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Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
16 references·16 citing·32 second hopsampled
Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence (1992)Recursive and Sequential Tests of the Uni…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Recursive and Sequential Test…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Time Series Regression with a Unit Root (1987)Time Series Regression with a…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…On the Theory of Testing for Unit Roots in Observed Time Series (1986)On the Theory of Testing for …Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…Monetary Trends in the United States and the United Kingdom (1982)Monetary Trends in the United…The competing role of natural gas and oil as fossil fuel and the non-linear dynamics of resource curse in Russia (2021)The competing role of natural…The impact of economic growth on CO2 emissions in Azerbaijan (2018)The impact of economic growth…Financial development and environmental quality in UAE: Cointegration with structural breaks (2015)Financial development and env…Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2014)Co-movement of international …Federal regulation and aggregate economic growth (2013)Federal regulation and aggreg…Environmental Kuznet’s curve for India: Evidence from tests for cointegration with unknown structuralbreaks (2013)Environmental Kuznet’s curve …Optimal Bank Capital (2012)Optimal Bank CapitalRare Disasters, Asset Prices, and Welfare Costs (2009)Rare Disasters, Asset Prices,…The Impact of Brand Equity and Innovation on the Long-Term Effectiveness of Promotions (2008)The Impact of Brand Equity an…Breaking the panels: An application to the GDP per capita (2005)Breaking the panels: An appli…Testing for the Cointegrating Rank of a VAR Process With Structural Shifts (2000)Testing for the Cointegrating…Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series (1997)Wald-Type Tests for Detecting…Mean reversion in real exchange rates: evidence and implications for forecasting (1996)Mean reversion in real exchan…An LM Test for a Unit Root in the Presence of a Structural Change (1995)An LM Test for a Unit Root in…The Effects of Additive Outliers on Tests for Unit Roots and Cointegration (1994)The Effects of Additive Outli…Chapter 46 Unit roots, structural breaks and trends (1994)Chapter 46 Unit roots, struct…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Time Series Analysis: Forecasting and Control (1977)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)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Residual-based tests for cointegration in models with regime shifts (1996)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)The Quarterly Journal of Economics (2024)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 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
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence870 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1982Monetary Trends in the United States and the United Kingdom701 cited
  • 1985Trends and Cycles in Macroeconomic Time Series

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688 cited
  • 1986On the Theory of Testing for Unit Roots in Observed Time Series612 cited
  • Cited by

    • 2009Rare Disasters, Asset Prices, and Welfare Costs856 cited
    • 2005Breaking the panels: An application to the GDP per capita690 cited
    • 2018The impact of economic growth on CO2 emissions in Azerbaijan472 cited
    • 2015Financial development and environmental quality in UAE: Cointegration with structural breaks460 cited
    • 2012Optimal Bank Capital420 cited
    • 2000Testing for the Cointegrating Rank of a VAR Process With Structural Shifts244 cited
    • 1994Chapter 46 Unit roots, structural breaks and trends243 cited
    • 1994The Effects of Additive Outliers on Tests for Unit Roots and Cointegration240 cited
    • 2013Environmental Kuznet’s curve for India: Evidence from tests for cointegration with unknown structuralbreaks236 cited
    • 1995An LM Test for a Unit Root in the Presence of a Structural Change228 cited
    • 2014Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests223 cited
    • 1997Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series215 cited
    • 2013Federal regulation and aggregate economic growth214 cited
    • 2008The Impact of Brand Equity and Innovation on the Long-Term Effectiveness of Promotions205 cited
    • 2021The competing role of natural gas and oil as fossil fuel and the non-linear dynamics of resource curse in Russia190 cited
    • 1996Mean reversion in real exchange rates: evidence and implications for forecasting185 cited