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Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series
13 references·16 citing·30 second hop
Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series (1991)Confidence intervals for the largest auto…Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models (1993)Exactly Median-Unbiased Estim…Understanding Unit Rooters: A Helicopter Tour (1991)Understanding Unit Rooters: A…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…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…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Bayesian skepticism on unit root econometrics (1988)Bayesian skepticism on unit r…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …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…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Disagreement and return predictability of stock portfolios (2010)Disagreement and return predi…Predicting Global Stock Returns (2009)Predicting Global Stock Retur…The persistence of inflation in the United States (2006)The persistence of inflation …The Macroeconomic Effects of Inflation Targeting (2004)The Macroeconomic Effects of …On Predicting Stock Returns with Nearly Integrated Explanatory Variables (2004)On Predicting Stock Returns w…Long-horizon regressions: theoretical results and applications (2003)Long-horizon regressions: the…The purchasing power parity persistence paradigm (2002)The purchasing power parity p…Long and short term dynamic causal transmission amongst international stock markets (2001)Long and short term dynamic c…Nonstationary panel data analysis: an overview of some recent developments (2000)Nonstationary panel data anal…How Persistent Are Shocks to World Commodity Prices? (1999)How Persistent Are Shocks to …Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model (1998)Median Unbiased Estimation of…Tests for cointegration a Monte Carlo comparison (1996)Tests for cointegration a Mon…Purchasing power parity and unit root tests using panel data (1996)Purchasing power parity and u…Inference in Models with Nearly Integrated Regressors (1995)Inference in Models with Near…The post-war U.S. phillips curve: a revisionist econometric history (1994)The post-war U.S. phillips cu…Chapter 46 Unit roots, structural breaks and trends (1994)Chapter 46 Unit roots, struct…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 Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)Testing for a Unit Root in Time Series Regression (1988)Why Does Stock Market Volatility Change Over Time? (1989)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Some International Evidence on Output-Inflation Tradeoffs. (1973)Mean reversion in stock prices (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Explosive Rational Bubbles in Stock Prices (1988)Pitfalls in Testing for Explosive Bubbles in Asset Prices (1991)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1982Trends and random walks in macroeconmic time series4,670 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited
  • 1988Bayesian skepticism on unit root econometrics527 cited
  • 1993Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models470 cited
  • 1991Understanding Unit Rooters: A Helicopter Tour451 cited

Cited by

  • 2003Long-horizon regressions: theoretical results and applications523 cited
  • 2004The Macroeconomic Effects of Inflation Targeting416 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2000Nonstationary panel data analysis: an overview of some recent developments402 cited
  • 1995Inference in Models with Nearly Integrated Regressors370 cited
  • 1998Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model365 cited
  • 2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables356 cited
  • 2006The persistence of inflation in the United States351 cited
  • 1996Purchasing power parity and unit root tests using panel data342 cited
  • 1994The post-war U.S. phillips curve: a revisionist econometric history335 cited
  • 2009Predicting Global Stock Returns306 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 1999How Persistent Are Shocks to World Commodity Prices?271 cited
  • 1996Tests for cointegration a Monte Carlo comparison264 cited
  • 2002The purchasing power parity persistence paradigm248 cited
  • 1994Chapter 46 Unit roots, structural breaks and trends243 cited
  • 2010Disagreement and return predictability of stock portfolios243 cited