Similar Search Results - EconBiz

Drift in the relative price of primary commodities : a case where we care about unit roots

Newbold, Paul - In: Applied economics 28 (1996) 4, pp. 653-661

Persistent link: https://www.econbiz.de/10001202668

A Direct Test for Cointegration between a Pair of Time Series

Leybourne, Stephen J.; Newbold, Paul; Vougas, Dimitrios; … - 2004

In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the...

Persistent link: https://www.econbiz.de/10014117504

Modification of the point optimal unit root test

Vougas, Dimitrios V. - In: Applied economics letters 16 (2009) 4/6, pp. 349-352

Persistent link: https://www.econbiz.de/10003842404

Final modification of the LM unit root test

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 13/15, pp. 1007-1009

Persistent link: https://www.econbiz.de/10003801118

Modification of the LM unit root test

Vougas, Dimitrios V. - In: Applied economics letters 14 (2007) 10/12, pp. 913-917

Persistent link: https://www.econbiz.de/10003589558

Power comparison of invariant unit root tests

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 509-512

Persistent link: https://www.econbiz.de/10003741289

Size performance of the lagrange multiplier (LM) unit root test in the presence of a neglected break under the null

Vougas, Dimitrios V. - In: Applied economics letters 15 (2008) 7/9, pp. 701-705

Persistent link: https://www.econbiz.de/10003741635

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633

Testing for unit roots : threshold autoregression and asymmetric trend stationarity

Cook, Steven - In: Economic issues 6 (2001) 1, pp. 59-65

Persistent link: https://www.econbiz.de/10001565567

Time deformation in UK consumers' expenditure

Cook, Steven - In: Bulletin of economic research 51 (1999) 3, pp. 253-258

Persistent link: https://www.econbiz.de/10001409412

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