메뉴 건너뛰기




Volumn 61, Issue 4, 1999, Pages 583-595

Unit root testing using covariates: Some theory and evidence

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040439232     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.00145     Document Type: Article
Times cited : (18)

References (24)
  • 1
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D. W. K. (1991). 'Heteroskedasticity and autocorrelation consistent covariance matrix estimation', Econometrica, Vol. 59, pp. 817-58.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 2
    • 0000335893 scopus 로고    scopus 로고
    • Error. Correction mechanism tests for cointegration in single-equation framework
    • Banerjee, A., Dolado, J. J. and Mestre, R. (1998). 'Error. Correction mechanism tests for cointegration in single-equation framework', Journal of Time Series Analysis, Vol. 19, pp. 267-84.
    • (1998) Journal of Time Series Analysis , vol.19 , pp. 267-284
    • Banerjee, A.1    Dolado, J.J.2    Mestre, R.3
  • 5
    • 0001397560 scopus 로고
    • Pitfalls and opportunities: What macroeconomists should know about unit roots
    • Campbell, J. Y. and Perron, P. (1991). 'Pitfalls and opportunities: what macroeconomists should know about unit roots', NBER Macroeconomics Annual, pp. 141-201.
    • (1991) NBER Macroeconomics Annual , pp. 141-201
    • Campbell, J.Y.1    Perron, P.2
  • 9
    • 0039803054 scopus 로고
    • On the existence and interpretation of a "unit root" in US GNP
    • De Long, J. B. and Summers, L. H. (1988). 'On the existence and interpretation of a "unit root" in US GNP', NBER W.P. no. 2716.
    • (1988) NBER W.P. No. 2716 , vol.2716
    • De Long, J.B.1    Summers, L.H.2
  • 11
    • 21844494241 scopus 로고
    • Rethinking the univariate approach to unit root testing -using covariates to increase power
    • Hansen, B. E. (1995). 'Rethinking the univariate approach to unit root testing -Using covariates to increase power', Econometric Theory, Vol. 11, pp. 1148-71.
    • (1995) Econometric Theory , vol.11 , pp. 1148-1171
    • Hansen, B.E.1
  • 12
    • 84974082784 scopus 로고
    • Testing for cointegration when some of the cointegrating vectors are prespecified
    • Horvath, M. T. K. and Watson, M. W. (1995). 'Testing for cointegration when some of the cointegrating vectors are prespecified', Econometric Theory, Vol. 11, pp. 984-1014.
    • (1995) Econometric Theory , vol.11 , pp. 984-1014
    • Horvath, M.T.K.1    Watson, M.W.2
  • 13
    • 84981573691 scopus 로고
    • The power of cointegration tests
    • Kremers, J. J. M., Ericsson, N. R. and Dolado, J. J. (1992). 'The power of cointegration tests', BULLETIN, Vol. 54, pp. 325-48.
    • (1992) BULLETIN , vol.54 , pp. 325-348
    • Kremers, J.J.M.1    Ericsson, N.R.2    Dolado, J.J.3
  • 14
    • 0040989615 scopus 로고
    • Unit roots in macroeconomic time series: Some critical issues
    • McCallum, B. T. (1993). 'Unit roots in macroeconomic time series: some critical issues', NBER W.P. no. 4368.
    • (1993) NBER W.P. No. 4368 , vol.4368
    • McCallum, B.T.1
  • 15
    • 0001397560 scopus 로고
    • Comment on "pitfalls and opportunites: What macroeconomists should know about unit roots"
    • Miron, J. A. (1991). 'Comment on "Pitfalls and opportunites: what macroeconomists should know about unit roots"', NBER Macroeconomics Annual, pp. 211-19.
    • (1991) NBER Macroeconomics Annual , pp. 211-219
    • Miron, J.A.1
  • 16
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series: Some evidence and implications
    • Nelson, C. and Plosser, C. (1982). 'Trends and random walks in macroeconomic time series: some evidence and implications', Journal of Monetary Economics, Vol. 10, pp. 139-62.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.1    Plosser, C.2
  • 19
    • 0001165719 scopus 로고
    • The uncertain unit root in real GNP
    • Rudebusch, G. D. (1993). 'The uncertain unit root in real GNP', American Economic Review, Vol. 83, pp. 264-72.
    • (1993) American Economic Review , vol.83 , pp. 264-272
    • Rudebusch, G.D.1
  • 20
    • 0040526854 scopus 로고
    • Unit roots and their dependence on the conditioning information set
    • Spanos, A. (1990). 'Unit roots and their dependence on the conditioning information set', Advances in Econometrics, Vol. 8, pp. 271-92.
    • (1990) Advances in Econometrics , vol.8 , pp. 271-292
    • Spanos, A.1
  • 21
    • 0039925680 scopus 로고
    • Confidence intervals for the largest autoregressive root in US macroeconomic time series
    • Stock, J. H. (1991). 'Confidence intervals for the largest autoregressive root in US macroeconomic time series', Journal of Monetary Economics, Vol. 28, pp. 435-59.
    • (1991) Journal of Monetary Economics , vol.28 , pp. 435-459
    • Stock, J.H.1
  • 22
    • 70350105390 scopus 로고
    • Unit roots, structural breaks and trends
    • Engle, R. F. and McFadden, D. L. (eds.), chapter 46, Elsevier, Amsterdam
    • Stock, J. H. (1994). 'Unit roots, structural breaks and trends', in Engle, R. F. and McFadden, D. L. (eds.), Handbook of Econometrics, Vol. 4, chapter 46, pp. 2379-841, Elsevier, Amsterdam.
    • (1994) Handbook of Econometrics , vol.4 , pp. 2379-2841
    • Stock, J.H.1
  • 23
    • 0000167804 scopus 로고
    • On the interpretation of near random walk behavior in GNP
    • West, K. D. (1988). 'On the interpretation of near random walk behavior in GNP', American Economic Review, Vol. 778, pp. 202-08.
    • (1988) American Economic Review , vol.778 , pp. 202-208
    • West, K.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.