-
1
-
-
0040453168
-
Unit root tests in the presence of uncertainty about the non-stochastic trend
-
Ayat, L. & P. Burridge (2000) Unit root tests in the presence of uncertainty about the non-stochastic trend. Journal of Econometrics 95, 71-96.
-
(2000)
Journal of Econometrics
, vol.95
, pp. 71-96
-
-
Ayat, L.1
Burridge, P.2
-
2
-
-
84963043564
-
On the theory of testing for unit roots in observed time series
-
Bhargave, A. (1986) On the theory of testing for unit roots in observed time series. Review of Economic Studies 53, 369-384.
-
(1986)
Review of Economic Studies
, vol.53
, pp. 369-384
-
-
Bhargave, A.1
-
3
-
-
25644451406
-
Powerful trend function tests that are robust to strong serial correlation with an application to the Prebisch-Singer hypothesis
-
Bunzel, H. & T.J. Vogelsang (2005) Powerful trend function tests that are robust to strong serial correlation with an application to the Prebisch-Singer hypothesis. Journal of Business & Economic Statistics 23, 381-394.
-
(2005)
Journal of Business & Economic Statistics
, vol.23
, pp. 381-394
-
-
Bunzel, H.1
Vogelsang, T.J.2
-
4
-
-
85066217893
-
On the asymptotics of ADF tests for unit roots
-
Chang, Y. & Y.J. Park (2002) On the asymptotics of ADF tests for unit roots. Econometric Reviews 21, 431-447.
-
(2002)
Econometric Reviews
, vol.21
, pp. 431-447
-
-
Chang, Y.1
Park, Y.J.2
-
5
-
-
85036258669
-
Distribution of the estimators for autoregressive time series with a unit root
-
Dickey, D.A. & W.A. Fuller (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.A.1
Fuller, W.A.2
-
6
-
-
0039519993
-
Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution
-
Elliott, G. (1999) Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. International Economic Review 40, 767-783.
-
(1999)
International Economic Review
, vol.40
, pp. 767-783
-
-
Elliott, G.1
-
7
-
-
33746814277
-
Minimizing the impact of the initial condition on testing for unit roots
-
Elliott, G. & U.K. M̈uller (2006) Minimizing the impact of the initial condition on testing for unit roots. Journal of Econometrics 135, 285-310.
-
(2006)
Journal of Econometrics
, vol.135
, pp. 285-310
-
-
Elliott, G.1
M̈uller, U.K.2
-
8
-
-
0030356207
-
Efficient tests for an autoregressive unit root
-
Elliott, G., T.J. Rothenberg, & J.H. Stock (1996) Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.
-
(1996)
Econometrica
, vol.64
, pp. 813-836
-
-
Elliott, G.1
Rothenberg, T.J.2
Stock, J.H.3
-
10
-
-
69249100287
-
-
Granger Centre Discussion paper 07/04, Granger Centre for Time Series Econometrics, University of Nottingham. Downloadable from
-
Harris, D., D.I. Harvey, S.J. Leybourne, & A.M.R. Taylor (2007) Testing for a Unit Root in the Presence of a Possible Break in Trend. Granger Centre Discussion paper 07/04, Granger Centre for Time Series Econometrics, University of Nottingham. Downloadable from http://www.nottingham.ac.uk/ economics/grangercentre/publications.htm.
-
(2007)
Testing for a Unit Root in the Presence of a Possible Break in Trend
-
-
Harris, D.1
Harvey, D.I.2
Leybourne, S.J.3
Taylor, A.M.R.4
-
11
-
-
33746827571
-
On testing for unit roots and the initial observation
-
Harvey, D.I. & S.J. Leybourne (2005) On testing for unit roots and the initial observation. Econometrics Journal 8, 97-111.
-
(2005)
Econometrics Journal
, vol.8
, pp. 97-111
-
-
Harvey, D.I.1
Leybourne, S.J.2
-
13
-
-
34848877449
-
A simple, robust and powerful test of the trend hypothesis
-
Harvey, D.I., S.J. Leybourne, & A.M.R. Taylor (2007) A simple, robust and powerful test of the trend hypothesis. Journal of Econometrics 141, 1302-1330.
-
(2007)
Journal of Econometrics
, vol.141
, pp. 1302-1330
-
-
Harvey, D.I.1
Leybourne, S.J.2
Taylor, A.M.R.3
-
14
-
-
69849105779
-
-
School of Economics, University of California, Berkeley. Downloadable from
-
Jansson, M. (2007) Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis. School of Economics, University of California, Berkeley. Downloadable from http://www.econ.berkeley.edu/~mjansson/Papers/ SemiparametricUnitRoot.pdf.
-
(2007)
Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
-
-
Jansson, M.1
-
15
-
-
34247480179
-
Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
-
Kwiatkowski, D., P.C.B. Phillips, P. Schmidt, & Y. Shin (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics 54, 159-178.
-
(1992)
Journal of Econometrics
, vol.54
, pp. 159-178
-
-
Kwiatkowski, D.1
Phillips, P.C.B.2
Schmidt, P.3
Shin, Y.4
-
16
-
-
34247570029
-
The available information for invariant tests of a unit root
-
Marsh, P. (2007) The available information for invariant tests of a unit root. Econometric Theory 23, 686-710.
