Nothing Special   »   [go: up one dir, main page]
create a website
Testing for Shifts in Trend with an Integrated or Stationary Noise Component. (2007). Yabu, Tomoyoshi ; Perron, Pierre.
In: Boston University - Department of Economics - Working Papers Series.
RePEc:bos:wpaper:wp2007-025.

Full description at Econpapers || Download paper

Cited: 9

Citations received by this document

Cites: 28

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Process of Convergence among the Japanese Prefectures: 1955 - 2012.. (2020). Delgado, Augusto Ricardo.
    In: MPRA Paper.
    RePEc:pra:mprapa:100361.

    Full description at Econpapers || Download paper

  2. Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory. (2017). Komarek, Lubos ; Kadlakova, Narcisa .
    In: Prague Economic Papers.
    RePEc:prg:jnlpep:v:2017:y:2017:i:6:id:634:p:690-721.

    Full description at Econpapers || Download paper

  3. Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory. (2013). Komarek, Lubos ; Komarkova, Zlatuse ; Hlaváček, Michal ; Kadlcakova, Narcisa ; Hlavacek, Michal.
    In: Working Papers.
    RePEc:cnb:wpaper:2013/14.

    Full description at Econpapers || Download paper

  4. Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate. (2009). Ojeda-Joya, Jair.
    In: BORRADORES DE ECONOMIA.
    RePEc:col:000094:005521.

    Full description at Econpapers || Download paper

  5. Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate. (2009). Ojeda-Joya, Jair.
    In: Borradores de Economia.
    RePEc:bdr:borrec:564.

    Full description at Econpapers || Download paper

  6. Testing for a unit root in the presence of a possible break in trend. (2007). Taylor, Robert ; Leybourne, Stephen ; Harris, David ; Harvey, David ; A. M. Robert Taylor, .
    In: Discussion Papers.
    RePEc:not:notgts:07/04.

    Full description at Econpapers || Download paper

  7. GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses. (2007). Perron, Pierre ; Kim, Dukpa ; Carrion-i-Silvestre, Josep ; Josep Lluis Carrion-i-Silvestre, .
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2008-019.

    Full description at Econpapers || Download paper

  8. Estimating Deterministic Trends with an Integrated or Stationary Noise Component. (2006). Yabu, Tomoyoshi ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-012.

    Full description at Econpapers || Download paper

  9. Foreign Exchange Market Contagion in Central Europe from the Viewpoint of Extreme Value Theory. (). Kadlakova, Narcisa ; Komarek, Lubo .
    In: Prague Economic Papers.
    RePEc:prg:jnlpep:v:preprint:id:634:p:1-32.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. [1] Andrews, D.W.K. (1991): Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica 59, 817-858.

  2. [10] Kormendi, R.C., and P. Meguire (1990): A Multicountry Characterization of the Nonstationarity of Aggregate Output, Journal of Money, Credit and Banking 22, 77-93.

  3. [11] Lumsdaine, R.L, and D.H. Papell (1997): Multiple Trend Breaks and the Unit-Root Hypothesis, Review of Economics and Statistics 79, 212-218.

  4. [12] Maddison, A. (1982): Phases of Capitalist Development, London: Oxford University Press.
    Paper not yet in RePEc: Add citation now

  5. [13] Nelson, C.R., and C.I. Plosser (1982): Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics 10, 139-162. 29

  6. [14] Perron, P. (1991): A Test for Changes in a Polynominal Trend Function for a Dynamic Time Series, Research Memorandum No. 363, Econometric Research Program, Princeton University.
    Paper not yet in RePEc: Add citation now
  7. [15] Perron, P. (1992): Trend, Unit Root and Structural Change: A Multi-Country Study with Historical Data, Proceedings of the Business and Economic Statistics Section, American Statistical Association, 144-149.
    Paper not yet in RePEc: Add citation now

  8. [16] Perron, P. (2005): Dealing with Structural Breaks, forthcoming in the Palgrave Handbook of Econometrics, Volume 1: Econometric Theory.

  9. [17] Perron, P., and T. Wada (2005): Trends and Cycles: A New Approach and Explanations of some Old Puzzles, Unpublished Manuscript, Department of Economics, Boston University.

