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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

Spurious rejections by Perron tests in the presence of a break

Kim, Tae-hwan; Leybourne, Stephen James; Newbold, Paul - In: Oxford bulletin of economics and statistics 62 (2000) 3, pp. 433-444

Persistent link: https://www.econbiz.de/10001505515

Tests for a change in persistence against the null of difference-stationarity

Leybourne, Stephen James; Kim, Tae-hwan; Smith, Vanessa; … - In: The econometrics journal 6 (2003) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10001831250

Regression-based tests for a change in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - 2004

Persistent link: https://www.econbiz.de/10002117501

More powerpul panel data unit root tests with an application to mean reversion in real exchange rates

Smith, L. Vanessa; Leybourne, Stephen James; Kim, Tae-hwan - In: Journal of applied econometrics 19 (2004) 2, pp. 147-170

Persistent link: https://www.econbiz.de/10002010349

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

Regression-based tests for a change in persistence

Leybourne, Stephen James; Kim, Tae-hwan; Taylor, Robert - In: Oxford bulletin of economics and statistics 68 (2006) 5, pp. 595-621

Persistent link: https://www.econbiz.de/10003379177

Unit root tests in the presence of multiple breaks in variance

Jeong, Soo-Bin; Kim, Bong Hwan; Kim, Tae-hwan; Moon, … - In: The Singapore economic review : journal of the Economic … 62 (2017) 2, pp. 345-361

Persistent link: https://www.econbiz.de/10011702157

Examination of Some More Powerful Modifications of the Dickey-Fuller Test

Leybourne, Stephen J.; Kim, Tae-Hwan; Newbold, Paul - 2005

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large sample properties of five of these modified...

Persistent link: https://www.econbiz.de/10014076476

Examination of Some More Powerful Modifications of the Dickey-Fuller Test

Leybourne, Stephen J.; Kim, Tae-Hwan; Newbold, Paul - 2005

Although the t-ratio variant of the Dickey-Fuller test is the most commonly applied unit-root test in practical applications, it has been known for some time that readily implementable, more powerful modifications are available. We explore the large-sample properties of five of these modified...

Persistent link: https://www.econbiz.de/10014065620