The size distortion of the Dickey-Fuller (Journal of the American Statistical Association, 74, pp. 427-31, 1979) unit root test is examined in the presence of structural changes in both the level and variance of integrated time series. In contrast to previous studies, the empirically relevant...

Cook et al. (1998) have recently proposed the hypothesis of a positive relationship between the durability of consumers' expenditure and the asymmetric behaviour it exhibits. Some support was found for this hypothesis via the application of Sichel's (1993) univariate tests of business cycle...

Recent developments in the analysis of cointegration in the presence of asymmetric adjustment are extended and applied to data on regional house prices in the UK. This extension is found to have a dramatic impact upon the results derived. In contrast to recent studies employing standard methods,...

In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via generalized least squares (GLS) to substantially increase the power of the Dickey-Fuller (1979) unit root test. In this paper the relationship between the extent of detrending undertaken, determined by...

Following Dickey & Fuller (1979) (DF), a stylized approach to the testing of the unit root hypothesis has emerged. Based upon the combined use of the DF test in its augmented t -ratio form and MacKinnon (1991) critical values, the approach has received widespread adoption due to the ease with...

A positive view of data-mining has been recently presented in a Journal of Economic Methodology ( JEM ) symposium. This is in stark contrast to the stance normally taken. In this note consideration of the Bayesian philosophy of science literature and the impact of data revision extends the...

The research of Kim and Schmidt (J. Economet., 1993, 59, 287-300) is extended to examine the properties of modified Dickey-Fuller unit root tests in the presence of generalized autoregressive conditional heteroskedasticity (GARCH). Using Monte Carlo simulation, the properties of the tests are...

In recent research, Davis (2005) has introduced the semantic conception of theories as a means of studying the differing practices of the Textbook and LSE approaches to econometric modelling. In this paper, Davis' (2005) use of the semantic view is examined, with close attention paid to the...

The ripple effect hypothesis implies a long-run convergence of regional UK house prices. However, despite many authors believing in the existence of such an underlying constancy, statistical evidence has yet to be presented supporting this implication. In this paper, an alternative approach is...

The statistical properties of UK house prices are considered at a disaggregated level, where disaggregation occurs according to the age, or 'vintage', of the housing. Given the frequency of transactions in the housing market and the sophistication of the estate agent system, it might be expected...