  10. [18] Perron, P., and T. Yabu (2005): Estimating Deterministic Trends with an Integrated or Stationary Noise Component, Unpublished Manuscript, Department of Economics, Boston University.

  11. [19] Perron, P., and X. Zhu (2005): Structural Breaks with Deterministic and Stochastic Trends, forthcoming in the Journal of Econometrics.

  12. [2] Andrews, D.W.K., and W. Ploberger (1994): Optimal Tests When a Nuisance Parameter is Present Only Under the Alternative, Econometrica 62, 1383-1414.

  13. [21] Roy, A., and W.A. Fuller (2001): Estimation for Autoregressive Processes With a Root Near One, Journal of Business and Economic Statistics 19, 482-493.
    Paper not yet in RePEc: Add citation now

  14. [22] Roy, A., B. Falk, and W.A. Fuller (2004): Testing for Trend in the Presence of Autoregressive Error, Journal of the American Statistical Association 99, 1082-1091.

  15. [23] Schwarz, G. (1978): Estimating the Dimension of a Model, The Annals of Statistics 6, 461-464.
    Paper not yet in RePEc: Add citation now

  16. [24] Vogelsang, T.J. (1997): Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series, Econometric Theory 13, 818-849.

  17. [25] Vogelsang, T.J. (1998): Trend Function Hypothesis Testing in the Presence of Serial Correlation, Econometrica 66, 123-148.

  18. [26] Vogelsang, T.J. (2001): Testing for a Shift in Ttrend When Serial Correlation is of Unknown Form, Unpublished Manuscript, Department of Economics, Cornell University.
    Paper not yet in RePEc: Add citation now

  19. [27] Vogelsang, T.J., and P. Perron (1998): Additional Tests for a Unit Root Allowing the Possibility of Breaks in the Trend Function, International Economic Review 39, 1073-1100. 30

  20. [28] Yabu, T. (2005): Essays on Theoretical and Empirical Aspects of Structural Change Models, Unpublished PhD Dissertation, Department of Economics, Boston University.
    Paper not yet in RePEc: Add citation now

  21. [29] Zivot, E., and D.W.K. Andrews (1992): Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statistics 10, 251-270. 31

  22. [3] Bai, J., and P. Perron (2003): Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics 18, 1-22.

  23. [4] Ben-David, D., and D.H. Papell (1995): The Great Wars, the Great Crash, and Steady State Growth: Some New Evidence about an Old Stylized Fact, Journal of Monetary Economics 36, 453-475.

  24. [5] Berk, K. N. (1974), Consistent Autoregressive Spectral Estimates, The Annals of Statistics 2, 489-502.
    Paper not yet in RePEc: Add citation now
  25. [6] Cochrane, D., and G.H. Orcutt (1949): Applications of Least Squares Regressions to Relationships Containing Autocorrelated Error Terms, Journal of the American Statistical Association 44, 32-61.
    Paper not yet in RePEc: Add citation now
  26. [7] Feinstein, C.H. (1972): National Income Expenditure and Output of the United Kingdom, vol. 6 in Studies in the National Income and Expenditure of the United Kingdom, Richard Stone (series editor), London: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
  27. [8] Gardner, L.A. (1969): On Detecting Changes in the Mean of Normal Variates, The Annals of Mathematical Statistics 40, 116-126.
    Paper not yet in RePEc: Add citation now
  28. [9] Kim, D., and P. Perron (2005): Unit Root Tests with a Consistent Break Fraction Estimator, Unpublished Manuscript, Department of Economics, Boston University.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of oil shocks on the Spanish economy. (2011). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Gmez-Loscos, Ana ; Montas, Antonio .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1070-1081.

    Full description at Econpapers || Download paper

  2. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Econometrics.
    RePEc:wpa:wuwpem:0503004.

    Full description at Econpapers || Download paper

  3. A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change. (2005). Perron, Pierre ; Deng, Ai.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-047.

    Full description at Econpapers || Download paper

  4. Tests of Conditional Predictive Ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Econometrics.
    RePEc:wpa:wuwpem:0308001.

    Full description at Econpapers || Download paper

  5. Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors. (2003). Bunzel, Helle.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:10685.

