Testing of unit root and other nonstationary hypotheses in macroeconomic time series
From MaRDI portal
Publication:1371371
Recommendations
Cites work
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- scientific article; zbMATH DE number 3609018 (Why is no real title available?)
- A Bayesian analysis of the unit root in real exchange rates
- A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing
- A bayesian analysis of trend determination in economic time series
- A simple test for parameter constancy in a nonlinear time series regression model
- An exponential model for the spectrum of a scalar time series
- Are output fluctuations transitory?
- Bayesian skepticism on unit root econometrics
- Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function
- Deciding between I(1) and I(0)
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient Tests of Nonstationary Hypotheses
- Highly Insignificant F-Ratios
- Hypothesis Testing in ARIMA(p, 1, q) Models
- Integration Versus Trend Stationary in Time Series
- Long memory relationships and the aggregation of dynamic models
- On the Theory of Testing for Unit Roots in Observed Time Series
- Spurious Periodicity in Inappropriately Detrended Time Series
- Testing for a unit root in time series regression
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
- Time Series Regression with a Unit Root
- Trends and random walks in macroeconomic time series
- Trends versus Random Walks in Time Series Analysis
- Understanding Unit Rooters: A Helicopter Tour
Cited in
(54)- System Estimation of Panel Data Models Under Long-Range Dependence
- Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
- A fractional multivariate long memory model for the US and the Canadian real output
- The stationarity of consumption-income ratios: evidence from minimum LM unit root testing
- The informational value of unemployment statistics: a note on the time series properties of participation rates
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Testing stochastic cycles in macroeconomic time series
- A bootstrap approximation for the distribution of the local Whittle estimator
- Deterministic seasonality versus seasonal fractional integration
- Nelson-Plosser revisited: the ACF approach
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- Seasonal long memory in the aggregate output
- The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
- A joint test of fractional cyclic integration and a linear time trend
- The Tests of Robinson in the Context of AR(1) Disturbances
- Mean reversion in the real exchange rates
- The increment ratio statistic
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- No unit root conditions for bivariate series when a component univariate series has a unit root
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
- Parametric estimation of long memory in factor models
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
- Evaluation of robinson's (1994) Tests in finite samples
- Fractional integration and data frequency
- A mean shift break in the US interest rate.
- Empirical evidence of the spot and the forward exchange rates in Canada.
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- Structural breaks and fractional integration in the US output and unemployment rate.
- Testing for long memory in the Asian foreign exchange rates
- Testing for spurious regression in a panel data model with the individual number and time length growing
- A multivariate long-memory model with structural breaks
- Two estimators of the long-run variance: beyond short memory
- Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
- Infant mortality rates: time trends and fractional integration
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- Estimation of fractional integration in the presence of data noise
- A fractional integration analysis of the population in some OECD countries
- Testing unit roots and long range dependence of foreign exchange
- Unit root tests in time series. Volume 2. Extensions and developments
- Estimation of fractionally integrated panels with fixed effects and cross-section dependence
- Bootstrapping the log-periodogram regression
- Nonlinear Trends and Co-trending in Canadian Money Demand
- Modelling long-run trends and cycles in financial time series data
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Testing for an unstable root in conditional and structural error correction models
- Technology shocks and hours worked: a fractional integration perspective
- Residual log-periodogram inference for long-run relationships
This page was built for publication: Testing of unit root and other nonstationary hypotheses in macroeconomic time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1371371)
