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Variance ratio tests of the seasonal unit root hypothesis
16 references·3 citing·34 second hop
Variance ratio tests of the seasonal unit root hypothesis (2004)Variance ratio tests of the seasonal unit…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Issues Involved With the Seasonal Adjustment of Economic Time Series (2002)Issues Involved With the Seas…Rank Tests for Nonlinear Cointegration (2001)Rank Tests for Nonlinear Coin…Trend Function Hypothesis Testing in the Presence of Serial Correlation (1998)Trend Function Hypothesis Tes…Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate (1997)Testing the unit root with dr…Nonparametric cointegration analysis (1997)Nonparametric cointegration a…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability (1995)Are Seasonal Patterns Constan…Seasonal unit roots in aggregate U.S. data (1993)Seasonal unit roots in aggreg…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…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? (1991)Testing the Null Hypothesis o…Seasonal integration and cointegration (1990)Seasonal integration and coin…Regression Theory for Near-Integrated Time Series (1988)Regression Theory for Near-In…Multiple Time Series Regression with Integrated Processes (1986)Multiple Time Series Regressi…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests (2014)The Performance of Lag Select…ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS (2012)ON AUGMENTED HEGY TESTS FOR S…A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC (2009)A POWERFUL TEST OF THE AUTORE…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)Testing for a Unit Root in Time Series Regression (1988)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)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Statistical analysis of cointegration vectors (1988)New Simple Tests for Panel Cointegration (2005)Unit Roots and Cointegration in Panels (2008)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Testing for a Unit Root (1993)Dynamic Econometrics (1995)Time Series Regression with a Unit Root (1987)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Trends and random walks in macroeconmic time series (1982)Long memory processes and fractional integration in econometrics (1996)Energy consumption, income, and carbon emissions in the United States (2006)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)Debt, deficits, and inflation: An application to the public finances of India (1992)Structural Nonparametric Cointegrating Regression (2009)Robust Bond Risk Premia (2017)Chapter 46 Unit roots, structural breaks and trends (1994)An analysis of the international tourism demand in Spain (1995)Forecasting city arrivals with Google Analytics (2016)
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References

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  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1991Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?1,589 cited
  • 1990Seasonal integration and cointegration1,475 cited
  • 1986Multiple Time Series Regression with Integrated Processes837 cited
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  • 1993Seasonal unit roots in aggregate U.S. data422 cited
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  • 1998Trend Function Hypothesis Testing in the Presence of Serial Correlation302 cited
  • 1995Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability275 cited
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1997
Nonparametric cointegration analysis
202 cited
  • 2001Rank Tests for Nonlinear Cointegration155 cited
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    • 2009A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC23 cited
    • 2012ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS20 cited
    • 2014The Performance of Lag Selection and Detrending Methods for HEGY Seasonal Unit Root Tests18 cited