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Testing for Unit Roots: 2
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Cited by:
- Joon Y. Park, 2003.
"Bootstrap Unit Root Tests,"
Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
- Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
- Park, Joon, 2002. "Bootstrap Unit Root Tests," Working Papers 2003-04, Rice University, Department of Economics.
- Luger, Richard, 2003.
"Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity,"
Journal of Econometrics, Elsevier, vol. 115(2), pages 259-276, August.
- Richard Luger, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
- Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990.
"An analogue model of phase-averaging procedures,"
Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
- Julia Campos & Neil R. Ericsson & David F. Hendry, 1987. "An analogue model of phase-averaging procedures," International Finance Discussion Papers 303, Board of Governors of the Federal Reserve System (U.S.).
- Zehra Aftab & Aurangzeb, 2002. "The Long-run and Short-run Impact of Exchange Rate Devaluation on Pakistan's Trade Performance," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(3), pages 277-286.
- Jae W. Chung, 1998. "Effects of U.S. Trade Remedy Law Enforcement under Uncertainty: The Case of Steel," Southern Economic Journal, John Wiley & Sons, vol. 65(1), pages 151-159, July.
- Rolf Larsson, 1997. "On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 585-599, September.
- Yin-Wong Cheung & Antonio Garcia Pascual, 2004.
"Testing for output convergence: a re-examination,"
Oxford Economic Papers, Oxford University Press, vol. 56(1), pages 45-63, January.
- Yin-Wong Cheung & Antonio I. Garcia Pascual, 2000. "Testing for Output Convergence: A Re-Examination," CESifo Working Paper Series 319, CESifo.
- Yin-wong Cheung & Antonio Garcia-Pascual, 2004. "Testing for Output Convergence: A Re-examination," Working Papers 052004, Hong Kong Institute for Monetary Research.
- Offer Lieberman & Peter C. B. Phillips, 2014.
"Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
- Offer Lieberman & Peter C.B. Phillips, 2013. "Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions," Cowles Foundation Discussion Papers 1916, Cowles Foundation for Research in Economics, Yale University.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010.
"Stock and bond returns with Moody Investors,"
Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Bierens, H.J., 1990. "A note on the limiting distribution of sample autocorrelations in the presence of a unit root," Serie Research Memoranda 0034, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Pere, Pekka, 2000. "Adjusted estimates and Wald statistics for the AR(1) model with constant," Journal of Econometrics, Elsevier, vol. 98(2), pages 335-363, October.
- Kazuhiro Ohtani, 2002. "Exact critical values of unit root tests with drift and trend," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 137-145.
- GONZALO , Jesus & PITARAKIS , Jean-Yves, 1995.
"On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors,"
LIDAM Discussion Papers CORE
1995034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gonzalo, J. & Pitaris, J.Y., 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors," Papers 35, Boston University - Department of Economics.
- Pitarakis, Jean-Yves, 1995. "On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors," DES - Working Papers. Statistics and Econometrics. WS 4513, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Clayton Webb & Suzanna Linn & Matthew J. Lebo, 2020. "Beyond the Unit Root Question: Uncertainty and Inference," American Journal of Political Science, John Wiley & Sons, vol. 64(2), pages 275-292, April.
- Behzad T. Diba & Seonghwan Oh, 1988.
"Have Money-Stock Fluctuations Had a Liquidity Effect on Expected Real Interest Rates,"
UCLA Economics Working Papers
534, UCLA Department of Economics.
- Behzad T. Diba & Seonghwan Oh, 1988. "Have money-stock fluctuations had a liquidity effect on expected real interest rates?," Working Papers 88-19, Federal Reserve Bank of Philadelphia.
- Mitra, Kaushik, 2005.
"Is more data better?,"
Journal of Economic Behavior & Organization, Elsevier, vol. 56(2), pages 263-272, February.
- Kaushik Mitra, "undated". "Is more data better?," Discussion Papers 00/44, Department of Economics, University of York.
- Kaushik Mitra, 2004. "Is more data better?," Royal Holloway, University of London: Discussion Papers in Economics 04/19, Department of Economics, Royal Holloway University of London, revised Jul 2004.
- Mitra, K., 1999. "Is More Data Better?," University of Helsinki, Department of Economics 452, Department of Economics.
- P. C. B. Phillips & S. N. Durlauf, 1986.
"Multiple Time Series Regression with Integrated Processes,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 473-495.
- Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
- Nelson, C.R. & Kim, M.J., 1990.
"Predictable Stock Returns: Reality Or Statistical Illusion?,"
Working Papers
90-15, University of Washington, Department of Economics.
- Charles R. Nelson & Myung J. Kim, 1990. "Predictable Stock Returns: Reality or Statistical Illusion?," NBER Working Papers 3297, National Bureau of Economic Research, Inc.
- Nelson, C.R. & Kim, M.J., 1990. "Predictable Stock Returns: Reality Or Statistical Illusion?," Discussion Papers in Economics at the University of Washington 90-15, Department of Economics at the University of Washington.
- Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
- Sneek, J.M., 1991. "Approximating the distribution of sample autocorrelations of some ARIMA processes in O(n) operations," Serie Research Memoranda 0022, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Ball, Clifford A. & Torous, Walter N., 1996. "Unit roots and the estimation of interest rate dynamics," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 215-238, June.
- Kazuhiro Ohtani, 1999. "Exact critical values of unit root tests when there is a constant term and a time trend," Applied Economics Letters, Taylor & Francis Journals, vol. 6(8), pages 497-500.
