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Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series
16 references·8 citing·34 second hop
Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series (1994)Residual-Based Tests for the Null of Stat…Interpreting Tests of the Convergence Hypothesis (1994)Interpreting Tests of the Con…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS* (1992)LM TESTS FOR A UNIT ROOT IN T…Integration Versus Trend Stationary in Time Series (1992)Integration Versus Trend Stat…An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)An Improved Heteroskedasticit…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Statistical Inference in Regressions with Integrated Processes: Part 2 (1989)Statistical Inference in Regr…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical Inference in Regressions with Integrated Processes: Part 1 (1988)Statistical Inference in Regr…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Time Series Regression with a Unit Root (1987)Time Series Regression with a…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypot…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Causal relation between interest and exchange rates in the Asian currency crisis (2007)Causal relation between inter…Panel Unit Root Tests: A Review (2006)Panel Unit Root Tests: A Revi…Non-stationarity Tests in Macroeconomic Time Series (2005)Non-stationarity Tests in Mac…STATIONARITY TESTING WITH COVARIATES (2004)STATIONARITY TESTING WITH COV…Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series (2003)Size and Power of Tests for S…Reducing size distortions of parametric stationarity tests (2003)Reducing size distortions of …Testing the null of stationarity for multiple time series (1999)Testing the null of stationar…Testing for Cointegration in a System of Equations (1995)Testing for Cointegration in …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)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 Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)On the mechanics of economic development (1988)Convergence in international output (1995)US Regional Income Convergence: A Spatial Econometric Perspective (1999)What have We Learnt from the Convergence Debate? (2003)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)Time Series Analysis: Forecasting and Control (1977)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)Efficient tests of stock return predictability☆ (2006)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)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)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Robust performance hypothesis testing with the Sharpe ratio (2008)Testing slope homogeneity in large panels with serial correlation (2013)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 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
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited
  • 1994Interpreting Tests of the Convergence Hypothesis1,084 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1992LM TESTS FOR A UNIT ROOT IN THE PRESENCE OF DETERMINISTIC TRENDS*832 cited
  • 1988Statistical Inference in Regressions with Integrated Processes: Part 1749 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited
  • 1989Statistical Inference in Regressions with Integrated Processes: Part 2521 cited
  • 1992Integration Versus Trend Stationary in Time Series

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504 cited
  • 1985Testing the Random Walk Hypothesis: Power versus Frequency of Observation475 cited
  • Cited by

    • 2006Panel Unit Root Tests: A Review70 cited
    • 1995Testing for Cointegration in a System of Equations42 cited
    • 2004STATIONARITY TESTING WITH COVARIATES37 cited
    • 1999Testing the null of stationarity for multiple time series32 cited
    • 2007Causal relation between interest and exchange rates in the Asian currency crisis25 cited
    • 2003Size and Power of Tests for Stationarity in Highly Autocorrelated Time Series20 cited
    • 2005Non-stationarity Tests in Macroeconomic Time Series16 cited
    • 2003Reducing size distortions of parametric stationarity tests14 cited