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Testing for Linear Trend with Application to Relative Primary Commodity Prices

Kim, Tae-Hwan; Pfaffenzeller, Stephan; Rayner, Tony; … - 2003

Much research has been devoted to assessing the evidence for linear trend in a time series. We discuss the statistical implications of some recent developments, with specific application to 24 time series of relative primary commodities prices

Persistent link: https://www.econbiz.de/10014075120

On the prevalence of trends in primary commodity prices

Kellard, Neil; Wohar, Mark E. - In: Journal of development economics 79 (2006) 1, pp. 146-167

Persistent link: https://www.econbiz.de/10003226244

Using covariates to improve the efficacy of univariate bubble detection methods

Astill, Sam; Taylor, Robert; Kellard, Neil; Korkos, Ioannis - In: Journal of empirical finance 70 (2023), pp. 342-366

Persistent link: https://www.econbiz.de/10014423733

Spurious rejections by Perron tests in the presence of a break

Kim, Tae-hwan; Leybourne, Stephen James; Newbold, Paul - In: Oxford bulletin of economics and statistics 62 (2000) 3, pp. 433-444

Persistent link: https://www.econbiz.de/10001505515

Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis

Leybourne, Stephen James; Newbold, Paul - In: The econometrics journal 3 (2000) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10001532194

Behavior of Dickey-Fuller t-tests when there is a break under the alternative hypothesis

Leybourne, Stephen James; Newbold, Paul - In: Econometric theory 16 (2000) 5, pp. 779-789

Persistent link: https://www.econbiz.de/10001533177

The behaviour of Dickey-Fuller and Phillips-Perron tests under the alternative hypothesis

Leybourne, Stephen James; Newbold, Paul - In: The econometrics journal 2 (1999) 1, pp. 92-106

Persistent link: https://www.econbiz.de/10001449265

Seasonal unit root tests with seasonal mean shifts

Harvey, David I. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001603799

Tests for a change in persistence against the null of difference-stationarity

Leybourne, Stephen James; Kim, Tae-hwan; Smith, Vanessa; … - In: The econometrics journal 6 (2003) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10001831250

Innovational outlier unit root tests with an endogenously determined break in level

Harvey, David I.; Leybourne, Stephen James; Newbold, Paul - In: Oxford bulletin of economics and statistics 63 (2001) 5, pp. 559-575

Persistent link: https://www.econbiz.de/10001627803