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How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes?
16 references·10 citing·37 second hop
How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? (2007)How useful are tests for unit‐root in dis…International Economic Review (2010)International Economic ReviewJournal of Applied Econometrics (2006)Journal of Applied Econometri…Testing for a unit root in the nonlinear STAR framework (2002)Testing for a unit root in th…Threshold Autoregression with a Unit Root (2001)Threshold Autoregression with…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …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…The Review of Economics and Statistics (1997)The Review of Economics and S…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Journal of the American Statistical Association (1995)Journal of the American Stati…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Journal of international money and finance (1988)Journal of international mone…Journal of monetary economics (1987)Journal of monetary economicsThe Long-Run Relationship Between Foreign Aid And Labor Productivity In Sierra Leone (2017)The Long-Run Relationship Bet…Testing for a unit root in a nonlinear quantile autoregression framework (2016)Testing for a unit root in a …TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016)TESTING FOR A UNIT ROOT AGAIN…Real interest rates: nonlinearity and structural breaks (2016)Real interest rates: nonlinea…Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries (2013)Nonlinear convergence in Asia…Crisis, Capital Controls, and Covered Interest Parity: Evidence from China in Transformation (2012)Crisis, Capital Controls, and…Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production (2012)Are fluctuations in energy va…What do we know about real exchange rate nonlinearities? (2011)What do we know about real ex…Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion (2010)Three‐Regime Asymmetric STAR …Non-linear Co-integration between Nominal Interest Rates and Inflation: An Examination of the Fisher Hypothesis for Asian Countries (2009)Non-linear Co-integration bet…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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Testing for a unit root in variables with a double change in the mean (1998)Testing for unit roots in heterogeneous panels (2003)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks* (2011)The flexible Fourier form and Dickey–Fuller type unit root tests (2012)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for Error Correction in Panel Data* (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Moving to Opportunity in Boston: Early Results of a Randomized Mobility Experiment (2001)Multilevel analyses of neighbourhood socioeconomic context and health outcomes: a critical review: Table 1 (2001)The Relationship Between Education and Adult Mortality in the United States (2004)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Effect of Fixed Exchange Rates on Monetary Policy (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)The Mechanism(s) of Neighbourhood Effects: Theory, Evidence, and Policy Implications (2011)Performance in Competitive Environments: Gender Differences (2003)The Labor Demand Curve is Downward Sloping: Reexamining the Impact of Immigration on the Labor Market (2003)Employment Fluctuations with Equilibrium Wage Stickiness (2005)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1995Journal of the American Statistical Association5,337 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 2002Testing for a unit root in the nonlinear STAR framework1,567 cited
  • 1997The Review of Economics and Statistics1,541 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates1,203 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 2006Journal of Applied Econometrics979 cited
  • 2010International Economic Review911 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1987Journal of monetary economics779 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
  • 1988Journal of international money and finance704 cited
  • Cited by

    • 2012Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production122 cited
    • 2016TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS58 cited
    • 2016Testing for a unit root in a nonlinear quantile autoregression framework46 cited
    • 2016Real interest rates: nonlinearity and structural breaks31 cited
    • 2012Crisis, Capital Controls, and Covered Interest Parity: Evidence from China in Transformation29 cited
    • 2009Non-linear Co-integration between Nominal Interest Rates and Inflation: An Examination of the Fisher Hypothesis for Asian Countries18 cited
    • 2011What do we know about real exchange rate nonlinearities?18 cited
    • 2010Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion17 cited
    • 2013Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries16 cited
    • 2017The Long-Run Relationship Between Foreign Aid And Labor Productivity In Sierra Leone3 cited