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Near Observational Equivalence and Theoretical size Problems with Unit Root Tests
12 references·14 citing·31 second hop
Near Observational Equivalence and Theoretical size Problems with Unit Root Tests (1996)Near Observational Equivalence and Theore…Critical Values for Cointegration Tests (2010)Critical Values for Cointegra…Long-Run Economic Relationships: Readings in Cointegration. (1993)Long-Run Economic Relationshi…The relationship between power and level for generic unit root tests in finite samples (1992)The relationship between powe…NBER Macroeconomics Annual 1990 (1992)NBER Macroeconomics Annual 19…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegra…A critique of the application of unit root tests (1991)A critique of the application…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…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Kurs złoty/euro: teoria i empiria (2013)Kurs złoty/euro: teoria i emp…Real interest rate persistence in South Africa: evidence and implications (2012)Real interest rate persistenc…When is a Time‐Series I(0)?* (2009)When is a Time‐Series I(0)?*Real Interest Rate Persistence: Evidence and Implications (2009)Real Interest Rate Persistenc…THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES (2008)THE IMPOSSIBILITY OF CONSISTE…Real Interest Rate Persistence: Evidence and Implications (2008)Real Interest Rate Persistenc…Testing Covariance Stationarity (2007)Testing Covariance Stationari…Finite-sample simulation-based inference in VAR models with application to Granger causality testing (2005)Finite-sample simulation-base…Are Structural VARs Useful Guides for Developing Business Cycle Theories (2005)Are Structural VARs Useful Gu…PPP May not Hold Afterall: A Further Investigation (2002)PPP May not Hold Afterall: A …Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875–1993 (2001)Trend-stationarity, differenc…Estimating and testing rational expectations models when the trend specification is uncertain (2001)Estimating and testing ration…Long-Run PPP May Not Hold after All (1999)Long-Run PPP May Not Hold aft…Monetary Shocks and Real Exchange Rates (1998)Monetary Shocks and Real Exch…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)THE POWER OF COINTEGRATION TESTS (1992)Numerical distribution functions for unit root and cointegration tests (1996)Residual-based tests for cointegration in models with regime shifts (1996)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)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)Testing for unit roots in heterogeneous panels (2003)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Assessing Specification Errors in Stochastic Discount Factor Models (1997)CO2 emissions, electricity consumption and output in ASEAN (2010)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Why Does Stock Market Volatility Change Over Time? (1989)Estimating long-run relationships from dynamic heterogeneous panels (1995)The behavior of real exchange rates during the post-Bretton Woods period (1998)Tourism expansion and economic development: The case of Taiwan (2005)Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? (1997)The Long-Run Evolution of Energy Prices (1999)
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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
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 2010Critical Values for Cointegration Tests2,569 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1993Long-Run Economic Relationships: Readings in Cointegration.925 cited
  • 1991Critical Values for Cointegratio11 Tests*762 cited
  • 1992NBER Macroeconomics Annual 1990692 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation635 cited
  • 1991A critique of the application of unit root tests313 cited
  • 1992The relationship between power and level for generic unit root tests in finite samples169 cited

Cited by

  • 1999Long-Run PPP May Not Hold after All48 cited
  • 2001Estimating and testing rational expectations models when the trend specification is uncertain46 cited
  • 2008THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES

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42 cited
  • 2005Finite-sample simulation-based inference in VAR models with application to Granger causality testing28 cited
  • 2005Are Structural VARs Useful Guides for Developing Business Cycle Theories27 cited
  • 2007Testing Covariance Stationarity26 cited
  • 2001Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875–199325 cited
  • 2008Real Interest Rate Persistence: Evidence and Implications24 cited
  • 2002PPP May not Hold Afterall: A Further Investigation23 cited
  • 2009When is a Time‐Series I(0)?*22 cited
  • 2009Real Interest Rate Persistence: Evidence and Implications22 cited
  • 2013Kurs złoty/euro: teoria i empiria20 cited
  • 1998Monetary Shocks and Real Exchange Rates16 cited
  • 2012Real interest rate persistence in South Africa: evidence and implications14 cited