    Full description at Econpapers || Download paper

  6. Short Run and Long Run Causality in Time Series: Inference. (2003). Renault, Eric ; Pelletier, Denis ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-61.

    Full description at Econpapers || Download paper

  7. Tests of conditional predictive ability. (2003). White, Halbert ; Giacomini, Raffaella.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:572.

    Full description at Econpapers || Download paper

  8. Improved nonparametric confidence intervals in time series regressions. (2002). Wolf, Michael ; Romano, Joseph P..
    In: Economics Working Papers.
    RePEc:upf:upfgen:635.

    Full description at Econpapers || Download paper

  9. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9393.

    Full description at Econpapers || Download paper

  10. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

  11. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1363.

    Full description at Econpapers || Download paper

  12. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence. (2002). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1362.

    Full description at Econpapers || Download paper

  13. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models. (2002). Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-41.

    Full description at Econpapers || Download paper

  14. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

  15. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

  16. Improved nonparametric confidence intervals in time series regressions. (2001). Wolf, Michael ; Romano, Joseph P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010201.

    Full description at Econpapers || Download paper

  17. A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. (2000). Benkard, Lanier C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7710.

    Full description at Econpapers || Download paper

  18. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

    Full description at Econpapers || Download paper

  19. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  20. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices. (2000). Hong, Yongmiao ; Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1211.

    Full description at Econpapers || Download paper

  21. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

  22. Corruption and Resource Allocation Under Chinas Dual Track System. (2000). Li, Wei.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0179.

    Full description at Econpapers || Download paper

  23. Agency Costs, Credit Constraints and Corporate Investment. (1999). Hansen, Sten .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0079.

    Full description at Econpapers || Download paper

  24. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Birgean, Ionel ; Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

  25. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  26. Cyclicality and Durability: Evidence from U.S. Consumers Expediture.. (1999). Cook, Steven.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:2:y:1999:n:2:p:299-310.

    Full description at Econpapers || Download paper

  27. Regression-Based Tests of Predictive Ability. (1998). West, Kenneth ; McCracken, Michael.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0226.

    Full description at Econpapers || Download paper

  28. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

  29. Long-Run PPP May Not Hold After All. (1998). Engel, Charles.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0050.

    Full description at Econpapers || Download paper

  30. Consistent covariance matrix estimation in probit models with autocorrelated errors. (1998). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:39.

    Full description at Econpapers || Download paper

  31. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy.. (1998). Stern, David.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9803.

    Full description at Econpapers || Download paper

  32. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian .
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

  33. Bootstrap Testing for Fractional Integration. (1997). Andersson, Michael K. ; Gredenhoff, Mikael P..
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0188.

    Full description at Econpapers || Download paper

  34. The determinants of UK business cycles. (1997). Scott, Andrew ; Holland, Allison .
    In: Bank of England working papers.
    RePEc:boe:boeewp:58.

    Full description at Econpapers || Download paper

  35. Time series properties of global climate variables: detection and attribution of climate change. (1997). Stern, David ; Kaufmann, Robert.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9702.

    Full description at Econpapers || Download paper

  36. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

  37. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

  38. Shortages, interest rates, and money demand in Poland, 1969-1995,. (1996). Sterken, Elmer ; Nijsse, Erwin .
    In: Working Papers.
    RePEc:wop:ccsowp:0025.

    Full description at Econpapers || Download paper

  39. Long-Run PPP May Not Hold After All. (1996). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5646.

    Full description at Econpapers || Download paper

  40. Recent developments in bootstrapping time series. (1996). Kilian, Lutz ; Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-45.

    Full description at Econpapers || Download paper

  41. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

  42. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

    Full description at Econpapers || Download paper

  43. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act. (1995). Schmidt, Peter ; Horrace, William ; Witte, Ann Dryden .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5387.

    Full description at Econpapers || Download paper

  44. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

  45. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY. (1994). West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410002.

    Full description at Econpapers || Download paper

  46. A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model. (1994). Wilcox, David ; West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410001.

    Full description at Econpapers || Download paper

  47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9406001.

    Full description at Econpapers || Download paper

  48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Staff Working Papers.
    RePEc:bca:bocawp:94-2.

    Full description at Econpapers || Download paper

  49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:090.

    Full description at Econpapers || Download paper

  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 20:57:52 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.