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The finite-sample performance of robust unit root tests
16 references·0 citing·24 second hop
The finite-sample performance of robust unit root tests (2003)The finite-sample performance of robust u…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers (1999)Two Simple Procedures for Tes…On the distributions of Augmented Dickey–Fuller statistics in processes with moving average components (1999)On the distributions of Augme…Distribution theory for unit root tests with conditional heteroskedasticity (1999)Distribution theory for unit …Inference in a nearly integrated autoregressive model with nonnormal innovations (1997)Inference in a nearly integra…Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties (1996)Useful Modifications to some …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors (1996)Asymptotic Theory of LAD Esti…Unit Root Tests Based on M Estimators (1995)Unit Root Tests Based on M Es…The Effects of Additive Outliers on Tests for Unit Roots and Cointegration (1994)The Effects of Additive Outli…A Comparison of Unit-Root Test Criteria (1994)A Comparison of Unit-Root Tes…Unit root tests with conditional heteroskedasticity (1993)Unit root tests with conditio…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Tests For Unit Roots: A Monte Carlo Investigation (1988)Tests For Unit Roots: A Monte…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Common Persistence in Conditional Variances (1993)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Modelling Electricity Prices: International Evidence* (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Numerical distribution functions for unit root and cointegration tests (1996)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)A simple panel unit root test in the presence of cross‐section dependence (2007)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The Macroeconomic Effects of Inflation Targeting (2004)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Determining the Number of Factors in Approximate Factor Models (2002)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Unit root tests for panel data (2001)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)International Technology Diffusion (2004)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2005)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,420 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,279 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,846 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,263 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation1,234 cited
  • 1996Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties590 cited
  • 1994A Comparison of Unit-Root Test Criteria447 cited
  • 1994The Effects of Additive Outliers on Tests for Unit Roots and Cointegration240 cited
  • 1993Unit root tests with conditional heteroskedasticity166 cited
  • 1999Distribution theory for unit root tests with conditional heteroskedasticity123 cited
  • 1999Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers104 cited
  • 1995Unit Root Tests Based on M Estimators98 cited
  • 1996Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors79 cited
  • 1997Inference in a nearly integrated autoregressive model with nonnormal innovations

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70 cited
  • 1999On the distributions of Augmented Dickey–Fuller statistics in processes with moving average components36 cited
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