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Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models
7 references·16 citing·34 second hop
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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1986Unit Roots in Time Series Models: Tests and Implications460 cited
  • 1988Cointegration and Tests of Purchasing Power Parity354 cited

Cited by

  • 1995ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES174 cited
  • 2014Unit‐Root Tests126 cited
  • 2002Testing the Predictability of Stock Returns123 cited
  • 2001A REVIEW OF SYSTEMS COINTEGRATION TESTS110 cited
  • 1996Time-Series-Based Econometrics103 cited
  • 2005New Trends in Macroeconomics64 cited
  • 2006Are Spot Freight Rates Stationary?62 cited
  • 2006On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 197357 cited
  • 2006The KPSS test with two structural breaks

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57 cited
  • 2008Improving Size and Power in the Unit Root Testing57 cited
  • 1999Modified Stationarity Tests With Data-Dependent Model-Selection Rules55 cited
  • 1993Point Optimal Tests for Testing the Order of Differencing in ARIMA Models54 cited
  • 1994Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series50 cited
  • 2002Threshold Autoregressions for Strongly Autocorrelated Time Series49 cited
  • 1999Re-examining long-run purchasing power parity48 cited
  • 2003SOME LIMIT THEORY FOR AUTOCOVARIANCES WHOSE ORDER DEPENDS ON SAMPLE SIZE45 cited