Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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On the test of the globalization of the Japanese equity market under the Kreps-Porteus preference
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
An empirical method for assessing the research relevance gap
Credit, income, and causality: a contemporary co-integration analysis
Multivariate estimates of the permanent components of GNP and stock prices
Trends and random walks in macroeconomic time series
The power of the ADF test
Testing for a unit root in the presence of a variance shift
Testing for unit roots in autoregressive moving average models. An instrumental variable approach
Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
Some tests for unit roots in seasonal time series with deterministic trends
Likelihood inference for a fractionally cointegrated vector autoregressive model
A simple multiple variance ratio test
VARMAX-modelling of blast furnace process variables
Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis
Joint application of the Dickey-Fuller and KPSS tests
Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation.
Inference for unit roots in dynamic panels where the time dimension is fixed
The discontinuous trend unit root test when the break point is misspecified
Testing for trends in correlated data
A novel test of the monetary approach using black market exchange rates and the Johansen-Juselius cointegration method
Testing for a unit root by frequency domain regression
The distribution of the Durbin-Watson statistic in integrated and near-integrated models
Unit root tests for \(\text{ARIMA}(0,1,q)\) models with irregularly observed samples
The sample autocorrelation function of I(1) processes
Is there a unit root in U.S. real GNP?
Estimation of partially nonstationary vector autoregressive models with seasonal behavior
Testing for an unstable root in conditional and structural error correction models
Temporal aggregation and the power of tests for a unit root
From decay to growth: A demographic transition to economic growth
Are taxes too low?
International evidence on the cyclical behavior of inflation
A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies
Power of the Lagrange multiplier test for testing an autoregressive unit root
Unbiased estimation as a solution to testing for random walks
Exact distributions, density functions and moments of the least squares estimator in a first-order autoregressive model
Near-integration and deterministic trends
Exact tests in single equation autoregressive distributed lag models
Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
Regression with integrated regressors
The demand for money: Total transactions as the scale variable
Asymptotic inference in time series regressions with a unit root and infinite variance errors
Estimating fractional cointegration in the presence of polynomial trends
Price discovery, causality and forecasting in the freight futures market
A complete class of tests when the likelihood is locally asymptotically quadratic.
The efficiency of financial futures markets: tests of prediction accuracy.
Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
The information content of lagged equity and bond yields
Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
Structural analysis of vector error correction models with exogenous \(I(1)\) variables
The forward premium anomaly and the trend behavior of the exchange rates
Behaviour of Dickey-Fuller \(F\)-tests under the trend-break stationary alternative
Economic growth and technological catching up by Singapore to the USA
High-frequency stock linkage and multi-dimensional stationary processes
Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?
Numerical distribution functions for seasonal unit root tests
On the relationship between the theory of cointegration and the theory of phase synchronization
Cointegration analysis with state space models
Unit roots test: spatial model with long memory errors
A simple testing procedure for unit root and model specification
Co-integration tests for long run equilibrium in the monetary exchange rate model
Steady-state productivity relationships: estimation and some implications
International mobility of capital in the United States: robust evidence from time-series tests
Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests
Higher-order sample autocorrelations and the unit root hypothesis
Fundamentals, regime shifts, and dollar behavior in the 1980s
Forecasting of 15 time series of DGOR with neural networks
Structural econometric modeling and time series analysis
Size and power properties of powerful unit root tests in the presence of variance breaks
A note on bootstrapping unit root tests in the presence of a non-zero drift
Is a small Monte Carlo analysis a good analysis? Checking the size, power and consistency of a simulation-based test
Determination of cointegrating rank in fractional systems.
Unit root tests in panel data: asymptotic and finite-sample properties
Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
Who wins? Study of long-run trader survival in an artificial stock market
A simple message for autocorrelation correctors: Don't
Cointegration tests in the presence of structural breaks
Unit root tests for seasonal models with deterministic trends
Structural change and unit roots
Unit root econometrics and economic nonlinearities
Mirror image distributions and the Dickey-Fuller regression with a maintained trend
Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the EC
On wavelet analysis of the nth order fractional Brownian motion
Nonlinear regression for unit root models with autoregressive errors
Price discovery in Chinese stock index futures market: new evidence based on intraday data
How does monetary policy influence capital markets? Using a threshold regression model
Is the consumption-income ratio stationary? Evidence from panel unit root tests
Unit root tests in the presence of uncertainty about the non-stochastic trend
A further interpretation of Friedman's hypothesis: The cointegration of component CPI indexes
Martingales, nonlinearity, and chaos
Heterogeneous expectations in the gold market: specification and estimation
A bootstrap-based KPSS test for functional time series
A fault detection method based on stacking the SAE-SRBM for nonstationary and stationary hybrid processes
Cointegration in high frequency data
Quantile inference for nonstationary processes with infinite variance innovations
Moments in Pearson's four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series

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