Search Results

BAYESTST: RATS procedure to perform Bayesian Unit Root test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests

ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests

PERRONBREAKS: RATS procedure to compute various unit root tests with breaks,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests with breaks

ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests with breaks

Distribution approximation of unit root tests in autoregressive models,
Rolf Larsson, in Econometrics Journal (1998)
Keywords: Unit root test, Saddlepoint approximation.

Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis,
Michael Jansson, from Department of Economics and Business Economics, Aarhus University (2007)
Keywords: Unit root testing, semiparametric efficiency

A note on the use of the LLC panel unit root test,
Joakim Westerlund, in Empirical Economics (2009)
Keywords: Panel data, Unit root test,

Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors,
Nikolay Gospodinov and Ye Tao, from Concordia University, Department of Economics (2009)
Keywords: Unit root test; GARCH; Bootstrap

On the interpretation of panel unit root tests,
Mohammad Pesaran, in Economics Letters (2012)
Keywords: Unit root tests; Panels; Statistical significance;

On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root,
Anton Skrobotov, from Gaidar Institute for Economic Policy (2018)
Keywords: likelihood ratio test, unit root test, bootstrap.

On bootstrap implementation of likelihood ratio test for a unit root,
Anton Skrobotov, in Economics Letters (2018)
Keywords: Likelihood ratio test; Unit root test; Bootstrap;

A new approach to unit root testing,
Helmut Herwartz and Florian Siedenburg, from Christian-Albrechts-University of Kiel, Department of Economics (2009)
Keywords: Unit root tests, simulation based test, simulation study, GLS detrending

An Improved Nonparametric Unit-Root Test,
Jiti Gao and Maxwell King, from Monash University, Department of Econometrics and Business Statistics (2012)
Keywords: Autoregression, nonparametric unit?root test, nonstationary time series, specification testing.

Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period,
David Cushman, in Economics Bulletin (2001)
Keywords: Bayesian unit root test

What would Nelson and Plosser find had they used panel unit root tests?,
Christophe Hurlin, from HAL (2010)
Keywords: Panel unit root tests

What would Nelson and Plosser find had they used panel unit root tests?,
Christophe Hurlin, from HAL (2007)
Keywords: Panel Unit Root Tests

LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests with breaks

LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests with breaks

PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests

PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests with breaks

STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests

On the Performance of Wavelet Based Unit Root Tests,
Burak Alparslan Eroğlu and Barış Soybilgen, in JRFM (2018)
Keywords: unit root testing; wavelet; GLS detrending

A New Nonlinear Unit Root Test with Fourier Function,
Burak Güriş, from University Library of Munich, Germany (2017)
Keywords: Flexible Fourier Form, Unit Root Test, Nonlinearity

A note on the size of the KPSS unit root test,
Jen-Je Su, Christine Amsler and Peter Schmidt, in Economics Letters (2012)
Keywords: KPSS test; Unit root; Fixed-b asymptotics;

Properties of Recursive Trend-Adjusted Unit Root Tests,
Paulo Rodrigues, from European University Institute (2004)
Keywords: Recursive Trend Adjustment, Unit root tests, Invariance

The robustness of modified unit root tests in the presence of GARCH,
Steven Cook, in Quantitative Finance (2006)
Keywords: GARCH, Unit root tests, Size distortion,

Nonlinearity and Smooth Breaks in Unit Root Testing,
Tolga Omay and Dilem Yildirim, from University Library of Munich, Germany (2013)
Keywords: Smooth Break; Nonlinear Unit Root Test; PPP

Nonlinearity and Smooth Breaks in Unit Root Testing,
Tolga Omay and Dilem Yildirim, in Econometrics Letters (2014)
Keywords: Smooth Break; Nonlinear Unit Root Test; PPP.

