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Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]

Citations

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Cited by:

  1. Carsten Trenkler & Pentti Saikkonen & Helmut Lütkepohl, 2008. "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 331-358, March.
  2. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008. "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
  3. Helder Ferreira de Mendonça & João Pedro Neves Maia, 2022. "Interest rate expectations based on Taylor rule versus central bank’s survey: which performs better in a large emerging economy?," Applied Economics, Taylor & Francis Journals, vol. 54(39), pages 4532-4544, August.
  4. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
  5. Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," Econometrics, MDPI, vol. 9(1), pages 1-35, March.
  6. Mara Gloria & François Vaillancourt & Pedro Lages Dos Santos, 2012. "Les déterminants macroéconomiques de l'épargne québécoise et canadienne – une étude économétrique," CIRANO Project Reports 2012rp-01, CIRANO.
  7. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August.
  8. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
  9. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  10. John T. Cuddington & Rodney Ludema & Shamila A Jayasuriya, 2002. "Prebisch-Singer Redux," Working Papers Central Bank of Chile 140, Central Bank of Chile.
    • Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.
  11. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
  12. Francisco Estrada & Pierre Perron & Carlos Gay-García & Benjamín Martínez-López, 2013. "A Time-Series Analysis of the 20th Century Climate Simulations Produced for the IPCC’s Fourth Assessment Report," PLOS ONE, Public Library of Science, vol. 8(3), pages 1-10, March.
  13. Thornton, Daniel L., 2005. "Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2541-2556, October.
  14. Astorga, Pablo, 2012. "Mean reversion in long-horizon real exchange rates: Evidence from Latin America," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1529-1550.
  15. Johan Lyhagen & Johanna Rickne, 2014. "Income inequality between Chinese regions: newfound harmony or continued discord?," Empirical Economics, Springer, vol. 47(1), pages 93-110, August.
  16. Ghoshray Atanu & Kejriwal Mohitosh & Wohar Mark, 2014. "Breaks, trends and unit roots in commodity prices: a robust investigation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 23-40, February.
  17. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
  18. Tomasz Jędrzejowicz & Kamila Sławińska, 2014. "Shifting from Labor to Consumption Taxes: The Impact on Tax Revenue Volatility," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 6, pages 81-101.
  19. Francisco Estrada & Pierre Perron, 2019. "Breaks, Trends and the Attribution of Climate Change: A Time-Series Analysis," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 1-31.
  20. Thorbecke, Willem, 2018. "The exposure of U.S. manufacturing industries to exchange rates," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 538-549.
  21. Harvey, David I. & Kellard, Neil M. & Madsen, Jakob B. & Wohar, Mark E., 2017. "Long-Run Commodity Prices, Economic Growth, and Interest Rates: 17th Century to the Present Day," World Development, Elsevier, vol. 89(C), pages 57-70.
  22. Jungmittag Andre & Grupp Hariolf, 2006. "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913 / Dynamic Relationships Between Innovation Activities and Per Capita Income in Germany ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(2), pages 180-207, April.
  23. Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron, 2017. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 711-732, September.
  24. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2014. "Transmission effects in the presence of structural breaks: Evidence from South-Eastern European countries," Economic Modelling, Elsevier, vol. 41(C), pages 298-311.
  25. repec:hum:wpaper:sfb649dp2006-067 is not listed on IDEAS
  26. Sun, Jingwei & Shi, Wendong, 2015. "Breaks, trends, and unit roots in spot prices for crude oil and petroleum products," Energy Economics, Elsevier, vol. 50(C), pages 169-177.
  27. Harvey, David I. & Leybourne, Stephen J. & Newbold, Paul, 2002. "Seasonal unit root tests with seasonal mean shifts," Economics Letters, Elsevier, vol. 76(2), pages 295-302, July.
  28. Kushal Banik Chowdhury & Nityananda Sarkar, 2015. "The Effect of Inflation on Inflation Uncertainty in the G7 Countries: A Double Threshold GARCH Model," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 34-50, April.
  29. Bill Martin, 2009. "An Augmented UK Private Expenditure Function," Working Papers wp384, Centre for Business Research, University of Cambridge.
  30. Dannenberg, Henry & Ehrenfeld, Wilfried, 2010. "Stochastic Income Statement Planning and Emissions Trading," IWH Discussion Papers 4/2010, Halle Institute for Economic Research (IWH).
  31. Willem Thorbecke, 2018. "The Exposure of U.S. Manufacturing Industries to Exchange Rates," Growth Lab Working Papers 111, Harvard's Growth Lab.
  32. Kushal Banik Chowdhury & Nityananda Sarkar, 2017. "Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 427-449, September.
  33. Dreger, Christian & Schumacher, Christian, 2000. "Zur empirischen Evidenz der Cobb-Douglas-Technologie in gesamtdeutschen Zeitreihen," IWH Discussion Papers 113/2000, Halle Institute for Economic Research (IWH).
  34. Karel Mertens, 2006. "How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence," Economics Working Papers ECO2006/34, European University Institute.
  35. Mohitosh Kejriwal & Claude Lopez, 2013. "Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 892-927, November.
  36. Aimer, Najmi & Lusta, Abdulmula, 2022. "Asymmetric effects of oil shocks on economic policy uncertainty," Energy, Elsevier, vol. 241(C).
  37. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
  38. Jesus Otero, 2001. "Coffee export booms and monetary disequilibrium: some evidence for Colombia," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 267-276.
  39. Hakfoort, Jacco & Matysiak, George, 1997. "Housing investment in the Netherlands," Economic Modelling, Elsevier, vol. 14(4), pages 501-516, October.
  40. David I. Harvey & Terence C. Mills, 2004. "Tests for Stationarity in Series with Endogenously Determined Structural Change," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 863-894, December.
  41. Morimune, Kimio & Nakagawa, Mitsuru, 1999. "The discontinuous trend unit root test when the break point is misspecified," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 417-427.
  42. Helder Ferreira de Mendonça & Vítor Ribeiro Laufer Calafate, 2021. "Lack of fiscal transparency and economic growth expectations: an empirical assessment from a large emerging economy," Empirical Economics, Springer, vol. 61(6), pages 2985-3027, December.
  43. Richard S. J. Tol & Francisco Estrada & Carlos Gay-García, 2012. "The persistence of shocks in GDP and the estimation of the potential economic costs of climate change," Working Paper Series 4312, Department of Economics, University of Sussex Business School.
  44. Astorga, Pablo, 2012. "Mean reversion in long-horizon real exchange rates: Evidence from Latin America," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1529-1550.
  45. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 555-578, November.
  46. Astorga, Pablo, 2007. "Real exchange rates in Latin America : what does the 20th century reveal?," IFCS - Working Papers in Economic History.WH wp07-03, Universidad Carlos III de Madrid. Instituto Figuerola.
  47. Helder Ferreira de Mendonça & Pedro Mendes Garcia & José Valentim Machado Vicente, 2021. "Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1027-1053, September.
  48. Minoas Koukouritakis, 2010. "Structural breaks and the expectations hypothesis of the term structure: evidence from Central European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 757-774, January.
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