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STATIONARITY TESTING WITH COVARIATES

https://doi.org/10.1017/s0266466604201037

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9780470316962openalex-snapshot

Convergence of Probability Measures

inferredcites →https://doi.org/10.1016/0169-2070(94)90039-6openalex-snapshot

Journal of Business and Economic Statistics

inferredcites →https://doi.org/10.1016/0304-4076(92)90104-yopenalex-snapshot

Testing the null hypothesis of stationarity against the alternative of a unit root

inferredcites →https://doi.org/10.1016/j.jeconom.2004.02.011openalex-snapshot

Point optimal tests of the null hypothesis of cointegration

inferredcites →https://doi.org/10.1016/s0022-1996(99)00011-2openalex-snapshot

Long-run PPP may not hold after all

inferredcites →https://doi.org/10.1016/s0261-5606(99)00007-8openalex-snapshot

Re-examining long-run purchasing power parity

inferredcites →https://doi.org/10.1016/s0261-5606(99)00028-5openalex-snapshot

Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity

inferredcites →https://doi.org/10.1016/s0304-4076(03)00093-9openalex-snapshot

Testing for unit roots with stationary covariates

inferredcites →https://doi.org/10.1017/cbo9780511660092.009openalex-snapshot

An alternative comparison of classical tests: assessing the effects of curvature

inferredcites →https://doi.org/10.1017/s0266466600004217openalex-snapshot

Asymptotically Efficient Estimation of Cointegration Regressions

inferredcites →https://doi.org/10.1017/s0266466600005442openalex-snapshot

Testing for a Moving Average Unit Root

inferredcites →https://doi.org/10.1017/s0266466600007702openalex-snapshot

Point Optimal Tests for Testing the Order of Differencing in ARIMA Models

inferredcites →https://doi.org/10.1017/s0266466600008240openalex-snapshot

A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

inferredcites →https://doi.org/10.1017/s0266466600008744openalex-snapshot

Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series

inferredcites →https://doi.org/10.1017/s0266466600009932openalex-snapshot

Testing for Cointegration in a System of Equations

inferredcites →https://doi.org/10.1017/s0266466600009944openalex-snapshot

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

inferredcites →https://doi.org/10.1017/s0266466600009993openalex-snapshot

Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power

inferredcites →https://doi.org/10.1017/s0266466600010720openalex-snapshot

Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

inferredcites →https://doi.org/10.1017/s0266466600013189openalex-snapshot

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

inferredcites →https://doi.org/10.1017/s026646660001344xopenalex-snapshot

Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations

inferredcites →https://doi.org/10.1017/s0266466600162024openalex-snapshot

TESTS OF COMMON STOCHASTIC TRENDS

inferredcites →https://doi.org/10.1017/s0266466600163054openalex-snapshot

THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

inferredcites →https://doi.org/10.1017/s0266466602186026openalex-snapshot

REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

inferredcites →https://doi.org/10.1017/s0266466602186087openalex-snapshot

CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

inferredcites →https://doi.org/10.1080/01621459.1978.10480105openalex-snapshot

An Exact Test for the Presence of Random Walk Coefficients in a Linear Regression Model

inferredcites →https://doi.org/10.1080/01621459.1983.10477032openalex-snapshot

Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model

inferredcites →https://doi.org/10.1080/01621459.1986.10478302openalex-snapshot

Testing for Deterministic Linear Trend in Time Series

inferredcites →https://doi.org/10.1080/01621459.1993.10476312openalex-snapshot

Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

inferredcites →https://doi.org/10.1080/07350015.1994.10510004openalex-snapshot

A Consistent Test for a Unit Root

inferredcites →https://doi.org/10.1111/j.2517-6161.1969.tb00812.xopenalex-snapshot

Beta-Optimal Tests and an Application to the Summary Evaluation of Experiments

inferredcites →https://doi.org/10.1214/aos/1176348666openalex-snapshot

Asymptotics for Linear Processes

inferredcites →https://doi.org/10.1214/aos/1176350701openalex-snapshot

Asymptotic Theory of a Test for the Constancy of Regression Coefficients Against the Random Walk Alternative

inferredcites →https://doi.org/10.2307/1061063openalex-snapshot

Foundations of International Macroeconomics

inferredcites →https://doi.org/10.2307/2288437openalex-snapshot

Asymptotic Optimal Inference for Non-ergodic Models.

