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Spurious regressions with stationary processes around linear trends
Kim, Tae-hwan; Lee, Young-Sook; Newbold, Paul - In: Economics letters 83 (2004) 2, pp. 257-262
Persistent link: https://www.econbiz.de/10001991584
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Revisiting the martingale hypothesis for exchange rates
Lee, Young-Sook (contributor); Kim, Tae-hwan (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002435695
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Spurious Regressions with Processes Around Linear Trends or Drifts
Kim, Tae-Hwan; Lee, Young-Sook; Newbold, Paul - 2004
In this paper we consider the situation where the deterministic components of the processes generating individual series are linear trends and the individual series are independent I(0) or I(1) processes. We show that when those time series are used in ordinary least square regression, the...
Persistent link: https://www.econbiz.de/10014076785
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Revisiting the Martingale hypothesis for exchange rates
Lee, Young-Sook; Kim, Tae-Hwan; Newbold, Paul - Money Macro and Finance Research Group - 2005
Persistent link: https://www.econbiz.de/10004978154
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Spurious Nonlinear Regressions In Econometrics
Lee, Young-Sook; Kim, Tae-Hwan; Newbold, Paul - Royal Economic Society - RES - 2004
Persistent link: https://www.econbiz.de/10005577054
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Spurious nonlinear regressions in econometrics
Yi, Yŏng-suk; Kim, Tae-hwan; Newbold, Paul - In: Economics letters 87 (2005) 3, pp. 301-306
Persistent link: https://www.econbiz.de/10002855976
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Examination of some more powerful modifications of the Dickey-Fuller test
Leybourne, Stephen James (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001777071
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On suboptimality of the Hodrick-Prescott filter at time series endpoints
Mise, Emi; Kim, Tae-hwan; Newbold, Paul - In: Journal of macroeconomics 27 (2005) 1, pp. 53-67
Persistent link: https://www.econbiz.de/10002647963
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Unit root tests with a break in innovation variance
Kim, Tae-hwan; Leybourne, Stephen James; Newbold, Paul - In: Journal of econometrics 109 (2002) 2, pp. 365-387
Persistent link: https://www.econbiz.de/10001689187
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The Hodrick-Prescott filter at time series endpoints
Mise, Emi (contributor); Kim, Tae-hwan (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001766035