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Unit root tests, size distortions, and cointegrated data

Reed, W. Robert - 2014

Persistent link: https://www.econbiz.de/10011296518

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

Culver, Sarah E.; Papell, David H. - In: Journal of international money and finance 18 (1999) 5, pp. 751-768

Persistent link: https://www.econbiz.de/10001415350

On Monte Carlo estimation of relative power

Paruolo, Paolo - In: The econometrics journal 5 (2002) 1, pp. 65-75

Persistent link: https://www.econbiz.de/10001683691

Evidence on PPP from a Cointegration Test with Multiple Structural Breaks

Narayan, Paresh Kumar - 2012

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found … for cointegration between nominal exchange rate and relative prices that accounts for multiple structural breaks. We find … that for 14 out of 15 OECD countries, there is evidence of a cointegration relationship between nominal exchange rate and …

Persistent link: https://www.econbiz.de/10013105379

Rank based cointegration testing for dynamic panels with fixed T

Juodis, Artūras - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 349-389

Persistent link: https://www.econbiz.de/10011949797

Fractional integration and its influence on unit root and co-integration analysis

Marques, Guilherme de Oliveira Lima C. - In: Economia aplicada : EA 20 (2016) 3, pp. 333-350

Persistent link: https://www.econbiz.de/10011807231

The overall seasonal integration tests under non-stationary alternatives : a methodological note

El Montasser, Ghassen - 2011

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...

Persistent link: https://www.econbiz.de/10011524855

Do the lag lengths matter in terms of size and power properties of nonlinear unit root tests?

Hepsağ, Aycan - In: Selected topics in applied econometrics, (pp. 148-160). 2019

Persistent link: https://www.econbiz.de/10012286978

Finite-sample distribution of the augmented Dickey–Fuller test with lag optimization

Tam, Pui Sun - In: Applied economics 45 (2013) 22/24, pp. 3495-3511

Persistent link: https://www.econbiz.de/10010345347

Causality nexus between trade, political instability, FDI and economic growth : Nigeria experience

Bakar, Nor'Aznin Abu; Afolabi, Luqman - In: International journal of trade and global markets 10 (2017) 1, pp. 75-82

Persistent link: https://www.econbiz.de/10011722925