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Time-Series-Based Econometrics: Unit Roots and Co-integrations

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  1. Ali F. Darrat & Omar M. Benkato, 2003. "Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(7‐8), pages 1089-1114, September.
  2. P. J. Dawson & P. K. Dey, 2002. "Testing for the law of one price: rice market integration in Bangladesh," Journal of International Development, John Wiley & Sons, Ltd., vol. 14(4), pages 473-484.
  3. Giorgio Canarella & Rangan Gupta & Stephen M. Miller & Stephen K. Pollard, 2019. "Unemployment rate hysteresis and the great recession: exploring the metropolitan evidence," Empirical Economics, Springer, vol. 56(1), pages 61-79, January.
  4. Martha Misas & Enrique López, 1999. "El producto potencial en Colombia: una estimación bajo var estructural," Coyuntura Económica, Fedesarrollo, September.
  5. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  6. McCrae, Michael, et al, 2002. "Can Cointegration-Based Forecasting Outperform Univariate Models? An Application to Asian Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 355-380, August.
  7. Maekawa, Koichi, 1997. "Periodically integrated autoregression with a structural break," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 467-473.
  8. Tolga Omay & Muhammad Shahbaz & Chris Stewart, 2021. "Is there really hysteresis in the OECD unemployment rates? New evidence using a Fourier panel unit root test," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 875-901, November.
  9. Defne Mutluer & Yasemin Barlas, 2002. "Modeling the Turkish Broad Money Demand," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 2(2), pages 55-75.
  10. Omay, Tolga & Shahbaz, Muhammad & Stewart, Chris, 2021. "Is There Really Hysteresis in OECD Countries’ Unemployment Rates? New Evidence Using a Fourier Panel Unit Root Test," MPRA Paper 107691, University Library of Munich, Germany, revised 10 May 2021.
  11. Kiichiro Fukasaku & David Martineau, 1999. "Coopération monétaire en Asie de l'Est : l'apport des tests de causalité et de la cointégration," Économie et Prévision, Programme National Persée, vol. 140(4), pages 105-116.
  12. Ewing, Bradley T. & Payne, James E. & Thornton, Mark & Yanochik, Mark A., 2002. "Price Transmission in the Antebellum Slave Markets: A Time Series Analysis," The Review of Regional Studies, Southern Regional Science Association, vol. 32(2), pages 275-292, Summer/Fa.
  13. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
  14. Hansen, Paul & King, Alan, 1998. "Health care expenditure and GDP: panel data unit root test results--comment," Journal of Health Economics, Elsevier, vol. 17(3), pages 377-381, June.
  15. Clive Granger & Yongil Jeon, 2000. "Model evaluation based on residual analysis of two similar models," Applied Economics, Taylor & Francis Journals, vol. 32(7), pages 861-867.
  16. Tirfi, Abera Gayesa & Oyekale, Abayomi Samuel, 2021. "Maize Output Supply Response to Climatic and Other Input Variables in Ethiopia," Asian Journal of Agriculture and Rural Development, Asian Economic and Social Society (AESS), vol. 11(04), January.
  17. Dias, Maria Helena Ambrosio & Dias, Joilson, 2010. "Measuring the Cyclical Component of a Time Series: a New Proposed Methodology," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 30(1), October.
  18. 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.
  19. Antonia Gkergki, 2020. "The relationship between energy consumption and economic growth: New evidence from Greece," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2020(2), pages 131-153.
  20. Debabrata Bagchi & Georgios E. Chortareas & Stephen M. Miller, 2004. "The Real Exchange Rate in Small, Open, Developed Economies: Evidence from Cointegration Analysis," The Economic Record, The Economic Society of Australia, vol. 80(248), pages 76-88, March.
  21. Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Hassan Ghassan & Prashanta Banerjee, 2015. "A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices," Empirical Economics, Springer, vol. 49(1), pages 305-323, August.
  23. Garcés Díaz Daniel, 2020. "On the Drivers of Inflation in Different Monetary Regimes," Working Papers 2020-16, Banco de México.
