor, A.M. Robert, 2014. "Testing for seasonal unit roots by frequency domain regression," Journal of Econometrics, Elsevier, vol. 178(P2), pages 243-258.
   • Marcus J. Chambers & Joanne S. Ercolani & A. M. Robert Taylor, 2010. "Testing for seasonal unit roots by frequency domain regression," Discussion Papers 10/02, University of Nottingham, Granger Centre for Time Series Econometrics.
3. Kim, Hyeongwoo & Stern, Liliana V. & Stern, Michael L., 2010. "Half-life bias correction and the G7 stock markets," Economics Letters, Elsevier, vol. 109(1), pages 1-3, October.
4. Born Benjamin & Demetrescu Matei, 2015. "Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 143-179, July.
5. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
   • Smeekes, S., 2009. "Detrending bootstrap unit root tests," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
6. Cláudia Duarte, 2015. "Covariate-augmented unit root tests with mixed-frequency data," Working Papers w201507, Banco de Portugal, Economics and Research Department.
7. Matei Demetrescu & Christoph Hanck, 2016. "Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 751-781, May.
8. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
9. Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo, 2013. "Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures," Economics Letters, Elsevier, vol. 120(2), pages 195-199.
10. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
    • Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal unit root tests under structural breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18290, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Hassler, Uwe & Rodrigues, Paulo M. M., 2009. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77565, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37696, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Darmstadt University of Technology, Department of Law and Economics.
11. repec:zbw:bofism:2012_047 is not listed on IDEAS
12. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
13. Kim, Hyeongwoo & Durmaz, Nazif, 2012. "Bias correction and out-of-sample forecast accuracy," International Journal of Forecasting, Elsevier, vol. 28(3), pages 575-586.
    • Kim, Hyeongwoo & Durmaz, Nazif, 2009. "Bias Correction and Out-of-Sample Forecast Accuracy," MPRA Paper 16780, University Library of Munich, Germany.
    • Hyeongwoo Kim & Nazif Durmaz, 2010. "Bias Correction and Out-of-Sample Forecast Accuracy," Auburn Economics Working Paper Series auwp2010-02, Department of Economics, Auburn University.
14. Chi‐Young Choi & Nelson C. Mark & Donggyu Sul, 2010. "Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 567-599, October.
15. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
    • Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
16. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
17. Gregoir, Stephane, 2006. "Efficient tests for the presence of a pair of complex conjugate unit roots in real time series," Journal of Econometrics, Elsevier, vol. 130(1), pages 45-100, January.
18. Lee, Hyejin & Meng, Ming & Lee, Junsoo, 2012. "Performance of nonlinear instrumental variable unit root tests using recursive detrending methods," Economics Letters, Elsevier, vol. 117(1), pages 214-216.
19. Kim, Hyeongwoo & Moh, Young-Kyu, 2012. "Examining the evidence of purchasing power parity by recursive mean adjustment," Economic Modelling, Elsevier, vol. 29(5), pages 1850-1857.
    • Hyeongwoo Kim & Young-Kyu Moh, 2010. "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," Auburn Economics Working Paper Series auwp2010-08, Department of Economics, Auburn University.
    • Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," MPRA Paper 22712, University Library of Munich, Germany.
20. Stephen Leybourne & Tae‐Hwan Kim & Paul Newbold, 2005. "Examination of Some More Powerful Modifications of the Dickey–Fuller Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 355-369, May.
    • Steve Leybourne & Paul Newbold & Tae-Hwan Kim, 2003. "Examination Of Some More Powerful Modifications Of The Dickey- Fuller Test," Econometrics 0311007, University Library of Munich, Germany.
21. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
22. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
    • Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
    • Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
23. Donggyu Sul, 2005. "New Panel Unit Root Tests under Cross Section Dependence for Practitioners," Econometrics 0506010, University Library of Munich, Germany.
24. Rodrigues, Paulo M.M., 2006. "Properties of recursive trend-adjusted unit root tests," Economics Letters, Elsevier, vol. 91(3), pages 413-419, June.
    • Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute.
25. Ding, Hui & Kim, Jaebeom, 2017. "Inflation-targeting and real interest rate parity: A bias correction approach," Economic Modelling, Elsevier, vol. 60(C), pages 132-137.
26. del Barrio Castro, Tomás & Osborn, Denise R., 2023. "Periodic Integration and Seasonal Unit Roots," MPRA Paper 117935, University Library of Munich, Germany, revised 2023.
27. Taipalus, Katja, 2012. "Signaling asset price bubbles with time-series methods," Research Discussion Papers 7/2012, Bank of Finland.
28. repec:zbw:bofrdp:2012_007 is not listed on IDEAS