This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we find that the...

This paper proposes the panel-based mean group tests for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across crosssection units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed...

Leybourne et al. (1998) have proved the possibility of a “converse Perron phenomenon” when conventional Dickey-Fuller tests are applied to determine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of...

Hylleberg y otros (1990) desarrollaron un procedimiento de contraste de raíces unitarias estacionales para datos trimestrales. Dicho procedimiento fue extendido a series semanales por Cáceres (1996). Pues bien, en este trabajo se examinan los efectos de la presencia de observaciones anómalas...

This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....

This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

This paper analyses the asymptotic and finite sample implications of different types of nonstationary behavior among the dependent and explanatory variables in a linear spurious regression model. We study cases when the nonstationarity in the dependent and explanatory variables is deterministic...

In this paper we propose a new test for efficiency of spot and forward markets where returns are nonstationary and cointegrated. The test for market efficiency is developed within the framework of a vector error correction (VEC) representation of a bivariate vector autoregression (VAR) model....