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Spurious rejections by Dickey–Fuller tests in the presence of a break under the null
12 references·16 citing·34 second hop
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this work references cited by second hop

References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1996Monitoring the world economy, 1820-19922,413 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag502 cited
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  • 1996Cointegration for the Applied Economist260 cited
  • 1996Cointegration tests in the presence of structural breaks253 cited

Cited by

  • 2016Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis512 cited
  • 2010The Prebisch-Singer Hypothesis: Four Centuries of Evidence

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350 cited
  • 2004Modelling structural breaks, long memory and stock market volatility: an overview221 cited
  • 2021Does economic growth stimulate energy consumption? The role of human capital and R&D expenditures in China199 cited
  • 2007Commodity Prices and Unit Root Tests175 cited
  • 2020The importance of renewable energy consumption and FDI inflows in reducing environmental degradation: Bootstrap ARDL bound test in selected 9 countries174 cited
  • 2005Unit Root Tests under Time-Varying Variances149 cited
  • 2012Energy consumption and economic growth: Parametric and non-parametric causality testing for the case of Greece149 cited
  • 2001Markov Regime Switching and Unit-Root Tests134 cited
  • 2003Spurious rejections by cointegration tests induced by structural breaks132 cited
  • 2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*127 cited
  • 2002Unit root tests with a break in innovation variance123 cited
  • 2003Strong rules for detecting the number of breaks in a time series117 cited
  • 2016A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks113 cited
  • 2022Fiscal decentralization as new determinant of renewable energy demand in China: The role of income inequality and urbanization101 cited
  • 2004Unit roots and infrequent large shocks: new international evidence on output99 cited