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Multiple Regression with Integrated Time Series

Citations

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Cited by:

  1. Okowa, Ezaal, Vincent & Moses Owede, 2022. "‘Financial Inclusion-Income Inequality’ Nexus in Nigeria: Evidence from Dynamic Ordinary Least Square (DOLS) Modeling Approach," International Journal of Research and Scientific Innovation, International Journal of Research and Scientific Innovation (IJRSI), vol. 9(2), pages 84-94, February.
  2. Jenny Wilkinson, 1992. "Explaining Australia's Imports: 1974–1989," The Economic Record, The Economic Society of Australia, vol. 68(2), pages 151-164, June.
  3. George K. Zestos & Xiangnan Tao, 2002. "Trade and GDP Growth: Causal Relations in the United States and Canada," Southern Economic Journal, John Wiley & Sons, vol. 68(4), pages 859-874, April.
  4. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
  5. Rahman, Sanzidur & Anik, Asif Reza, 2020. "Productivity and efficiency impact of climate change and agroecology on Bangladesh agriculture," Land Use Policy, Elsevier, vol. 94(C).
  6. Zhang, Dan & Farnoosh, Arash & Lantz, Frédéric, 2022. "Does something change in the oil market with the COVID-19 crisis?," International Economics, Elsevier, vol. 169(C), pages 252-268.
  7. Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
  8. Christis Katsouris, 2023. "Unified Inference for Dynamic Quantile Predictive Regression," Papers 2309.14160, arXiv.org, revised Nov 2023.
  9. Curran, Louise, 2004. "DDA - Key issues for future research," Conference papers 331313, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  10. Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022. "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics 114620, London School of Economics and Political Science, LSE Library.
  11. Hondroyiannis, George & Papapetrou, Evangelia, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, Elsevier, vol. 15(1), pages 76-94.
  12. Marei Elbadri & Eralp Bektaş, 2022. "Dynamic relationship among the bank stability, oil, and gold prices: Evidence from the Islamic banks operating in the Gulf Cooperation Council countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2153-2168, April.
  13. Casini, Alessandro & Perron, Pierre, 2021. "Continuous record Laplace-based inference about the break date in structural change models," Journal of Econometrics, Elsevier, vol. 224(1), pages 3-21.
  14. Olatunji A. Shobande & Simplice A. Asongu, 2021. "Has Knowledge Improved Economic Growth? Evidence from Nigeria and South Africa," Working Papers 21/059, European Xtramile Centre of African Studies (EXCAS).
  15. Walter Krämer, 1999. "Kointegration von Aktienkursen," Schmalenbach Journal of Business Research, Springer, vol. 51(10), pages 915-936, October.
  16. Gabriel Zsurkis & JoÃo Nicolau & Paulo M. M. Rodrigues, 2021. "A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 935-959, August.
  17. 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.
  18. Nilss Olekalns & Nigel Wilkins, 1998. "Re‐examining the Evidence for Long‐Run Purchasing Power Parity," The Economic Record, The Economic Society of Australia, vol. 74(224), pages 54-61, March.
  19. Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
  20. Thomas W. Gilligan & Subrata Sarkar, 1998. "Statistical Causality and Strategic Behavior in Industrial Markets," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 7(2), pages 183-208, June.
  21. Kleibergen, F., 1996. "Reduced Rank of Regression Using Generalized Method of Moments Estimators," Other publications TiSEM 5caf1c0c-d988-4184-acf7-d, Tilburg University, School of Economics and Management.
  22. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(3), pages 269-298, June.
  23. Yanbo Liu & Peter C. B. Phillips & Jun Yu, 2023. "A Panel Clustering Approach To Analyzing Bubble Behavior," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(4), pages 1347-1395, November.
  24. Elliott, Graham, 2020. "Testing for a trend with persistent errors," Journal of Econometrics, Elsevier, vol. 219(2), pages 314-328.
  25. Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
  26. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
  27. Andros Gregoriou & Alexandros Kontonikas, 2006. "Inflation Targeting And The Stationarity Of Inflation: New Results From An Estar Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 58(4), pages 309-322, October.
  28. Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006. "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 623-646, October.
  29. Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
  30. Anders Rygh Swensen, 2003. "Bootstrapping unit root tests for integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 99-126, January.
  31. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
  32. Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
  33. Ziwei Mei & Peter C. B. Phillips & Zhentao Shi, 2022. "The boosted HP filter is more general than you might think," Papers 2209.09810, arXiv.org, revised Apr 2024.
