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Volumn 41, Issue 11, 2009, Pages 1397-1404

Unit root testing against an ST-MTAR alternative: Finite-sample properties and an application to the UK housing market

Author keywords

[No Author keywords available]

Indexed keywords

HOUSING MARKET; HYPOTHESIS TESTING; MONTE CARLO ANALYSIS; NUMERICAL MODEL;

EID: 67650318721     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036840601019331     Document Type: Article
Times cited : (31)

References (17)
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  • 2
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    • The properties of asymmetric unit root tests in the presence of mis-specified asymmetry
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  • 3
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    • (2003) Urban Studies , vol.40 , pp. 2285-2294
    • Cook, S.1
  • 4
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    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D. and Fuller, W. (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, pp. 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.2
  • 5
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott, G., Rothenberg, T. and Stock, J. (1996) Efficient tests for an autoregressive unit root. Econometrica, 64, pp. 813-836.
    • (1996) Econometrica , vol.64 , pp. 813-836
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  • 6
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    • (1998) Journal of Business and Economic Statistics , vol.16 , pp. 304-311
    • Enders, W.1    Granger, C.W.J.2
  • 8
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    • Cointegration and error correction: Representation, estimation and testing
    • Engle, R. and Granger, C. (1987) Cointegration and error correction: representation, estimation and testing. Econometrica, 55, pp. 251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.1    Granger, C.2
  • 10
    • 84890663370 scopus 로고    scopus 로고
    • Princeton University Press, Princeton
    • Hayashi, F. (2000) Econometrics, Princeton University Press, Princeton
    • (2000) Econometrics
    • Hayashi, F.1
  • 12
    • 0033427734 scopus 로고    scopus 로고
    • Regional house prices and the ripple effect: A new interpretation
    • Meen, G. (1999) Regional house prices and the ripple effect: A new interpretation. Housing Studies, 14, pp. 733-753.
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    • Meen, G.1
  • 13
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    • The great crash, the oil price shock and the unit root hypothesis
    • Perron, P. (1989) The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57, pp. 1361-1401.
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    • Perron, P.1
  • 15
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    • Asymmetric adjustment and smooth transitions: A combination of some unit root tests
    • Sollis, R. (2004) Asymmetric adjustment and smooth transitions: A combination of some unit root tests. Journal of Time Series Analysis, 25, pp. 409-417.
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  • 16
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  • 17
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    • Zivot, E.1    Andrews, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.