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MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY
16 references·9 citing·34 second hop
MONITORING PROCEDURES TO DETECT UNIT ROOTS AND STATIONARITY (2007)MONITORING PROCEDURES TO DETECT UNIT ROOT…The Cusum Test for Parameter Change in Time Series Models (2003)The Cusum Test for Parameter …TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME (2002)TESTING FOR A UNIT ROOT IN A …Rescaled variance and related tests for long memory in volatility and levels (2002)Rescaled variance and related…Nonparametric tests for unit roots and cointegration (2002)Nonparametric tests for unit …Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Testing For and Dating Common Breaks in Multivariate Time Series (1998)Testing For and Dating Common…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…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations (1991)Weak Limit Theorems for Stoch…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …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…Unit roots, structural breaks and trends (1986)Unit roots, structural breaks…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET (2021)SEQUENTIAL MONITORING OF CHAN…Monitoring memory parameter change-points in long-memory time series (2020)Monitoring memory parameter c…Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis (2017)Consistent Monitoring of Coin…Sieve bootstrap monitoring persistence change in long memory process (2015)Sieve bootstrap monitoring pe…Nonparametric Sequential Signal Change Detection Under Dependent Noise (2013)Nonparametric Sequential Sign…Monitoring change in persistence in linear time series (2010)Monitoring change in persiste…A surveillance procedure for random walks based on local linear estimation (2010)A surveillance procedure for …Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models (2008)Sequentially Updated Residual…Weighted Dickey–Fuller processes for detecting stationarity (2007)Weighted Dickey–Fuller proces…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)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)On the Convergence of Ordinary Integrals to Stochastic Integrals (1965)Stochastic Differential Equations and Diffusion Processes (1983)Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Nonlinear Regressions with Integrated Time Series (2001)A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries (2008)Stochastic Integration and Differential Equations : A New Approach (2014)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Exploring the international linkages of the euro area: a global VAR analysis (2007)Modelling Nonlinear Economic Time Series (2010)CO2 emissions, output, energy consumption, and trade in Tunisia (2014)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)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)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
  • 2002Nonparametric tests for unit roots and cointegration454 cited
  • 1986Unit roots, structural breaks and trends438 cited
  • 1998Testing For and Dating Common Breaks in Multivariate Time Series434 cited
  • 1997Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate340 cited
  • 2002Rescaled variance and related tests for long memory in volatility and levels301 cited
  • 2002

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TESTING FOR A UNIT ROOT IN A TIME SERIES WITH A LEVEL SHIFT AT UNKNOWN TIME
280 cited
  • 2003The Cusum Test for Parameter Change in Time Series Models222 cited
  • Cited by

    • 2021SEQUENTIAL MONITORING OF CHANGES IN DYNAMIC LINEAR MODELS, APPLIED TO THE U.S. HOUSING MARKET18 cited
    • 2010Monitoring change in persistence in linear time series18 cited
    • 2013Nonparametric Sequential Signal Change Detection Under Dependent Noise16 cited
    • 2007Weighted Dickey–Fuller processes for detecting stationarity16 cited
    • 2017Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis13 cited
    • 2020Monitoring memory parameter change-points in long-memory time series11 cited
    • 2015Sieve bootstrap monitoring persistence change in long memory process10 cited
    • 2008Sequentially Updated Residuals and Detection of Stationary Errors in Polynomial Regression Models9 cited
    • 2010A surveillance procedure for random walks based on local linear estimation8 cited