-
(2007)
Econometric Theory
, vol.23
, pp. 686-710
-
-
Marsh, P.1
-
17
-
-
0141606779
-
Tests for unit roots and the initial condition
-
M̈uller, U.K. & G. Elliott (2003) Tests for unit roots and the initial condition. Econometrica 71, 1269-1286.
-
(2003)
Econometrica
, vol.71
, pp. 1269-1286
-
-
M̈uller, U.K.1
Elliott, G.2
-
18
-
-
84963002108
-
Automatic lag selection in covariance matrix estimation
-
Newey, W.K. & K.D. West (1994) Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631-653.
-
(1994)
Review of Economic Studies
, vol.61
, pp. 631-653
-
-
Newey, W.K.1
West, K.D.2
-
19
-
-
0000387132
-
Lag length selection and the construction of unit root tests with good size and power
-
Ng, S. & P. Perron (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554.
-
(2001)
Econometrica
, vol.69
, pp. 1519-1554
-
-
Ng, S.1
Perron, P.2
-
20
-
-
0000155426
-
Testing for unit roots and cointegration by variable addition
-
T. Fomby & F. Rhodes (eds.) Jai Press
-
Park, J.Y. (1990) Testing for unit roots and cointegration by variable addition. In T. Fomby & F. Rhodes (eds.), Advances in Econometrics: Cointegration, Spurious Regression and Unit Roots, pp. 107-133. Jai Press.
-
(1990)
Advances in Econometrics: Cointegration, Spurious Regression and Unit Roots
, pp. 107-133
-
-
Park, J.Y.1
-
22
-
-
33845475207
-
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
-
Perron, P. & Z. Qu (2007) A simple modification to improve the finite sample properties of Ng and Perron's unit root tests. Economics Letters 94, 12-19.
-
(2007)
Economics Letters
, vol.94
, pp. 12-19
-
-
Perron, P.1
Qu, Z.2
-
23
-
-
0000308535
-
Time series regression with a unit root
-
Phillips, P.C.B. (1987a) Time series regression with a unit root. Econometrica 55, 277-301.
-
(1987)
Econometrica
, vol.55
, pp. 277-301
-
-
Phillips, P.C.B.1
-
24
-
-
77956890713
-
Towards a unified asymptotic theory for autoregression
-
Phillips, P.C.B. (1987b) Towards a unified asymptotic theory for autoregression. Biometrika 74, 535-547.
-
(1987)
Biometrika
, vol.74
, pp. 535-547
-
-
Phillips, P.C.B.1
-
25
-
-
84986414355
-
To criticize the critics: An objective Bayesian analysis of stochastic trends
-
Phillips, P.C.B. (1991a) To criticize the critics: An objective Bayesian analysis of stochastic trends. Journal of Applied Econometrics 6, 333-364.
-
(1991)
Journal of Applied Econometrics
, vol.6
, pp. 333-364
-
-
Phillips, P.C.B.1
-
26
-
-
84986376784
-
Bayesian routes and unit roots: De rebus prioribus semper est disputandum
-
Phillips, P.C.B. (1991b) Bayesian routes and unit roots: De rebus prioribus semper est disputandum. Journal of Applied Econometrics 6, 435-473.
-
(1991)
Journal of Applied Econometrics
, vol.6
, pp. 435-473
-
-
Phillips, P.C.B.1
-
27
-
-
0000245909
-
New tools for understanding spurious regressions
-
Phillips, P.C.B. (1998) New tools for understanding spurious regressions. Econometrica 66, 1299-1326.
-
(1998)
Econometrica
, vol.66
, pp. 1299-1326
-
-
Phillips, P.C.B.1
-
28
-
-
77956888124
-
Testing for a unit root in time series regression
-
Phillips, P.C.B. & P. Perron (1988) Testing for a unit root in time series regression. Biometrika 75, 335-346.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
29
-
-
84939893867
-
Posterior odds testing for a unit root with data-based model selection
-
Phillips, P.C.B. & W. Ploberger (1994) Posterior odds testing for a unit root with data-based model selection. Econometric Theory 10, 774-808.
-
(1994)
Econometric Theory
, vol.10
, pp. 774-808
-
-
Phillips, P.C.B.1
Ploberger, W.2
-
32
-
-
19044371729
-
Testing for unit roots in autoregressive-moving average models of unknown order
-
Said, S.E. & D.A. Dickey (1984) Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika 71, 599-608.
-
(1984)
Biometrika
, vol.71
, pp. 599-608
-
-
Said, S.E.1
Dickey, D.A.2
-
34
-
-
0001760867
-
Trend function hypothesis testing in the presence of serial correlation
-
Vogelsang, T.J. (1998) Trend function hypothesis testing in the presence of serial correlation. Econometrica 66, 123-148.
-
(1998)
Econometrica
, vol.66
, pp. 123-148
-
-
Vogelsang, T.J.1
-
35
-
-
0003243160
-
Asymptotic normality, when regressors have a unit root
-
West, K.D. (1988) Asymptotic normality, when regressors have a unit root. Econometrica 56, 1397-1417.
-
(1988)
Econometrica
, vol.56
, pp. 1397-1417
-
-
West, K.D.1
-
36
-
-
0002168393
-
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
-
Xiao, Z. & P.C.B. Phillips (1998) An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy. Econometrics Journal 1, 27-43.
-
(1998)
Econometrics Journal
, vol.1
, pp. 27-43
-
-
Xiao, Z.1
Phillips, P.C.B.2
|