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Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de Métodos Cuantitativos para la Economía y … 09 (2010), pp. 3-16

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

Persistent link: https://www.econbiz.de/10010282680

Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16

Persistent link: https://www.econbiz.de/10009957378

Contrastación empírica del Efecto Fisher en la Unión Europea mediante técnicas de cointegración con datos de panel

Amador, Rosa Badillo; Reverte Maya, Carmelo; Rubio … - In: Cuadernos de economía y dirección de la empresa : CEDE 44 (2010), pp. 101-120

Persistent link: https://www.econbiz.de/10008808836

Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Amador, Rosa Badillo; Belaire-Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16

Persistent link: https://www.econbiz.de/10008822137

Contrastación empírica del Efecto Fisher en la Unión Europea mediante técnicas de cointegración con datos de panel

Badillo Amador, Rosa; Reverte Maya, Carmelo; Rubio … - In: Cuadernos de economía y dirección de la empresa : CEDE 44 (2010), pp. 101-120

Persistent link: https://www.econbiz.de/10009880159

Spurious rejection of the stationarity hypothesis in the presence of a break point

Amador, Rosa Badillo; Belaire-Franch, Jorge; Contreras, … - In: Applied economics 34 (2002) 15, pp. 1917-1923

Persistent link: https://www.econbiz.de/10001702094

The Fisher effect in the EU revisited : new evidence using panel cointegration estimation with global stochastic trends

Amador, Rosa Badillo; Reverte, Carmelo; Rubio, Elena - In: Applied economics letters 18 (2011) 13/15, pp. 1247-1251

Persistent link: https://www.econbiz.de/10009348101

Residual-based block bootstrap for cointegration testing

Amador, Rosa Badillo; Belaire-Franch, Jorge; Reverte, … - In: Applied economics letters 17 (2010) 10/12, pp. 999-1003

Persistent link: https://www.econbiz.de/10008698432

Cotendencia no lineal entre tipo de interés y tasa de inflación

Amador, Rosa Badillo; Belaire-Franch, Jorge - In: Revista de economía aplicada : publicación cuatrimestral 11 (2003) 31, pp. 51-80

Persistent link: https://www.econbiz.de/10011517398

Bias, accuracy and explainability of the Ohlson (1995) valuation model vs. the traditional dividend, abnormal earnings and free cash flow models : evidence from the Spanish stock market

Iñiguez Sánchez, Raúl; Reverte Maya, Carmelo - In: Revista española de financiación y contabilidad 41 (2012) 153, pp. 89-118

Persistent link: https://www.econbiz.de/10010097537