This document has not been cited yet.

1. Amsler, C. and P. Schmidt (1999), “Tests of Short Memory with Thick-Tailed Errors,” unpublished manuscript, Michigan State University. Amsler, C. and P. Schmidt (forthcoming), “Tests of Short Memory with Thick-Tailed Errors,” Journal of Business and Economic Statistics.
   Paper not yet in RePEc: Add citation now
   

2. Amsler, C., P. Schmidt and T.J. Vogelsang (2009), “The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series,” Journal of Time Series Econometrics, 1, Issue 1, Article 5.

3. Baillie, R.T. and T. Bollerslev (1994), “The Long Memory of the Forward Premium,” Journal of International Money and Finance. 13, 565–571.

4. Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 12/11/16 8:56 PM Amsler and Schmidt: Robustness of Tests of Short Memory deJong, R.M. and J. Davidson (2000), “Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices,” Econometrica, 68, 407–423.

5. Caner, M. and L. Kilian (2001), “Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate,” Journal of International Money and Finance, 20, 639–657.

6. Choi, I. (1994), “Residual-Based Tests for the Null of Stationarity with Applications to U.S. Macroeconomic Time Series,” Econometric Theory, 10, 720–746.

7. Culver, S.E. and D.H. Papell (1999), “Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models,” Journal of Applied Econometrics, 12, 435–444.
   Paper not yet in RePEc: Add citation now
   

8. Forni, M. (2004), “Using Stationarity Tests in Antitrust Market Definition,” American Law and Economics Review,” 6, 441–464.

9. Giraitis, L., P. Kokoszka, R. Leipus and G. Teyssière (2003), “Rescaled Variance and Related Tests for Long Memory in Volatility and Levels,” Journal of Econometrics, 112, 265–294.

10. Harris, D., S. Leybourne and B. McCabe (2008), “Testing for Long Memory,” Econometric Theory, 24, 143–175.

11. Hashimzade, N. and T.J. Vogelsang (2007), “Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators,” Journal of Time Series Analysis, 29, 142–162.
    Paper not yet in RePEc: Add citation now
    

12. Henry, O.T. (2002), “Long Memory in Stock Returns: Some International Evidence,” Applied Financial Economics, 12, 725–729.

13. Jansson, M. (2002), “Consistent Covariance Matrix Estimation for Linear Processes,” Econometric Theory, 18, 1449–1459.

14. Kiefer, N.M. and T.J. Vogelsang (2005), “A New Asymptotic Theory for Heteroskedasticity - Autocorrelation Robust Tests,” Econometric Theory, 21, 1130–1164.

15. Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Contain a Unit Root?,” Journal of Econometrics, 54, 159–178.

16. Lee, J. (1996), “On the Power of Stationarity Tests Using Optimal Bandwidth Estimates,” Economics Letters, 51, 131–137.

17. Leybourne, S.J. and B.P.M. McCabe (1994), “A Consistent Test for a Unit Root,” Journal of Business and Economic Statistics, 12, 157–166.

18. Leybourne, S.J. and B.P.M. McCabe (1999), “Modified Stationarity Tests with Data-Dependent Model Selection Rules, Journal of Business and Economic Statistics, 17, 264–270.

19. Müller, U.K. (2005), “Size and Power of Tests of Stationarity in Highly Autocorrelated Time Series,” Journal of Econometrics, 128, 195–213.
    Paper not yet in RePEc: Add citation now
    

20. Newey, W.K. and K.D. West (1994), “Automatic Lag Selection in Covariance Matrix Estimation,” Review of Economic Studies, 61, 631–653.

21. Pelagatti, M.M. and P.K. Sen (2009), “A Robust Version of the KPSS Test Based on Ranks,” working paper 20090701, Department of Statistics, Università degli Studi di Milano-Bicocca.

22. Sonora, R.J. (2008), “Bivariate Relative City Price Convergence in the United States: 1918–1997,” Review of Financial Economics, 17, 92–111.

23. Xiao, Z. (2001), “Testing the Null Hypothesis of Stationarity against an Autoregressive Unit Root,” Journal of Time Series Analysis, 22, 87–105. Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 12/11/16 8:56 PM

1. A Sufficient Statistical Test for Dynamic Stability. (2023). Nawaz, Nasreen ; Ahmed, Muhammad Ashfaq.
   In: MPRA Paper.
   RePEc:pra:mprapa:116684.

   Full description at Econpapers || Download paper

2. Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term. (2017). Baltagi, Badi ; Liu, Long ; Kao, Chihwa.
   In: Econometric Reviews.
   RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:85-102.

   Full description at Econpapers || Download paper

3. Exponential GARCH Modeling With Realized Measures of Volatility. (2016). Huang, Zhuo ; Hansen, Peter.
   In: Journal of Business & Economic Statistics.
   RePEc:taf:jnlbes:v:34:y:2016:i:2:p:269-287.