  24. Dinh Tuan Pham & Roch Roy & Lyne Cédras, 2003. "Tests for non‐correlation of two cointegrated ARMA time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 553-577, September.
  25. Manes, Eran & Schneider, Friedrich & Tchetchik, Anat, 2016. "On the Boundaries of the Shadow Economy: An Empirical Investigation," IZA Discussion Papers 10067, Institute of Labor Economics (IZA).
  26. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
  27. Ghassan, Hassan Belkacem & AlHajhoj, Hassan Rafdan, 2016. "Long run dynamic volatilities between OPEC and non-OPEC crude oil prices," Applied Energy, Elsevier, vol. 169(C), pages 384-394.
  28. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  29. Ozturk, Ilhan & Acaravci, Ali, 2013. "The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey," Energy Economics, Elsevier, vol. 36(C), pages 262-267.
  30. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  31. Abbas Rezazadeh Karsalari & Mohsen Mehrara & Maysam Musai & Mosa Mohammadi, 2014. "Relationship between Economic Growth, Trade and Environment: Evidence from D8 Countries," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(2), pages 320-326, April.
  32. Pierre L. Siklos, 1999. "Inflation-target design: changing inflation performance and persistence in industrial countries," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 46-58.
  33. Ouedraogo, Nadia S., 2013. "Energy consumption and economic growth: Evidence from the economic community of West African States (ECOWAS)," Energy Economics, Elsevier, vol. 36(C), pages 637-647.
  34. Zarina Oflaz, 2017. "Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), vol. 4(2), pages 1-16.
  35. Torre Cepeda Leonardo E. & Flores Segovia Miguel A., 2020. "Private Banking Credit and Economic Growth in Mexico: A State Level Panel Data Analysis 2005-2018," Working Papers 2020-17, Banco de México.
  36. Hiroshi Yamada & Ruoyi Bao, 2022. "$$\ell _{1}$$ ℓ 1 Common Trend Filtering," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1005-1025, March.
  37. Ali F. Darrat & Omar M. Benkato, 2003. "Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30, pages 1089-1114.
  38. Sei-Wan Kim & Moon Jung Choi, 2018. "Do Korean Exports Have Different Patterns over Different Regimes?: New Evidence from STAR-VECM," Working Papers 2018-30, Economic Research Institute, Bank of Korea.
  39. Lang, Dimut, 1999. "Die Geldmenge und ihre bilanziellen Gegenposten: Ein Vergleich zwischen wichtigen Ländern der Europäischen Währungsunion," Discussion Paper Series 1: Economic Studies 1999,01, Deutsche Bundesbank.
  40. P. J. Dawson & Ana I. Sanjuán, 2006. "Structural Breaks, the Export Enhancement Program and the Relationship between Canadian and US Hard Wheat Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 57(1), pages 101-116, March.
  41. Warsono Warsono & Edwin Russel & Almira Rizka Putri & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2020. "Dynamic Modeling Using Vector Error-correction Model: Studying the Relationship among Data Share Price of Energy PGAS Malaysia, AKRA, Indonesia, and PTT PCL-Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 360-373.
  42. Kunst, Robert M., 2005. "Approaches for the Joint Evaluation of Hypothesis Tests: Classical Testing, Bayes Testing, and Joint Confirmation," Economics Series 177, Institute for Advanced Studies.
  43. Ali Darrat & Ross Dickens & Osamah Al-Khazali, 2006. "Interactions between mortgage and other capital markets in the USA: has financial deregulation made a difference?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 335-345.
  44. Johnathan Mun & Richard Kish & Geraldo Vasconcellos, 2001. "The contrarian investment strategy: additional evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 11(6), pages 619-640.
  45. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
  46. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo.
  47. repec:bla:opecrv:v:33:y:2009:i:3-4:p:170-183 is not listed on IDEAS
  48. Chul-Yong Lee & Sung-Yoon Huh, 2017. "Technology Forecasting Using a Diffusion Model Incorporating Replacement Purchases," Sustainability, MDPI, vol. 9(6), pages 1-14, June.
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