  34. Peter C. B. Phillips, 2005. "Econometric Analysis of Fisher's Equation," American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 125-168, January.
  35. Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
  36. Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B., 2024. "Robust inference on correlation under general heterogeneity," Journal of Econometrics, Elsevier, vol. 240(1).
  37. Aliyu Alhaji Jibrilla, 2018. "Does Trade Liberalization Affect Energy Saving in Nigeria?," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), vol. 6(4), pages :493-515, December.
  38. Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation for Research in Economics, Yale University.
  39. Gaowen Wang, 2017. "Modified Unit Root Tests with Nuisance Parameter Free Asymptotic Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 519-538, June.
  40. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
  41. A. E. Akinlo & A. F. Odusola, 2003. "Assessing the impact of Nigeria's naira depreciation on output and inflation," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 691-703.
  42. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
  43. Martin C. Arnold & Thilo Reinschlussel, 2024. "Bootstrap Adaptive Lasso Solution Path Unit Root Tests," Papers 2409.07859, arXiv.org.
  44. Mahmoud MOURAD, 2022. "Impact of Welfare and Unemployment on the Crimes in the United States: Co-integration Analysis," Journal of Public Administration and Governance, Macrothink Institute, vol. 12(2), pages 120-120, December.
  45. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
  46. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
  47. Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
  48. Ziwei Mei & Zhentao Shi, 2022. "On LASSO for High Dimensional Predictive Regression," Papers 2212.07052, arXiv.org, revised Jan 2024.
  49. Pentti Saikkonen & Rickard Sandberg, 2016. "Testing for a Unit Root in Noncausal Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 99-125, January.
  50. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  51. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
  52. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(4), pages 743-755, August.
  53. Yugang He & Xiaodan Gao & Renhong Wu & Yinhui Wang & Baek-Ryul Choi, 2021. "How Does Sustainable Rural Tourism Cause Rural Community Development?," Sustainability, MDPI, vol. 13(24), pages 1-20, December.
  54. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  55. Lui, Yiu Lim & Phillips, Peter C.B. & Yu, Jun, 2024. "Robust testing for explosive behavior with strongly dependent errors," Journal of Econometrics, Elsevier, vol. 238(2).
  56. Félix Badolo, 2011. "Transmission des chocs de prix internationaux : le cas du riz au Burkina Faso," CERDI Working papers halshs-00627189, HAL.
  57. Marcet, Albert & Jarociński, Marek, 2010. "Autoregressions in small samples, priors about observables and initial conditions," Working Paper Series 1263, European Central Bank.
  58. E. E. Ioannidis & G. A. Chronis, 2005. "Extreme Spectra of Var Models and Orders of Near‐Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 399-421, May.
  59. Farzad Sabzikar & Piotr Kokoszka, 2023. "Tempered functional time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 280-293, May.
  60. Ilias Lekkos, 2003. "Cross‐sectional Restrictions on the Spot and Forward Term Structures of Interest Rates and Panel Unit Root Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(5‐6), pages 799-828, June.
  61. Peter C. B. Phillips & Sainan Jin, 2021. "Business Cycles, Trend Elimination, And The Hp Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 469-520, May.
  62. Rossi, Francesca & Lieberman, Offer, 2023. "Spatial autoregressions with an extended parameter space and similarity-based weights," Journal of Econometrics, Elsevier, vol. 235(2), pages 1770-1798.
  63. Sun, Jiajing & Hong, Yongmiao & Linton, Oliver & Zhao, Xiaolu, 2022. "Adjusted-range self-normalized confidence interval construction for censored dependent data," Economics Letters, Elsevier, vol. 220(C).
  64. Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
  65. Juan Carlos Cuestas & Mercedes Monfort, 2021. "Current account sustainability in Central and Eastern Europe: structural change and crisis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(1), pages 141-153, February.
  66. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
  67. Mara Madaleno & Victor Moutinho, 2021. "Analysis of the New Kuznets Relationship: Considering Emissions of Carbon, Methanol, and Nitrous Oxide Greenhouse Gases—Evidence from EU Countries," IJERPH, MDPI, vol. 18(6), pages 1-23, March.
  68. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
  69. Adeola Y. Oyebowale, 2020. "Determinants of Bank Lending in Nigeria," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 12(3), pages 378-398, September.
  70. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
  71. Christis Katsouris, 2023. "Predictability Tests Robust against Parameter Instability," Papers 2307.15151, arXiv.org.
  72. Mitch Kunce, 2022. "A 'Natural' Suicide Rate, Hysteresis or Suicide Persistence? Evidence from U.S. State-Level Panel Data, 1980-2020," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(2), pages 1-2.