Unit Root Testing in Presence of a Double Threshold Process,
Francesco Giordano, Marcella Niglio and Cosimo Damiano Vitale, in Methodology and Computing in Applied Probability (2017)
Keywords: Threshold autoregressive process, Stationarity, Unit root test

A Gini-based unit root test,
Amit Shelef, in Computational Statistics & Data Analysis (2016)
Keywords: Time series analysis; Unit root tests; Gini regression; Bootstrap;

Bootstrap M Unit Root Tests,
Giuseppe Cavaliere and Robert Taylor, in Econometric Reviews (2009)
Keywords: Conditional heteroskedasticity, Re-colouring, Unit root tests, Wild bootstrap,

Unit Root Tests with Wavelets,
Ramazan Gencay and Yanqin Fan, from University Library of Munich, Germany (2007)
Keywords: Unit root tests, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition

The sensitivity of robust unit root tests,
Steven Cook, in Journal of Applied Statistics (2008)
Keywords: unit roots, range-based tests, range unit root tests, initial conditions, Monte Carlo simulation,

Seasonal Unit Root Tests under Structural Breaks,
Uwe Hassler and Paulo M. M. Rodrigues, from Darmstadt University of Technology, Department of Law and Economics (2002)
Keywords: Structural Breaks, Unit Roots, Seasonal Unit Root Tests

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots,
Niels Haldrup and Peter Lildholdt, from Department of Economics, UC San Diego (2000)
Keywords: unit root tests, Dickey-Fuller test, Phillips-Perron test

DFUNIT: RATS procedure to perform Dickey-Fuller unit root test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root test,Dickey-Fuller test

PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests,Phillips-Perron test

VRATIO: RATS procedure to implement variance ratio unit root test procedure,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests, variance ratio test

Semiparametric unit root tests based on symmetric estimators,
Dong Wan Shin and Beong-Soo So, in Statistics & Probability Letters (1997)
Keywords: Unit root test Semiparametric test Symmetric estimator Weighted symmetric estimator

State of the Art Unit Root Tests and the PPP Puzzle,
Claude Lopez, Chris Murray and David Papell, from University Library of Munich, Germany (2003)
Keywords: PPP Unit root test Median-unbiased DF-GLS test

Hybrid bootstrap aided unit root testing,
C. Jentsch, J.-P. Kreiss, Panagiotis Mantalos and E. Paparoditis, in Computational Statistics (2012)
Keywords: Hybrid bootstrap, Sieve bootstrap, Unit root testing, ADF tests,

Size Distortion of Bootstrap Tests: an Example from Unit Root Testing,
Russell Davidson, in Review of Economic Analysis (2010)
Keywords: Bootstrap test, unit root, MA(1), size distortion

Size distortion of bootstrap tests: application to a unit root test,
Russell Davidson, from HAL (2009)
Keywords: Unit root test,bootstrap,MA(1),size distortion

A New Approach to Unit Root Testing,
Helmut Herwartz and Florian Siedenburg, in Computational Economics (2010)
Keywords: Unit root tests, Simulation based test, Simulation study, PPP hypothesis, C22, C12,

A comparison of alternative unit root tests,
George Halkos and Ilias Kevork, in Journal of Applied Statistics (2005)
Keywords: Unit root tests, type I error, power of the test, Monte Carlo simulations,

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots,
Niels Haldrup and Peter Lildholdt, from Department of Economics and Business Economics, Aarhus University
Keywords: Unit root tests, Phillips-Perron test, I(1) versus I(2)

PURCHASING POWER PARITY TESTING UNIT ROOT TESTS WITH STRUCTURAL BREAK IN TURKEY,
Büyükkantarcı Tolgay Selma and Ferit Kula, in Revista Economica (2019)
Keywords: Exchange Rate, Purchasing Power Parity, ADF, PP, Unit Root Tests, Lee-Strazicich Structural Unit Root Tests

A note on the uncertain trend in US real GNP: Evidence from robust unit root tests,
Olivier Darné and Amelie Charles, in Economics Bulletin (2012)
Keywords: GNP, robust unit root test

A note on the uncertain trend in US real GNP: Evidence from robust unit root test,
Amelie Charles and Olivier Darné, from HAL (2010)
Keywords: GNP,robust unit root test

A note of the uncertain trend in US real GNP: Evidence from robust unit root tests,
Olivier Darné and Amélie Charles, from HAL (2012)
Keywords: Robust unit root test,GNP

Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size,
Elena Pesavento, from European University Institute (2006)
Keywords: Unit Root Test, GLS detrending.