   Full description at Econpapers || Download paper

4. Estimation and Identification of Change Points in Panel Models with Nonstationary or Stationary Regressors and Error Term. (2015). Kao, Chihwa ; Baltagi, Badi ; Liu, Long.
   In: Center for Policy Research Working Papers.
   RePEc:max:cprwps:178.

   Full description at Econpapers || Download paper

5. A test of the null of integer integration against the alternative of fractional integration. (2015). Cho, Cheol-Keun ; Schmidt, Peter ; Amsler, Christine .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:187:y:2015:i:1:p:217-237.

   Full description at Econpapers || Download paper

6. Learning generates Long Memory. (2013). Mavroeidis, Sophocles ; Chevillon, Guillaume.
   In: Post-Print.
   RePEc:hal:journl:hal-00661012.

   Full description at Econpapers || Download paper

7. A note on the size of the KPSS unit root test. (2012). Amsler, Christine ; Schmidt, Peter ; Su, Jen-Je.
   In: Economics Letters.
   RePEc:eee:ecolet:v:117:y:2012:i:3:p:697-699.

   Full description at Econpapers || Download paper

8. A Comparison of the Robustness of Several Tests of Short Memory to Autocorrelated Errors. (2012). Christine, Amsler ; Peter, Schmidt .
   In: Journal of Econometric Methods.
   RePEc:bpj:jecome:v:1:y:2012:i:1:p:56-66:n:3.

   Full description at Econpapers || Download paper

9. Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable. (2012). Srivastava, Nandini ; Satchell, Stephen.
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:1209.

   Full description at Econpapers || Download paper

10. The threshold nonstationary panel data approach to forward premiums. (2011). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:34265.

    Full description at Econpapers || Download paper

11. Learning generates Long Memory. (2011). Mavroeidis, Sophocles ; Chevillon, Guillaume.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-11013.

    Full description at Econpapers || Download paper

12. Demographic volatility and economic growth: convention and beyond. (2010). Mishra, Tapas ; DIEBOLT, Claude.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:44:y:2010:i:1:p:25-45.

    Full description at Econpapers || Download paper

13. Persistence-robust Granger causality testing. (2010). Maynard, Alex ; Bauer, Dietmar.
    In: Working Papers.
    RePEc:gue:guelph:2010-11..

    Full description at Econpapers || Download paper

14. Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis. (2010). Zivot, Eric ; Choi, Kyongwook ; Sakoulis, Georgios .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:5:p:957-966.

    Full description at Econpapers || Download paper

15. Stationarity testing under nonlinear models. Some asymptotic results. (2010). Landajo, Manuel ; Presno, Maria Jose .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:31:y:2010:i:5:p:392-405.

    Full description at Econpapers || Download paper

16. Fractional Integration and Structural Breaks in U.S. Macro Dynamics. (2009). Moreno, Antonio ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0209.

    Full description at Econpapers || Download paper

17. Can exchange rate volatility explain persistence in the forward premium?. (2008). Kellard, Neil ; Sarantis, Nicholas .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:714-728.

    Full description at Econpapers || Download paper

18. Nonlinear models for strongly dependent processes with financial applications. (2008). Kapetanios, George ; Baillie, Richard T..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:60-71.

    Full description at Econpapers || Download paper

19. Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model.. (2008). Amri, Sofiane .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30042.

    Full description at Econpapers || Download paper

20. Official interventions and the forward premium anomaly. (2007). Moh, Young-Kyu ; Mark, Nelson.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:499-522.

    Full description at Econpapers || Download paper

21. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

    Full description at Econpapers || Download paper

22. The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine. (2007). Gil-Alana, Luis ; Fischer, Christian.
    In: Discussion Papers.
    RePEc:ags:ubfred:57033.

    Full description at Econpapers || Download paper

23. International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications. (2007). Gil-Alana, Luis ; Fischer, Christian.
    In: 105th Seminar, March 8-10, 2007, Bologna, Italy.
    RePEc:ags:eaa105:7859.

    Full description at Econpapers || Download paper

24. Technology Shocks and Hours Worked: A Fractional Integration Perspective. (2006). Moreno, Antonio ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0306.

    Full description at Econpapers || Download paper

25. A Further Look into the Demography-based GDP Forecasting Method.. (2006). Mishra, Tapas.
    In: Working Papers of BETA.
    RePEc:ulp:sbbeta:2006-17.

    Full description at Econpapers || Download paper

26. The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate. (2006). Chung, Sang-Kuck .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:11:y:2006:i:4:p:355-370.

    Full description at Econpapers || Download paper

27. Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes. (2006). Marmer, Vadim ; Andrews, Donald ; Lieberman, Offer.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:673-702.

    Full description at Econpapers || Download paper

28. The Nature of the Relationship between International Tourism and International Trade: The Case of Ge. (2005). Gil-Alana, Luis ; Fischer, Christian.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1505.

    Full description at Econpapers || Download paper

29. The Long and the Short of It: Long Memory Regressors and Predictive Regressions. (2005). Wohar, Mark ; Smallwood, Aaron ; Maynard, Alex.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:384.

