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Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
16 references·16 citing·31 second hopsampled
Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship (2004)Tests for Unit-Root versus Threshold Spec…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Threshold Autoregression with a Unit Root (2001)Threshold Autoregression with…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates (1998)Unit-Root Tests and Asymmetri…Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Threshold Cointegration (1997)Threshold CointegrationNonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Nonlinear Aspects of Goods-Ma…Foundations of International Macroeconomics (1997)Foundations of International …The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Pricing to Market when the Exchange Rate Changes (1986)Pricing to Market when the Ex…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Theoretical Notes on Trade Problems (1964)Theoretical Notes on Trade Pr…The Purchasing-Power Parity Doctrine: A Reappraisal (1964)The Purchasing-Power Parity D…The purchasing power parity and exchange‐rate economics half a century on (2022)The purchasing power parity a…Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments (2021)Can clean energy stock price …Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model (2017)Dynamics of crude oil and gol…TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016)TESTING FOR A UNIT ROOT AGAIN…Testing for a unit root in a stationary ESTAR process (2011)Testing for a unit root in a …Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models (2011)Evaluating the carbon-macroec…A review of threshold time series models in finance (2011)A review of threshold time se…Pairwise Tests of Purchasing Power Parity (2009)Pairwise Tests of Purchasing …An Introduction to Regime Switching Time Series Models (2009)An Introduction to Regime Swi…The ACR Model: A Multivariate Dynamic Mixture Autoregression* (2008)The ACR Model: A Multivariate…Real Interest Rate Persistence: Evidence and Implications (2008)Real Interest Rate Persistenc…Testing for time series linearity (2007)Testing for time series linea…Adaptive consistent unit-root tests based on autoregressive threshold model (2007)Adaptive consistent unit-root…Unit root tests in three‐regime SETAR models (2006)Unit root tests in three‐regi…STOCHASTIC UNIT ROOT MODELS (2006)STOCHASTIC UNIT ROOT MODELSVector equilibrium correction models with non‐linear discontinuous adjustments (2004)Vector equilibrium correction…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Trends and random walks in macroeconmic time series (1982)Testing for Common Trends (1988)Cointegration and Threshold Adjustment (2001)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)Asymmetric Price Transmission: A Survey (2004)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)Was Weber Wrong? 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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1964The Purchasing-Power Parity Doctrine: A Reappraisal3,198 cited
  • 1997Foundations of International Macroeconomics2,980 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1964Theoretical Notes on Trade Problems2,449 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?1,182 cited
  • 1986Pricing to Market when the Exchange Rate Changes1,052 cited
  • 1997Threshold Cointegration1,042 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 2001Threshold Autoregression with a Unit Root

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707 cited
  • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited
  • Cited by

    • 2006Unit root tests in three‐regime SETAR models138 cited
    • 2007Testing for time series linearity133 cited
    • 2004Vector equilibrium correction models with non‐linear discontinuous adjustments104 cited
    • 2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model101 cited
    • 2021Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments89 cited
    • 2011Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models72 cited
    • 2009Pairwise Tests of Purchasing Power Parity71 cited
    • 2008The ACR Model: A Multivariate Dynamic Mixture Autoregression*70 cited
    • 2008Real Interest Rate Persistence: Evidence and Implications65 cited
    • 2011A review of threshold time series models in finance63 cited
    • 2016TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS58 cited
    • 2007Adaptive consistent unit-root tests based on autoregressive threshold model51 cited
    • 2011Testing for a unit root in a stationary ESTAR process50 cited
    • 2006STOCHASTIC UNIT ROOT MODELS50 cited
    • 2009An Introduction to Regime Switching Time Series Models41 cited
    • 2022The purchasing power parity and exchange‐rate economics half a century on40 cited