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Testing for a unit root in a nonlinear quantile autoregression framework
Li, Haiqi; Park, Sung Y. - In: Econometric reviews 37 (2018) 6/10, pp. 867-892
Persistent link: https://www.econbiz.de/10012040418
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Asymmetric dynamics in REIT prices : further evidence based on quantile regression analysis
Lee, Chien-chiang; Lee, Cheng-Feng; Lee, Chi-Chuan - In: Economic modelling 42 (2014), pp. 29-37
Persistent link: https://www.econbiz.de/10010478286
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Persistency of Turkish export shocks : a quantile autoregression (QAR) approach
Berument, Hakan; Dinçer, Nazire Nergiz; Yasar, Pinar - In: Empirica : journal of european economics 43 (2016) 3, pp. 445-460
Persistent link: https://www.econbiz.de/10011532553
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Three essays on nonlinear nonstationary econometrics and applied macroeconomics
Bae, Youngsoo - 2006
Persistent link: https://www.econbiz.de/10003965066
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Is the Spurious Regression Problem Spurious?
McCallum, Bennett T. - 2010
accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …
Persistent link: https://www.econbiz.de/10012462962
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Is the Spurious Regression Problem Spurious?
McCallum, Bennett T. - 2010
accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …
Persistent link: https://www.econbiz.de/10013148388
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Testing for speculative bubbles using spot and forward prices
Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: International economic review 58 (2017) 4, pp. 1191-1226
Persistent link: https://www.econbiz.de/10011860373
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Moment generating function and further exact results for autoregression with multiple frequency unit roots
Pitarakis, Jean-Yves - 1996
Persistent link: https://www.econbiz.de/10000944147
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On confidence intervals for autoregressive roots and predictive regression
Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 82 (2014) 3, pp. 1177-1195
Persistent link: https://www.econbiz.de/10010506470
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On spurious regressions with partial unit root processes
Tu, Yundong - In: Economics letters 150 (2017), pp. 142-145
Persistent link: https://www.econbiz.de/10011765085