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Point Optimal Tests for Testing the Order of Differencing in ARIMA Models
8 references·10 citing·32 second hop
Point Optimal Tests for Testing the Order of Differencing in ARIMA Models (1993)Point Optimal Tests for Testing the Order…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models (1993)Testing for a Moving Average …Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Testing for a Moving Average Unit Root (1990)Testing for a Moving Average …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…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Low-frequency robust cointegration testing (2013)Low-frequency robust cointegr…Reducing the size distortion of the KPSS test (2010)Reducing the size distortion …Estimation and testing of Euler equation models with time-varying reduced-form coefficients (2007)Estimation and testing of Eul…A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend (2006)A comparison of alternative a…STATIONARITY TESTING WITH COVARIATES (2004)STATIONARITY TESTING WITH COV…Point optimal tests of the null hypothesis of cointegration (2004)Point optimal tests of the nu…EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS (2004)EFFICIENT LIKELIHOOD INFERENC…POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS (2003)POWER FUNCTIONS AND ENVELOPES…Re-examining long-run purchasing power parity (1999)Re-examining long-run purchas…SOME SIMPLE TESTS OF THE MOVING‐AVERAGE UNIT ROOT HYPOTHESIS (1994)SOME SIMPLE TESTS OF THE MOVI…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Estimation of linear trend onset in time series (2011)Inference on a Structural Break in Trend with Fractionally Integrated Errors (2016)Continuous record Laplace-based inference about the break date in structural change models (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES (1995)Testing the Predictability of Stock Returns (2002)Unit‐Root Tests (2014)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the purchasing power parity in panel data (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan (2005)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)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Determining the Number of Factors in Approximate Factor Models (2002)A PANIC Attack on Unit Roots and Cointegration (2004)American Economic Review (2019)Time-Series-Based Econometrics (1996)On stationary tests in the presence of structural breaks (1997)New Trends in Macroeconomics (2005)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Why Does Stock Market Volatility Change Over Time? (1989)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 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 Investigation635 cited
  • 1993Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models136 cited
  • 1990Testing for a Moving Average Unit Root129 cited

Cited by

  • 1999Re-examining long-run purchasing power parity48 cited
  • 2006A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend41 cited
  • 2004EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS38 cited
  • 2004STATIONARITY TESTING WITH COVARIATES37 cited
  • 2013Low-frequency robust cointegration testing27 cited
  • 2004Point optimal tests of the null hypothesis of cointegration26 cited
  • 1994SOME SIMPLE TESTS OF THE MOVING‐AVERAGE UNIT ROOT HYPOTHESIS25 cited

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2003
POWER FUNCTIONS AND ENVELOPES FOR UNIT ROOT TESTS
19 cited
  • 2010Reducing the size distortion of the KPSS test17 cited
  • 2007Estimation and testing of Euler equation models with time-varying reduced-form coefficients12 cited