On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend,
Rolf Larsson, in Annals of the Institute of Statistical Mathematics (1997)
Keywords: Autoregression with trend, unit root test,

The Order of the Error Term for Moments of the Log Likelihood Ratio Unit Root Test in an Autoregressive Process,
Rolf Larsson, in Annals of the Institute of Statistical Mathematics (1998)
Keywords: Approximation error, unit root test,

HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root tests for panel data

RATS programs to replicate Papell and Prodan one and two break unit root tests,
Tom Doan, from Boston College Department of Economics
Keywords: Unit root test with structural breaks

Unit Root Tests, Size Distortions, and Cointegrated Data,
W. Reed, from University of Canterbury, Department of Economics and Finance (2014)
Keywords: Unit root testing, cointegration, DF-GLS test, Augmented Dickey-Fuller test, Phillips-Perron test, simulation

A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks,
Mucahit Aydin, from University Library of Munich, Germany (2019)
Keywords: Unit Root Test, Nonlinearity, Wavelet, Fourier Function.

The size performance of a nonparametric unit root test under a variance shift,
Daiki Maki, in Statistics & Probability Letters (2008)
Keywords: Unit root test Variance shift Size distortion

The discontinuous trend unit root test when the break point is misspecified,
Kimio Morimune and Mitsuru Nakagawa, in Mathematics and Computers in Simulation (MATCOM) (1999)
Keywords: Unit root test; Break point; Asymptotic distribution;

On the choice of test for a unit root when the errors are conditionally heteroskedastic,
Joakim Westerlund, in Computational Statistics & Data Analysis (2014)
Keywords: Unit root test; Conditional heteroskedasticity; ARCH;

Panel versus GARCH information in unit root testing with an application to financial markets,
Joakim Westerlund and Paresh Narayan, in Economic Modelling (2014)
Keywords: Panel data; Unit root tests; GARCH;

A Flexible Fourier Form Nonlinear Unit Root Test Based on ESTAR Model,
Burak Güriş, from University Library of Munich, Germany (2017)
Keywords: Flexible Fourier Form, Unit Root Test, Nonlinearity

Unit Root Test Popularity among Economists: Sampling the Literature,
Franklin Mixon, W. Charles Sawyer and Kamal Upadhyaya, in Economia Internazionale / International Economics (2002)
Keywords: Unit root tests; time-series econometrics

Unit Root Tests: The Role of the Univariate Models Implied by Multivariate Time Series,
Nunzio Cappuccio and Diego Lubian, in Econometrics (2016)
Keywords: unit root tests; multivariate time series; cointegration

Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis,
Michael Jansson and Morten Nielsen, from Economics Department, Queen's University (2009)
Keywords: unit root hypothesis, Efficiency, likelihood ratio test

Convergence in International Output: Evidence from Panel Data Unit Root Tests,
Mark Holmes, in Journal of Economic Integration (2002)
Keywords: Unit Root Testing; Panel Data; Convergence

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis,
Michael Jansson and Morten Nielsen, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Likelihood Ratio Test, Unit Root Hypothesis

An Improved Panel Unit Root Test Using GLS-Detrending,
Claude Lopez, from University Library of Munich, Germany (2003)
Keywords: DF-GLS test, Panel unit root

Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function,
Sebastian Fossati, from University of Alberta, Department of Economics (2011)
Keywords: unit root test; CLS detrending; structural break

A new unit root test against ESTAR based on a class of modified statistics,
Robinson Kruse, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2008)
Keywords: Unit root test, Nonlinearities, Smooth transition

A Nonlinear Unit Root Test in the Presence of an Unknown Break,
Stephan Popp, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2008)
Keywords: Unit root tests, nonlinear regression, structural breaks, innovational outliers

