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Markov Regime Switching and Unit Root Tests
16 references·0 citing·22 second hop
Markov Regime Switching and Unit Root Tests (2001)Markov Regime Switching and Unit Root Tes…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Further Evidence on the Great…Multiple Trend Breaks and the Unit-Root Hypothesis (1997)Multiple Trend Breaks and the…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection (1994)Testing for a Unit Root in Ti…Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots (1991)Pitfalls and Opportunities: W…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …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…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…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…The Optimum Quantity of Money: and Other Essays (1971)The Optimum Quantity of Money…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The saving and investment nexus for China: evidence from cointegration tests (2005)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)What have We Learnt from the Convergence Debate? (2003)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)Oil price shocks and stock market activity (1999)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
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  • 1971The Optimum Quantity of Money: and Other Essays1,208 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1994

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Testing for a Unit Root in Time Series With Pretest Data-Based Model Selection
701 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots681 cited
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