Testing of unit root and other nonstationary hypotheses in macroeconomic time series
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Publication:1371371
DOI10.1016/S0304-4076(97)00038-9zbMATH Open0945.62122MaRDI QIDQ1371371FDOQ1371371
Authors: Luis A. Gil-Alana, Peter M. Robinson 
Publication date: 12 October 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
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Cites Work
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Cited In (51)
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- A mean shift break in the US interest rate.
- Empirical evidence of the spot and the forward exchange rates in Canada.
- System Estimation of Panel Data Models Under Long-Range Dependence
- MEAN REVERSION IN THE SPANISH STOCK MARKET PRICES USING FRACTIONALLY INTEGRATED SEMIPARAMETRIC TECHNIQUES
- Using the bootstrap for finite sample confidence intervals of the log periodogram regression
- Residual log-periodogram inference for long-run relationships
- Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks
- Estimation of fractional integration in the presence of data noise
- Testing for an unstable root in conditional and structural error correction models
- Mean reversion in the real exchange rates
- Fractional integration and data frequency
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Structural breaks and fractional integration in the US output and unemployment rate.
- Testing fractional unit roots with non-linear smooth break approximations using Fourier functions
- A joint test of fractional cyclic integration and a linear time trend
- Infant mortality rates: time trends and fractional integration
- Testing for long memory in the Asian foreign exchange rates
- The power of the tests of robinson (1994) in the context of fractionall[y integrated moving average models
- A multivariate long-memory model with structural breaks
- LONG MEMORY IN FINANCIAL TIME SERIES DATA WITH NON-GAUSSIAN DISTURBANCES
- Two estimators of the long-run variance: beyond short memory
- Testing stochastic cycles in macroeconomic time series
- Technology shocks and hours worked: a fractional integration perspective
- FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
- Nelson-Plosser revisited: the ACF approach
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS
- A bootstrap approximation for the distribution of the local Whittle estimator
- Testing for spurious regression in a panel data model with the individual number and time length growing
- A fractional multivariate long memory model for the US and the Canadian real output
- Saddlepoint approximations for short and long memory time series: a frequency domain approach
- The Tests of Robinson in the Context of AR(1) Disturbances
- Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
- Nonlinear Trends and Co-trending in Canadian Money Demand
- Parametric estimation of long memory in factor models
- Unit root tests in time series. Volume 2. Extensions and developments
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- Seasonal long memory in the aggregate output
- Testing unit roots and long range dependence of foreign exchange
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- The increment ratio statistic
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- The tests of Robinson (1994) for fractional integration. Time domain versus frequency domain
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Evaluation of robinson's (1994) Tests in finite samples
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