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~subject:"Monte-Carlo-Simulation"
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Finite sample lag adjusted critical values of the ADF-GLS test
Sephton, Peter S.
- In:
Computational economics
59
(
2022
)
1
,
pp. 177-183
Persistent link: https://www.econbiz.de/10013168958
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2
Bayesian estimation and unit root test for logistic smooth transition autoregressive process
Chaturvedi, Anoop
;
Jaiswal, Shivam
- In:
Journal of quantitative economics
18
(
2020
)
4
,
pp. 733-745
Persistent link: https://www.econbiz.de/10012418877
Saved in:
3
An improved Bayesian unit root test in stochastic volatility models
Li, Yong
;
Yu, Jun
- In:
Annals of economics and finance
20
(
2019
)
1
,
pp. 103-122
Persistent link: https://www.econbiz.de/10012110029
Saved in:
4
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
Saved in:
5
Size-corrected inference in fiscal policy reaction functions : a three country assessment
Herwartz, Helmut
;
Rengel, Malte
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 391-416
Persistent link: https://www.econbiz.de/10011949801
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6
Structural VARs, deterministic and stochastic trends : how much detrending matters for shock identification
Varang Wiriyawit
;
Wong, Benjamin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
2
,
pp. 141-157
Persistent link: https://www.econbiz.de/10011507446
Saved in:
7
A unit root test against globally stationary ESTAR models when local condition is non-stationary
Hu, Junjuan
;
Chen, Zhenlong
- In:
Economics letters
146
(
2016
),
pp. 89-94
Persistent link: https://www.econbiz.de/10011619120
Saved in:
8
Identifying stationary series in panels : a Monte Carlo evaluation of sequential panel selection methods
Costantini, Mauro
;
Lupi, Claudio
- In:
Economics letters
138
(
2016
),
pp. 9-14
Persistent link: https://www.econbiz.de/10011615336
Saved in:
9
A Monte Carlo investigation of unit root tests and long memory in detecting mean reversion in I(0) regime switching, structural break, and nonlinear data
Smallwood, Aaron D.
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 986-1012
Persistent link: https://www.econbiz.de/10011590992
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10
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
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11
Tests for multiple breaks in the trend with stationary or integrated shocks
Sobreira, Nuno
;
Nunes, Luis C.
- In:
Oxford bulletin of economics and statistics
78
(
2016
)
3
,
pp. 394-411
Persistent link: https://www.econbiz.de/10011494825
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12
Maximum non-extensive entropy block bootstrap for non-stationary processes
Bergamelli, Michele
;
Novotný, Jan
;
Urga, Giovanni
- In:
L' Actualité économique : revue trimest.
91
(
2015
)
1/2
,
pp. 115-139
Persistent link: https://www.econbiz.de/10011775788
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13
On the behaviour of Phillips-Perron tests in the presence of persistent cycles
Barrio Castro, Tomás del
;
Rodrigues, Paulo M. M.
; …
- In:
Oxford bulletin of economics and statistics
77
(
2015
)
4
,
pp. 495-511
Persistent link: https://www.econbiz.de/10011383853
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14
A computer program to run a Monte Carlo experiment : a Dickey-Fuller distribution
Guerrero de Lizardi, Carlos
- In:
Economía informa
(
2014
)
387
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011507121
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15
Priors and Bayesian parameter estimation of affine term structure models
Sögner, Leopold
- In:
International journal of computational economics and …
4
(
2014
)
3/4
,
pp. 288-319
Persistent link: https://www.econbiz.de/10010496421
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16
On the power of bootstrap tests for stationarity : a Monte Carlo comparison
Gulesserian, Sevan G.
;
Kejriwal, Mohitosh
- In:
Empirical economics : a journal of the Institute for …
46
(
2014
)
3
,
pp. 973-998
Persistent link: https://www.econbiz.de/10010344368
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17
Costs of misspecification in break-model unit-root tests
Maican, Florín G.
;
Sweeney, Richard J.