  73. Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)," Discussion Paper 1990-2, Tilburg University, Center for Economic Research.
  74. Anindya Banerjee & Paul Mizen, 2006. "A re‐interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264, December.
  75. Christis Katsouris, 2023. "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers 2305.00860, arXiv.org, revised May 2023.
  76. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
  77. Jérôme Trinh, 2022. "Disaggregation of very small time series with multiple endogenous partial structural breaks," THEMA Working Papers 2022-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  78. Badi H. Baltagi & Junjie Shu, 2024. "A Survey of Spatial Unit Roots," Mathematics, MDPI, vol. 12(7), pages 1-31, March.
  79. Mitch Kunce, 2022. "The Tenuous Ecological Divorce and Unemployment Link with Suicide: A U.S. Panel Analysis 1968-2020," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(3), pages 1-2.
  80. In Choi & Peter C.B. Phillips, 1997. "Regressions for Partially Identified, Cointegrated Simultaneous Equations," Cowles Foundation Discussion Papers 1162, Cowles Foundation for Research in Economics, Yale University.
  81. Alvin Tan & Graham Voss, 2003. "Consumption and Wealth in Australia," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 39-56, March.
  82. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  83. Kris Brabanter & Farzad Sabzikar, 2021. "Asymptotic theory for regression models with fractional local to unity root errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(7), pages 997-1024, October.
  84. Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2024. "Unbounded heteroscedasticity in autoregressive models," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
  85. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
  86. Mehmet Balcilar & Zeynel Abidin Ozdemir & Bedriye Tunçsiper & Huseyin Ozdemir & Muhammad Shahbaz, 2020. "On the nexus among carbon dioxide emissions, energy consumption and economic growth in G-7 countries: new insights from the historical decomposition approach," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 22(8), pages 8097-8134, December.
  87. Sven Otto, 2021. "Unit root testing with slowly varying trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 85-106, January.
  88. Bierens, H.J., 1995. "Nonparametric cointegration analysis," Other publications TiSEM aa45c4fa-ef46-43a6-b14e-b, Tilburg University, School of Economics and Management.
  89. Bibinger, Markus & Jirak, Moritz & Vetter, Mathias, 2015. "Nonparametric change-point analysis of volatility," SFB 649 Discussion Papers 2015-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  90. Kishor K. Guru-Gharana & Matiur Rahman & Anisul M. Islam, 2021. "Japan s Stock Market Performance: Evidence from Toda-Yamamoto and Dolado-Lutkepohl Tests for Multivariate Granger Causality," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 107-122.
  91. George Hondroyiannis & Evangelia Papapetrou, 2000. "Do Demographic Changes Affect Fiscal Developments?," Public Finance Review, , vol. 28(5), pages 468-488, September.
  92. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  93. Houjian Li & Xiaolei Zhou & Mengqian Tang & Lili Guo, 2022. "Impact of Population Aging and Renewable Energy Consumption on Agricultural Green Total Factor Productivity in Rural China: Evidence from Panel VAR Approach," Agriculture, MDPI, vol. 12(5), pages 1-19, May.
  94. J. Roderick McCrorie, 2021. "Moments in Pearson's Four-Step Uniform Random Walk Problem and Other Applications of Very Well-Poised Generalized Hypergeometric Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 244-281, November.
  95. S.P. Jayasooriya, 2009. "A Dynamic Equilibrium between Inflation and Minimum Wages in Sri Lanka," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 3(2), pages 113-132, April.
  96. Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
  97. Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
  98. Haitham A. Al-Zoubi, 2024. "An affine model for short rates when monetary policy is path dependent," Review of Derivatives Research, Springer, vol. 27(2), pages 151-201, July.
  99. Suwastika Naidu & Atishwar Pandaram & Anand Chand, 2017. "A Johansen Cointegration Test for the Relationship between Remittances and Economic Growth of Japan," Modern Applied Science, Canadian Center of Science and Education, vol. 11(10), pages 137-137, October.
  100. Manuel Monge, 2024. "Trends and persistence in global olive oil prices after COVID-19," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 23(5), pages 481-488, October.
  101. Arusha Cooray, 2002. "Interest Rates and Inflationary Expectations: Evidence on the Fisher Effect in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 3(2), pages 201-216, September.
