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A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
16 references·4 citing·36 second hop
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS (2006)A TEST FOR STATIONARITY VERSUS TRENDS AND…Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Exact Local Whittle Estimation of Fractional \nIntegration (2002)Exact Local Whittle Estimatio…Unit Roots, Cointegration, and Structural Change (1999)Unit Roots, Cointegration, an…On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)On the power of the KPSS test…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The power problems of unit root test in time series with autoregressive errors (1992)The power problems of unit ro…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…On the power of Dickey-Fuller tests against fractional alternatives (1991)On the power of Dickey-Fuller…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Testing for strict stationarity in a random coefficient autoregressive model (2020)Testing for strict stationari…Testing for Fractional Integration Versus Short Memory with Structural Breaks* (2011)Testing for Fractional Integr…A Test Against Spurious Long Memory (2010)A Test Against Spurious Long …Simple (but effective) tests of long memory versus structural breaks (2006)Simple (but effective) tests …Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)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)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Financial development and economic growth: evidence from panel unit root and cointegration tests (2003)International Technology Diffusion (2004)Energy consumption, income, and carbon emissions in the United States (2006)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1999Unit Roots, Cointegration, and Structural Change1,842 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2002Exact Local Whittle Estimation of Fractional \nIntegration518 cited
  • 1991On the power of Dickey-Fuller tests against fractional alternatives511 cited
  • 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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425 cited
  • 1992The power problems of unit root test in time series with autoregressive errors419 cited
  • Cited by

    • 2010A Test Against Spurious Long Memory135 cited
    • 2006Simple (but effective) tests of long memory versus structural breaks76 cited
    • 2011Testing for Fractional Integration Versus Short Memory with Structural Breaks*23 cited
    • 2020Testing for strict stationarity in a random coefficient autoregressive model17 cited