- In:
Applied economics
46
(
2014
)
1/3
,
pp. 111-118
Persistent link: https://www.econbiz.de/10010354074
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18
Partial unit root and linear spurious regression : a Monte Carlo simulation study
Zhang, Lingxiang
- In:
Economics letters
118
(
2013
)
1
,
pp. 189-191
Persistent link: https://www.econbiz.de/10009706822
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19
Size and power properties of structural break unit root tests
Narayan, Paresh Kumar
;
Popp, Stephan
- In:
Applied economics
45
(
2013
)
4/6
,
pp. 721-728
Persistent link: https://www.econbiz.de/10009716397
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20
Panel unit root tests in the presence of a multifactor error structure
Pesaran, M. Hashem
;
Smith, L. Vanessa
;
Yamagata, Takashi
- In:
Journal of econometrics
175
(
2013
)
2
,
pp. 94-115
Persistent link: https://www.econbiz.de/10009764422
Saved in:
21
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
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22
Testing for panel unit roots in the presence of spatial dependency
Månsson, Kristofer
;
Shukur, Ghazi
;
Sjölander, Pär
- In:
Applied economics
45
(
2013
)
28/30
,
pp. 4152-4159
Persistent link: https://www.econbiz.de/10010345751
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23
Investigating the stationarity of insurance premiums : international evidence
Lee, Chien-chiang
;
Tsong, Ching-chuan
;
Yang, Shih-jui
; …
- In:
The European journal of finance
19
(
2013
)
3/4
,
pp. 276-297
Persistent link: https://www.econbiz.de/10010243644
Saved in:
24
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.
;
Chen, Shu-yu
;
Lee, Sangyeol
- In:
Computational economics
42
(
2013
)
4
,
pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
Saved in:
25
A Monte Carlo comparison of panel unit root tests under factor structure
Lin, J. H.
;
Hu, Yi
;
Wang, M. J.
;
Xia, X. H.
- In:
Applied economics letters
20
(
2013
)
1/3
,
pp. 288-291
Persistent link: https://www.econbiz.de/10009702931
Saved in:
26
Beyond panel unit root tests : using multiple testing to determine the nonstationarity properties of individual series in a panel
Moon, Hyungsik Roger
;
Perron, Benoit
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 29-33
Persistent link: https://www.econbiz.de/10009666772
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27
Some cautions on the use of nonlinear panel unit root tests : evidence from a modified series-specific non-linear panel unit-root test
Lau, Chi Keung
;
Suvankulov, Farrukh
;
Su, Yongyang
; …
- In:
Economic modelling
29
(
2012
)
3
,
pp. 810-816
Persistent link: https://www.econbiz.de/10009545513
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28
Linear and non-linear unit root testing in the presence of heavy-tailed GARCH : a finite-sample simulation analysis
Cook, Steve
- In:
International journal of computational economics and …
2
(
2012
)
3/4
,
pp. 179-196
Persistent link: https://www.econbiz.de/10009756392
Saved in:
29
Nonparametric likelihood inference for general autoregressive models
Bravo, Francesco
- In:
Statistical methods & applications : SMA ; journal of …
19
(
2010
)
1
,
pp. 79-106
Persistent link: https://www.econbiz.de/10003945288
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30
A reappraisal of the evidence on PPP : a systematic investigation into MA roots in panel unit root tests and their implications
Fischer, Christoph
;
Porath, Daniel
- In:
Empirical economics : a journal of the Institute for …
39
(
2010
)
3
,
pp. 767-792
Persistent link: https://www.econbiz.de/10008747607
Saved in:
31
Testing for cointegration using the Johansen methodology when variables are near-integrated : size distortions and partial remedies
Hjalmarsson, Erik
;
Österholm, Pär
- In:
Empirical economics : a journal of the Institute for …
39
(
2010
)
1
,
pp. 51-76
Persistent link: https://www.econbiz.de/10003992868
Saved in:
32
A note on the use of the LLC panel unit root test
Westerlund, Joakim
- In:
Empirical economics : a journal of the Institute for …
37
(
2009
)
3
,
pp. 517-531
Persistent link: https://www.econbiz.de/10003900930
Saved in:
33
Critical values for the augmented efficient Wald test for fractional unit roots
Sephton, Peter S.