  102. Roy, Rudra Prosad & Sinha Roy, Saikat, 2022. "Commodity futures prices pass-through and monetary policy in India: Does asymmetry matter?," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  103. Monge, Manuel & Claudio-Quiroga, Gloria & Poza, Carlos, 2024. "Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends," International Economics, Elsevier, vol. 177(C).
  104. PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
  105. Hassan Tawakol A. Fadol, 2020. "Estimating the Impact of the Macroeconomic Indicators Shocks on KSA Non-oil Exports 1970-2019: (SVAR) Analysis and (NARDL) Assessment," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 118-128.
  106. Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
  107. Antonios Adamopoulos, 2020. "Financial Development and Economic Growth: An Empirical Investigation of three European Union Member - Countries," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 10(1), pages 3-24.
  108. Anna Bykhovskaya & James A. Duffy, 2022. "The Local to Unity Dynamic Tobit Model," Papers 2210.02599, arXiv.org, revised May 2024.
  109. Jinyuan Chang & Guanghui Cheng & Qiwei Yao, 2022. "Testing for unit roots based on sample autocovariances [Heteroskedasticity and autocorrelation consistent covariance matrix estimation]," Biometrika, Biometrika Trust, vol. 109(2), pages 543-550.
  110. Kohtaro Hitomi & Jianwei Jin & Keiji Nagai & Yoshihiko Nishiyama & Junfan Tao, 2022. "Unit root tests considering initial values and a concise method for computing powers," KIER Working Papers 1084, Kyoto University, Institute of Economic Research.
  111. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Other publications TiSEM 004c9726-ec6a-4884-8238-d, Tilburg University, School of Economics and Management.
  112. Luca Cattivelli & Federico Antonioli, 2023. "When cointegration is interrupted: Price transmission analysis in the Italian dairy‐feed industry," Agribusiness, John Wiley & Sons, Ltd., vol. 39(3), pages 744-761, July.
  113. Muwanga Sebunya Gertrude, 2021. "Economic Growth and Financial Sector Development: Long-Run Structural Break Cointegration and Short-Run Equilibrium Relationships in the East African Community," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 9(2), pages 48-62.
  114. Angeliki N. Menegaki, 2021. "Towards a Global Energy-Sustainable Economy Nexus; Summing up Evidence from Recent Empirical Work," Energies, MDPI, vol. 14(16), pages 1-16, August.
  115. Christis Katsouris, 2022. "Asymptotic Theory for Unit Root Moderate Deviations in Quantile Autoregressions and Predictive Regressions," Papers 2204.02073, arXiv.org, revised Aug 2023.
  116. Berger, Jurij & Dalheimer, Bernhard & Brümmer, Bernhard, 2021. "Effects of variable EU import levies on corn price volatility," Food Policy, Elsevier, vol. 102(C).
  117. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
  118. Hernández, Juan R., 2016. "Unit Root Testing in ARMA Models: A Likelihood Ratio Approach," MPRA Paper 100857, University Library of Munich, Germany.
  119. André K. Anundsen, 2019. "Detecting Imbalances in House Prices: What Goes Up Must Come Down?," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
  120. Jérôme Trinh, 2022. "Testing for cointegration with structural changes in very small sample," THEMA Working Papers 2022-01, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  121. Jean‐Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(4), pages 767-808, November.
  122. Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
  123. David W. R. Gruen & Jenny Wilkinson, 1994. "Australia's Real Exchange Rate–Is it Explained by the Terms of Trade or by Real Interest Differentials?," The Economic Record, The Economic Society of Australia, vol. 70(209), pages 204-219, June.
  124. Kondo, Koji, 1997. "Statistical analysis of foreign exchange rates: application of cointegration model and regime-switching stochastic volatility model," ISU General Staff Papers 1997010108000012997, Iowa State University, Department of Economics.
  125. 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.
  126. Junichi Hirukawa & Sangyeol Lee, 2021. "Asymptotic properties of mildly explosive processes with locally stationary disturbance," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(4), pages 511-534, May.
  127. Christis Katsouris, 2023. "Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models," Papers 2307.14463, arXiv.org.
  128. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
  129. Baillie, R. & Chung, C. & Tieslau, M., 1992. "The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis," Other publications TiSEM 49a709f4-608f-43c5-840b-c, Tilburg University, School of Economics and Management.
  130. Hamdi Raissi, 2022. "On the dependence structure of the trade/no trade sequence of illiquid assets," Papers 2203.08223, arXiv.org.
  131. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
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