inferredcites →https://doi.org/10.2307/2297545openalex-snapshot

Statistical Inference in Instrumental Variables Regression with I(1) Processes

inferredcites →https://doi.org/10.2307/2938229openalex-snapshot

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

inferredcites →https://doi.org/10.2307/2938258openalex-snapshot

Optimal Inference in Cointegrated Systems

inferredcites →https://doi.org/10.2307/2951574openalex-snapshot

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

inferredcites →https://doi.org/10.2307/2951679openalex-snapshot

Canonical Cointegrating Regressions

inferredcites →https://doi.org/10.2307/2951763openalex-snapshot

A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

inferredcites →https://doi.org/10.3386/t0055openalex-snapshot

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

inferredcites →https://doi.org/10.3386/w4952openalex-snapshot

Perspectives on PPP and Long-Run Real Exchange Rates

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1147594openalex-extracted

Improving Size and Power in the Unit Root Testing

inferred← citeshttps://doi.org/10.2139/ssrn.1809980openalex-extracted

inferred← citeshttps://doi.org/10.2139/ssrn.2162268openalex-extracted

Testing Stationarity with Unobserved Components Models

inferred← citeshttps://doi.org/10.1007/s00181-023-02536-1openalex-snapshot

Nelson and Plosser revisited: macroeconomic and financial stability of Turkey

inferred← citeshttps://doi.org/10.1016/j.econlet.2004.04.021openalex-snapshot

A Lagrange multiplier stationarity test using covariates

inferred← citeshttps://doi.org/10.1016/j.econmod.2009.07.017openalex-snapshot

Bootstrapping covariate stationarity tests for inflation rates

inferred← citeshttps://doi.org/10.1016/j.econmod.2011.01.003openalex-snapshot

Testing for a unit root with covariates against nonlinear alternatives

inferred← citeshttps://doi.org/10.1016/j.econmod.2013.03.016openalex-snapshot

Covariate unit root tests under structural change and asymmetric STAR dynamics

inferred← citeshttps://doi.org/10.1016/j.econmod.2020.01.021openalex-snapshot

Quantile nonlinear unit root test with covariates and an application to the PPP hypothesis

inferred← citeshttps://doi.org/10.1016/j.japwor.2013.08.002openalex-snapshot

Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test

inferred← citeshttps://doi.org/10.1016/j.jeconom.2004.02.011openalex-snapshot

Point optimal tests of the null hypothesis of cointegration

inferred← citeshttps://doi.org/10.1016/j.jeconom.2007.02.005openalex-snapshot

A simple, robust and powerful test of the trend hypothesis

inferred← citeshttps://doi.org/10.1016/j.jeconom.2012.09.006openalex-snapshot

Low-frequency robust cointegration testing

inferred← citeshttps://doi.org/10.1016/j.jmacro.2011.08.003openalex-snapshot

Asymmetric inflation dynamics: Evidence from quantile regression analysis

inferred← citeshttps://doi.org/10.1017/cbo9780511614491.019openalex-snapshot

A New Look at Panel Testing of Stationarity and the PPP Hypothesis

inferred← citeshttps://doi.org/10.1017/s0266466602186026openalex-snapshot

REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

inferred← citeshttps://doi.org/10.1017/s1365100515000437openalex-snapshot

TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS

inferred← citeshttps://doi.org/10.1080/09603100500389374openalex-snapshot

Testing for Purchasing Power Parity using stationary covariates

inferred← citeshttps://doi.org/10.1080/10168737.2010.504778openalex-snapshot

Are Real Exchange Rates Mean Reverting in Developing Economies in Asia? A Covariate Stationarity Approach

inferred← citeshttps://doi.org/10.1080/13504851.2010.534059openalex-snapshot

Testing for stationarity using covariates: an application to purchasing power parity

inferred← citeshttps://doi.org/10.1111/ectj.12118openalex-snapshot

Optimal panel unit root testing with covariates

inferred← citeshttps://doi.org/10.1111/j.1467-8586.2012.00437.xopenalex-snapshot

BOOTSTRAPPING COVARIATE UNIT ROOT TESTS: AN APPLICATION TO INFLATION RATES

inferred← citeshttps://doi.org/10.1111/j.1467-9892.2007.00564.xopenalex-snapshot

Test for the null hypothesis of cointegration with reduced size distortion

inferred← citeshttps://doi.org/10.1111/j.1468-0106.2010.00514.xopenalex-snapshot

DO REAL INTEREST RATES REALLY CONTAIN A UNIT ROOT? MORE EVIDENCE FROM A BOOTSTRAP COVARIATE UNIT ROOT TEST

inferred← citeshttps://doi.org/10.1111/j.1468-5876.2012.00560.xopenalex-snapshot

A REVISIT TO THE STATIONARITY OF OECD INFLATION: EVIDENCE FROM PANEL UNIT-ROOT TESTS AND THE COVARIATE POINT OPTIMAL TEST*

inferred← citeshttps://doi.org/10.1111/j.1813-6982.2010.01251.xopenalex-snapshot

TESTING FOR STATIONARITY OF INFLATION RATES WITH COVARIATES

inferred← citeshttps://doi.org/10.15057/17465openalex-snapshot

Construction of Stationarity Tests with Less Size Distortions

inferred← citeshttps://doi.org/10.1515/snde-2019-0038openalex-snapshot

Testing for stationarity with covariates: more powerful tests with non-normal errors

inferred← citeshttps://doi.org/10.17016/feds.2011.18openalex-snapshot

Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis

inferred← citeshttps://doi.org/10.3386/w15292openalex-snapshot

Low-Frequency Robust Cointegration Testing

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