- In:
Empirical economics : a journal of the Institute for …
37
(
2009
)
3
,
pp. 615-626
Persistent link: https://www.econbiz.de/10003900971
Saved in:
34
GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypothesis
Carrion i Silvestre, Josep Lluís
;
Kim, Dukpa
;
Perron, …
- In:
Econometric theory
25
(
2009
)
6
,
pp. 1754-1792
Persistent link: https://www.econbiz.de/10003904443
Saved in:
35
Tests for a unit root using three-regime TAR models : power comparison and some applications
Maki, Daiki
- In:
Econometric reviews
28
(
2009
)
4
,
pp. 335-363
Persistent link: https://www.econbiz.de/10003864021
Saved in:
36
Evidence on PPP from a cointegration test with multiple structural breaks
Narayan, Paresh Kumar
;
Narayan, Seema
;
Prasad, Arti
- In:
Applied economics letters
16
(
2009
)
1/3
,
pp. 5-8
Persistent link: https://www.econbiz.de/10003822531
Saved in:
37
On the finite sample size and power of the generallized KPSS test in the presence of level breaks
Sephton, Peter S.
- In:
Applied economics letters
15
(
2008
)
10/12
,
pp. 833-843
Persistent link: https://www.econbiz.de/10003785755
Saved in:
38
Critical values of the augmented fractional Dickey-Fuller test
Sephton, Peter S.
- In:
Empirical economics : a journal of the Institute for …
35
(
2008
)
3
,
pp. 437-450
Persistent link: https://www.econbiz.de/10003776707
Saved in:
39
The accuracy of normal approximation in a heterogeneous panel data unit root test
Jönsson, Kristian
- In:
Statistical papers
49
(
2008
)
3
,
pp. 565-579
Persistent link: https://www.econbiz.de/10003715392
Saved in:
40
How useful are tests for uni-root in distinguishing unit-root processes from stationary but non-linear processes?
Choi, Chi-young
;
Moh, Young-kyu
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 82-112
Persistent link: https://www.econbiz.de/10003451749
Saved in:
41
Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
Otero, Jesús G.
;
Smith, Jeremy
;
Giulietti, Monica
- In:
Economics letters
97
(
2007
)
2
,
pp. 179-184
Persistent link: https://www.econbiz.de/10003575447
Saved in:
42
The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes : evidence from Monte Carlo simulations and applications
Maki, Daiki
- In:
Computational economics
31
(
2008
)
1
,
pp. 77-94
Persistent link: https://www.econbiz.de/10003612217
Saved in:
43
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
Rothe, Christoph
;
Sibbertsen, Philipp
- In:
Allgemeines statistisches Archiv : AStA ; journal of …
90
(
2006
)
3
,
pp. 439-456
Persistent link: https://www.econbiz.de/10003363489
Saved in:
44
Deterministic seasonality in Dickey-Fuller tests : should we care?
Lopes, Artur C. B. da Silva
- In:
Empirical economics : a journal of the Institute for …
31
(
2006
)
1
,
pp. 165-182
Persistent link: https://www.econbiz.de/10003307069
Saved in:
45
Moment approximation for least-squares estimators in dynamic regression models with a unit root
Kiviet, J. F.
;
Phillips, Garry D. A.
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 115-142
Persistent link: https://www.econbiz.de/10003018790
Saved in:
46
F versus t tests for unit roots: a comment
Rodrigues, Paulo M. M.
(
contributor
); …
- In:
Economics bulletin : EB
(
2004
)
Persistent link: https://www.econbiz.de/10002744008
Saved in:
47
On the finite-sample power of modified Dickey-Fuller tests : the role of the initial condition
Cook, Steven
(
contributor
)
- In:
Economics bulletin : EB
(
2004
)
Persistent link: https://www.econbiz.de/10002752439
Saved in:
48
Unit root testing using heteroscedasticity consistent covariance matrix estimators : finite-sample evidence
Cook, Sarah
;
Manning, Nick P.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
28
(
2004
)
3
,
pp. 27-41
Persistent link: https://www.econbiz.de/10002518642
Saved in:
49
The ADF-KPSS test of the joint confirmation hypothesis of unit autoregressive root
Ke̜błowski, Piotr
;
Welfe, Aleksander
- In:
Economics letters
85
(
2004
)
2
,
pp. 257-263
Persistent link: https://www.econbiz.de/10002254851
Saved in:
50
A note on bootstrapping unit root tests in the presence of a non-zero drift
Giersbergen, Noud P. A. van
- In:
Economics letters
78
(
2003
)
2
,
pp. 259-265
Persistent link: https://www.econbiz.de/10001728258
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