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Testing for a unit root in a nonlinear quantile autoregression framework
16 references·9 citing·32 second hop
Testing for a unit root in a nonlinear quantile autoregression framework (2016)Testing for a unit root in a nonlinear qu…Unit root quantile autoregression testing using covariates (2009)Unit root quantile autoregres…Unit root tests in three‐regime SETAR models (2006)Unit root tests in three‐regi…Unit Root Quantile Autoregression Inference (2004)Unit Root Quantile Autoregres…Testing for a unit root in the nonlinear STAR framework (2002)Testing for a unit root in th…The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity (2001)The New Econometrics of Struc…Modeling non-linearities in real effective exchange rates (1999)Modeling non-linearities in r…Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power (1995)Rethinking the Univariate App…Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence. (1993)Nonlinear Dynamics, Chaos and…Trends and Random Walks in Macroeconomic Time Series: A Re-Examination (1992)Trends and Random Walks in Ma…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Convergence to Stochastic Integrals for Dependent Heterogeneous Processes (1992)Convergence to Stochastic Int…On Bayesian routes to unit roots (1991)On Bayesian routes to unit ro…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence (2022)Financial market integration …Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis (2022)Economic policy uncertainty, …PPP in emerging markets: evidence from Fourier non-linear quantile unit root analysis (2021)PPP in emerging markets: evid…Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test (2020)Revisiting purchasing power p…Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis (2020)Quantile nonlinear unit root …Fourier nonlinear quantile unit root test and PPP in Africa (2020)Fourier nonlinear quantile un…UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS? 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Estimates Using the Allocation of Police Forces After a Terrorist Attack (2004)Oil and the Macroeconomy Since the 1970s (2004)The Potato's Contribution to Population and Urbanization: Evidence From A Historical Experiment (2011)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Quantile cointegration in the autoregressive distributed-lag modeling framework (2015)Revisiting the role of renewable and non-renewable energy consumption on Turkey’s ecological footprint: Evidence from Quantile ARDL approach (2020)The role of green finance in reducing CO2 emissions: An empirical analysis (2021)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Efficient Tests for an Autoregressive Unit Root (1992)Long-run PPP may not hold after all (2000)Distributions of error correction tests for cointegration (2002)What Happens After A Technology Shock? (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Langevin approach to stock market fluctuations and crashes (1998)Financial markets as nonlinear adaptive evolutionary systems (2001)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)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)
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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
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 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
  • 2002Testing for a unit root in the nonlinear STAR framework1,567 cited
  • 2001The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity853 cited
  • 2004Unit Root Quantile Autoregression Inference514 cited
  • 1993Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence.487 cited
  • 1995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power363 cited
  • 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
  • 1999Modeling non-linearities in real effective exchange rates235 cited
  • 2009Unit root quantile autoregression testing using covariates197 cited
  • 1991On Bayesian routes to unit roots169 cited
  • 1992Trends and Random Walks in Macroeconomic Time Series: A Re-Examination

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160 cited
  • 2006Unit root tests in three‐regime SETAR models138 cited
  • Cited by

    • 2022Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis86 cited
    • 2020Fourier nonlinear quantile unit root test and PPP in Africa29 cited
    • 2018UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS?23 cited
    • 2020Revisiting purchasing power parity in the ASEAN-5 countries: evidence from the Fourier quantile unit root test17 cited
    • 2017Non-linear quantile unit root test and PPP: more evidence from Africa17 cited
    • 2021PPP in emerging markets: evidence from Fourier non-linear quantile unit root analysis16 cited
    • 2020Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis15 cited
    • 2022Financial market integration of emerging markets: Heavy tails, structural shifts, nonlinearity, and asymmetric persistence15 cited
    • 2017Unit root quantile autoregression testing with smooth structural changes14 cited