Portmanteau-type tests for unit-root and cointegration,
Rongmao Zhang and Ngai Hang Chan, in Journal of Econometrics (2018)
Keywords: Autoregressive processes; Cointegration; Portmanteau test; Sample covariance; Unit-root;

Spectral approach to parameter-free unit root testing,
Natalia Bailey and Liudas Giraitis, in Computational Statistics & Data Analysis (2016)
Keywords: Unit root test; Additive noise; Parameter-free distribution;

GLS Detrending for Nonlinear Unit Root Tests,
George Kapetanios and Yongcheol Shin, from Queen Mary University of London, School of Economics and Finance (2002)
Keywords: Detrending, Nonlinear unit root tests, Nonlinearity, STAR models, SETAR models

Spectral Approach to Parameter-Free Unit Root Testing,
Natalia Bailey and Liudas Giraitis, from Queen Mary University of London, School of Economics and Finance (2015)
Keywords: Unit root test, Additive noise, Parameter-free distribution

An application of a new seasonal unit root test to inflation,
Paresh Narayan and Stephan Popp, in International Review of Economics & Finance (2011)
Keywords: Inflation rates The G7 countries Seasonal unit root tests Structural breaks

Bayesian tests for unit root and multiple breaks,
Man-Suk Oh and Dong Wan Shin, in Journal of Applied Statistics (2010)
Keywords: multiple breaks, unit root test, Markov chain Monte Carlo,

Covariate unit root tests with good size and power,
Sebastian Fossati, in Computational Statistics & Data Analysis (2012)
Keywords: Unit root test; Truncation lag; Information criteria; Vector autoregression;

The Phillips unit root tests for polynomials of integrated processes,
Martin Wagner, in Economics Letters (2012)
Keywords: Integrated process; Phillips unit root tests; Polynomial transformation;

Optimal panel unit root testing with covariates,
Artūras Juodis and Joakim Westerlund, in The Econometrics Journal (2019)
Keywords: panel data, unit root test, Gaussian power envelope, covariates

Unit Root Tests under Time-Varying Variances,
Giuseppe Cavaliere, in Econometric Reviews (2005)
Keywords: Unit root tests, Integrated processes, Structural breaks, Heteroskedasticity,

Bootstrap Point Optimal Unit Root Tests,
Wang Liqiong, in Journal of Time Series Econometrics (2013)
Keywords: unit root, point optimal tests, bootstrap, ARMA models

Tapered Block Bootstrap for Unit Root Testing,
Parker Cameron C., Paparoditis Efstathios and Politis Dimitris, in Journal of Time Series Econometrics (2015)
Keywords: integrated time series, tapered block bootstrap, unit root testing, resampling

Regression-based seasonal unit root tests,
Richard Smith, Robert Taylor and Tomás del Barrio Castro, from University of Nottingham, Granger Centre for Time Series Econometrics (2007)
Keywords: Seasonal unit root tests; seasonal drifts; characterisation theorem

The impact of GARCH on asymmetric unit root tests,
Steven Cook, in Physica A: Statistical Mechanics and its Applications (2006)
Keywords: GARCH; Unit root tests; Asymmetry; Consistent-threshold estimation; Size distortion;

ARMA Sieve bootstrap unit root tests,
Patrick Richard, from Departement d'économique de l'École de gestion à l'Université de Sherbrooke (2009)
Keywords: Sieve bootstrap, Unit root, ADF tests, ARMA approximations, Invariance Principle

Covariate Unit Root Tests with Good Size and Power,
Sebastian Fossati, from University of Alberta, Department of Economics (2011)
Keywords: unit root tests; truncation lag; information criteria; vector autoregressions

A Note on the Pooling of Individual PANIC Unit Root Tests,
Joakim Westerlund, from Lund University, Department of Economics (2007)
Keywords: Panel Unit Root Test; Pooling; Common Factor; Cross-Sectional Dependence

Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries,
Štefan Lyócsa, Tomáš Výrost and Eduard Baumohl, from University Library of Munich, Germany (2011)
Keywords: Unit-root, Stationarity, Univariate tests, Panel tests, Simulation based unit root tests, Industrial production