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The relationship between power and level for generic unit root tests in finite samples
13 references·16 citing·28 second hop
The relationship between power and level for generic unit root tests in finite samples (1992)The relationship between power and level …Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…A critique of the application of unit root tests (1991)A critique of the application…Unit roots in real GNP: Do we know, and do we care? (1990)Unit roots in real GNP: Do we…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…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…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…How predictable is technological progress? (2016)How predictable is technologi…FDI and Economic Growth in Malaysia (2009)FDI and Economic Growth in Ma…Aggregate Economic Variables and Stock Markets in India (2008)Aggregate Economic Variables …FDI and Growth : a Causal Relationship (2005)FDI and Growth : a Causal Rel…Confidence Intervals for Half-Life Deviations From Purchasing Power Parity (2005)Confidence Intervals for Half…Size and power of tests of stationarity in highly autocorrelated time series (2004)Size and power of tests of st…How Well Do Monetary Fundamentals Forecast Exchange Rates? (2002)How Well Do Monetary Fundamen…Bootstrapping Autoregressive Processes with Possible Unit Roots (2002)Bootstrapping Autoregressive …Lending cycles (1998)Lending cyclesHysteresis in unemployment: Evidence from OECD countries (1998)Hysteresis in unemployment: E…Understanding spot and forward exchange rate regressions (1997)Understanding spot and forwar…Testing for food market integration revisited (1997)Testing for food market integ…Real exchange-rate prediction over long horizons (1997)Real exchange-rate prediction…Near-Integrated Data and the Analysis of Political Relationships (1997)Near-Integrated Data and the …Stylized Facts of Nominal Exchange Rate Returns (1994)Stylized Facts of Nominal Exc…Testing the long-run implications of the neoclassical growth model (1991)Testing the long-run implicat…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Time Series Analysis, Forecasting and Control. (1971)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)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)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)Testing for unit roots in heterogeneous panels (2003)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)
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
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1988Trends and random walks in macroeconomic time series2,433 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1991A critique of the application of unit root tests313 cited
  • 1990Unit roots in real GNP: Do we know, and do we care?265 cited

Cited by

  • 2016How predictable is technological progress?250 cited
  • 2005Confidence Intervals for Half-Life Deviations From Purchasing Power Parity

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156 cited
  • 1997Understanding spot and forward exchange rate regressions155 cited
  • 1998Lending cycles150 cited
  • 1998Hysteresis in unemployment: Evidence from OECD countries145 cited
  • 2002How Well Do Monetary Fundamentals Forecast Exchange Rates?119 cited
  • 2005FDI and Growth : a Causal Relationship118 cited
  • 1997Testing for food market integration revisited116 cited
  • 1997Real exchange-rate prediction over long horizons111 cited
  • 1994Stylized Facts of Nominal Exchange Rate Returns110 cited
  • 2002Bootstrapping Autoregressive Processes with Possible Unit Roots106 cited
  • 1991Testing the long-run implications of the neoclassical growth model103 cited
  • 2004Size and power of tests of stationarity in highly autocorrelated time series101 cited
  • 1997Near-Integrated Data and the Analysis of Political Relationships94 cited
  • 2008Aggregate Economic Variables and Stock Markets in India94 cited
  • 2009FDI and Economic Growth in Malaysia85 cited