    Full description at Econpapers || Download paper

30. Testing forward rate unbiasedness allowing for persistent regressors. (2005). Maynard, Alex ; Liu, Wei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:5:p:613-628.

    Full description at Econpapers || Download paper

31. Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float. (2004). Masih, Abul ; A. Mansur M. Masih, .
    In: Applied Economics.
    RePEc:taf:applec:v:36:y:2004:i:6:p:593-605.

    Full description at Econpapers || Download paper

32. A new t-test for the R/S analysis and long memory in agricultural commodity prices. (2004). Jin, Hyun ; Frechette, Darren L..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:11:p:661-667.

    Full description at Econpapers || Download paper

33. The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis. (2004). Sekioua, Sofiane.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:85.

    Full description at Econpapers || Download paper

34. Real convergence in Taiwan: a fractionally integrated approach. (2004). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Cuñado, Juncal ; CUNADO, J..
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:15:y:2004:i:3:p:529-547.

    Full description at Econpapers || Download paper

35. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

36. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach. (2004). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:7:y:2004:n:2:p:325-353.

    Full description at Econpapers || Download paper

37. A fractional integration analysis of the population in some OECD countries. (2003). Gil-Alana, Luis.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:30:y:2003:i:10:p:1147-1159.

    Full description at Econpapers || Download paper

38. Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market. (2003). Moh, Young-Kyu ; Mark, Nelson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9948.

    Full description at Econpapers || Download paper

39. Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests. (2003). Kutan, Ali ; Zhou, SU.
    In: Open Economies Review.
    RePEc:kap:openec:v:14:y:2003:i:4:p:369-379.

    Full description at Econpapers || Download paper

40. Stochastic behavior of nominal exchange rates. (2003). Gil-Alana, Luis.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:31:y:2003:i:2:p:159-173.

    Full description at Econpapers || Download paper

41. Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation. (2003). Zivot, Eric ; Choi, Kyongwook.
    In: EERI Research Paper Series.
    RePEc:eei:rpaper:eeri_rp_2003_02.

    Full description at Econpapers || Download paper

42. A nonlinear long memory model, with an application to US unemployment. (2002). van Dijk, Dick ; Paap, Richard ; Franses, Philip Hans.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:135-165.

    Full description at Econpapers || Download paper

43. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. (2001). Phillips, Peter ; Maynard, Alex.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:6:p:671-708.

    Full description at Econpapers || Download paper

44. Risk Premiums and Exchange Rate Expectations: A Reassessment of the So-Called Dollar Peg Policies of Crisis East Asian Countries, 1994-97. (2001). Taro, ESAKA ; Shinji, TAKAGI .
    In: ESRI Discussion paper series.
    RePEc:esj:esridp:003.

    Full description at Econpapers || Download paper

45. Waves and persistence in merger and acquisition activity. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Economics Letters.
    RePEc:eee:ecolet:v:70:y:2001:i:2:p:237-243.

    Full description at Econpapers || Download paper

46. Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums. (2001). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:461.

    Full description at Econpapers || Download paper

47. Long memory story of the real interest rate. (2000). Tsay, Wen-Jen.
    In: Economics Letters.
    RePEc:eee:ecolet:v:67:y:2000:i:3:p:325-330.

    Full description at Econpapers || Download paper

48. The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test. (2000). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher ; Delcoure, Natalya .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:464.

    Full description at Econpapers || Download paper

49. The Applied Cointegration Analysis for the Open Economy: A Critical Review. (1999). Kang, Heejoon.
    In: Open Economies Review.
    RePEc:kap:openec:v:10:y:1999:i:3:p:325-346.

    Full description at Econpapers || Download paper

50. Multiscale behaviour of volatility autocorrelations in a financial market. (1999). Serva, Maurizio ; Pasquini, Michele .
    In: Economics Letters.
    RePEc:eee:ecolet:v:65:y:1999:i:3:p:275-279.

    Full description at Econpapers || Download paper

51. Waves and Persistence in Merger and Acquisition Activity. (1999). Chakraborty, Atreya ; Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:396.

    Full description at Econpapers || Download paper

52. Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve. (1997). Startz, Richard ; Dueker, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:1994-027.

    Full description at Econpapers || Download paper

53. Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples. (1997). van Norden, Simon ; Godbout, Marie-Josee.
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-1.

    Full description at Econpapers || Download paper

54. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

    Full description at Econpapers || Download paper

55. Long memory processes and fractional integration in econometrics. (1996). Baillie, Richard.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:5-59.

    Full description at Econpapers || Download paper

56. Fractional Dynamics in Japanese Financial Time Series. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:334.

    Full description at Econpapers || Download paper

57. Unit-Root Test and Excess Returns.. (1996). van Norden, Simon ; Godbout, M. J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:96-10.

    Full description at Econpapers || Download paper

58. Merger. (). Town, R. J..
    In: Instructional Stata datasets for econometrics.
    RePEc:boc:bocins:merger.

    Full description at Econpapers || Download paper

59. Too much cocited documents. This list is not complete

Report date: 2025-02-27 03:46:52 || Missing content? Let us know