- Barry A. Goss & S. Gulay Avsar, 2013. "Simultaneity, Forecasting and Profits in London Copper Futures," Australian Economic Papers, Wiley Blackwell, vol. 52(2), pages 79-96, June.
- Peter C.B. Phillips & Peter Schmidt, 1989.
"Testing for a Unit Root in the Presence of Deterministic Trends,"
Cowles Foundation Discussion Papers
933, Cowles Foundation for Research in Economics, Yale University.
- Schmidt, P. & Phillips, P.C.B., 1990. "Testing forUnit Root in the Presence of Deterministic Trends," Papers 8904, Michigan State - Econometrics and Economic Theory.
- Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
- Ferretti, Nélida, 1993. "Bootstrap tests for unit root AR(1) models," DES - Working Papers. Statistics and Econometrics. WS 3733, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yin-Wong Cheung & Dickson C. Tam & Matthew S. Yiu, 2008.
"Does the Chinese interest rate follow the US interest rate?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 53-67.
- Yin-wong Cheung & Dickson Tam & Matthew S. Yiu, 2006. "Does the Chinese Interest Rate Follow the US Interest Rate?," Working Papers 192006, Hong Kong Institute for Monetary Research.
- Yin-Wong Cheung & Dickson Tam & Matthew S. Yiu, 2007. "Does the Chinese Interest Rate Follow the US Interest Rate?," CESifo Working Paper Series 1943, CESifo.
- Moon, Hyungsik Roger & Perron, Benoit & Phillips, Peter C.B., 2007.
"Incidental trends and the power of panel unit root tests,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 416-459, December.
- Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2003. "Incidental Trends and the Power of Panel Unit Root Tests," Cowles Foundation Discussion Papers 1435, Cowles Foundation for Research in Economics, Yale University.
- Hyungsik Roger Moon & Benoit Perron & Peter C.B. Phillips, 2005. "Incidental Trends and the Power of Panel Unit Root Tests," IEPR Working Papers 05.38, Institute of Economic Policy Research (IEPR).
- Peter C.B. Phillips & Hyungsik Roger Moon & Benoit Perron, 2004. "Incidental Trends and the Power of Panel Unit Root Tests," Yale School of Management Working Papers ysm414, Yale School of Management.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- B. Burcin Yurtoglu, 2004. "Persistence of firm-level profitability in Turkey," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 615-625.
- Sneek, J.M. & Smits, J., 1990. "An approximation to the distribution of quadratic forms in many normal variables," Serie Research Memoranda 0049, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Kiviet, Jan F. & Phillips, Garry D.A., 2012.
"Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3705-3729.
- Kiviet, J.F. & Phillips, G.D.A., 1999. "Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models," Discussion Papers 9903, University of Exeter, Department of Economics.
- Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
- Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
- Giovanni Forchini & Patrick Marsh, "undated". "Exact Inference for the Unit Root Hypothesis," Discussion Papers 00/54, Department of Economics, University of York.
- Chris Brooks & Apostolos Katsaris, 2003. "Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 319-346, October.
- María del Mar Sánchez de la Vega & Arielle Beyaert, 1994. "Los contrastes de raiz unitaria: una panorámica," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 1, pages 109-154, Junio.
- Gregory Mankiw, N. & Shapiro, Matthew D., 1986.
"Do we reject too often? : Small sample properties of tests of rational expectations models,"
Economics Letters, Elsevier, vol. 20(2), pages 139-145.
- N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models," NBER Technical Working Papers 0051, National Bureau of Economic Research, Inc.
- Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
- Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
- Clifford Ball & Antonio Roma, 1998. "Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 1-15.
- Elliott, Graham & Muller, Ulrich K., 2006. "Minimizing the impact of the initial condition on testing for unit roots," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 285-310.
- Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
- Chang, Yoosoon & Park, Joon Y., 2004. "Taking a New Contour: A Novel View on Unit Root Test," Working Papers 2004-10, Rice University, Department of Economics.
- 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.
- Philip A. Shively, 2001. "Trend-stationary GNP: evidence from a new exact pointwise most powerful invariant unit root test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 537-551.
- Patrick Marsh, "undated". "Saddlepoint Approximations in Non-Stationary Time Series," Discussion Papers 00/57, Department of Economics, University of York.
- Harris, Richard D. F. & Tzavalis, Elias, 1999.
"Inference for unit roots in dynamic panels where the time dimension is fixed,"
Journal of Econometrics, Elsevier, vol. 91(2), pages 201-226, August.
- Tom Doan, "undated". "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.
- Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, March.
- José Angel Roldán Casas & Rafaela Dios-Palomares, 2004. "A Strategy for Testing the Unit Root in AR(1) Model with Intercept. A Monte Carlo Experiment," Economic Working Papers at Centro de Estudios Andaluces E2004/37, Centro de Estudios Andaluces.
- Schotman, P. & van Dijk, H. K., 1989. "A Bayesian Analysis Of The Unit Root Hypothesis," Econometric Institute Archives 272385, Erasmus University Rotterdam.
- Bierens, H.J., 1989. "Testing stationarity against the unit root hypothesis," Serie Research Memoranda 0081, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Yakova D. Martina, 2017. "Comparative Analysis of the Tax Structures of Bulgaria, Denmark and France," International Journal of Economics and Financial Issues, Econjournals, vol. 7(5), pages 25-32.
- Farzad Sabzikar & Qiying Wang & Peter C.B. Phillips, 2018. "Asymptotic Theory for Near Integrated Process Driven by Tempered Linear Process," Cowles Foundation Discussion Papers 2131, Cowles Foundation for Research in Economics, Yale University.