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Asymptotic Distributions of Unit-Root Tests When the Process Is Nearly Stationary

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  1. Bhattacharyya, B.B. & Richardson, G.D. & Flores, P.V., 2006. "Unit roots: Periodogram ordinate," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 641-651, March.
  2. Perron, Pierre, 1992. "Racines unitaires en macroéconomie : le cas d’une variable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 325-356, mars et j.
  3. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  4. James H. Stock & Mark W. Watson, 1996. "Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model," NBER Technical Working Papers 0201, National Bureau of Economic Research, Inc.
  5. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
  6. Crowder, William J., 1996. "The international convergence of inflation rates during fixed and floating exchange rate regimes," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 551-575, August.
  7. Artur Silva Lopes, 2006. "Deterministic seasonality in Dickey–Fuller tests: should we care?," Empirical Economics, Springer, vol. 31(1), pages 165-182, March.
  8. Zacharias Psaradakis, 1997. "Testing for unit roots in time series with nearly deterministic seasonal variation," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 421-439.
  9. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
  10. Das, Samarjit & Bhattacharya, Kaushik, 2004. "Price Convergence across Regions in India," Bonn Econ Discussion Papers 1/2005, University of Bonn, Bonn Graduate School of Economics (BGSE).
  11. Valkanov, Rossen, 1999. "Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results," University of California at Los Angeles, Anderson Graduate School of Management qt955135m1, Anderson Graduate School of Management, UCLA.
  12. Pär Österholm, 2005. "The Taylor Rule: A Spurious Regression?," Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
  13. Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
  14. Jonathan H. Wright, 1999. "Testing for a unit root in the volatility of asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 309-318, May.
  15. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2014. "Understanding the effect of technology shocks in SVARs with long-run restrictions," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 154-172.
  16. McElroy, Tucker S. & Jach, Agnieszka, 2023. "Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
  17. Perron, Pierre, 1996. "The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors," Journal of Econometrics, Elsevier, vol. 70(2), pages 317-350, February.
  18. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  19. Amsler Christine & Schmidt Peter & Vogelsang Timothy J, 2009. "The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-44, December.
  20. Yabe, Ryota, 2017. "Asymptotic distribution of the conditional-sum-of-squares estimator under moderate deviation from a unit root in MA(1)," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 220-226.
  21. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
  22. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  23. YABE, Ryota & 矢部, 竜太, 2014. "Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)," Discussion Papers 2014-19, Graduate School of Economics, Hitotsubashi University.
  24. Ibrahim Chowdhury & Lucio Sarno, 2004. "Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 759-793, June.
  25. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.
  26. YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
  27. Jonathan H. Wright, 1999. "Testing for a unit root in the volatility of asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 309-318, May.
  28. Slade, Margaret E., 2001. "Valuing Managerial Flexibility: An Application of Real-Option Theory to Mining Investments," Journal of Environmental Economics and Management, Elsevier, vol. 41(2), pages 193-233, March.
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