Tests for Unit Roots: a Monte Carlo Investigation

Keywords

Monte Carlo method, Econometrics, Unit (ring theory), Unit root, Statistical physics

References

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• Testing for unit roots: An empirical investigationAndrew S. Downes, Hyginus Leon — 1987
• Hypothesis testing in time series regression with a unit rootPierre Perrón — 1986
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• Expected stock returns and volatilityKenneth R. French, G. William Schwert, Robert F. Stambaugh — 1987
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• Testing for Common TrendsJames H. Stock, Mark W. Watson — 1988
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• Time series analysis, forecasting and controlPeter C. Young, S. Shellswell — 1972
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• Hypothesis Testing in ARIMA(p, 1, q) ModelsSaïd E. Saïd, David A. Dickey — 1985
• LIKELIHOOD RATIO STATISTICS FOR AUTOREGRESSIVE TIME SERIES WITH A UNIT ROOTDavid A. Dickey, Wayne A. Fuller — 1981
• Testing for a Unit Root in Time Series RegressionPeter C.B. Phillips, Pierre Perrón — 1988
• Testing for unit roots in autoregressive-moving average models of unknown orderSaïd E. Saïd, David A. Dickey — 1984
• Time series regression with a unit rootP. C. B. Phillips — 1987
• Effects of model specification on tests for unit roots in macroeconomic dataG. William Schwert — 1987
• Time Series Analysis: Forecasting and ControlMichael D. Geurts, George E. P. Box, Gwilym M. Jenkins — 1977

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• Modeling International Long-Term Interest RatesRamon P. DeGennaro, Robert A. Kunkel, Junsoo Lee — 1994
• Convergencia en precios en las provincias españolasIrene Olloqui Cuartero, Simón Sosvilla‐Rivero, Javier Alonso Meseguer — 2002
• Do Macroeconomic Variables Predict Aggregate Stock Market VolatilityBradley S. Paye — 2008
• Constructing interest rate volatility indices over short- and long-term horizonsRaquel López, Eliseo Navarro Arribas — 2011
• Convergencia Regional en México: Una Prueba de Cointegración en Precios [Regional Convergence in Mexico: A Cointegration Test with Price Index]Luis F. Cabrera-Castellanos — 2005
• An exploration of the long-run relationship between saving and investment in the developing economies: A tale of Latin American countriesDipendra Sinha, Tapen Sinha — 1998
• DEBT SERVICES, CAPITAL INFLOWS AND ECONOMIC GROWTH IN NORTH AFRICAN COUNTRIESElmashat Essadq Ali Abud — 2014
• A Test for the Null of Multiple Cointegrating VectorsJavier Fernández-Macho — 2013
• POLITICAL CONDITIONS AND FEMALE LABOUR FORCE PARTICIPATIONNooreen Mujahid — 2013
• An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countriesYiannis Kassimatis — 1994
• Oil Products Price Dynamics - Mean Reversion and Structural Breaks: Application of ARMA-GARCH-Class ModelsXiaoye Jin — 2010
• The Review of Economic Studies Ltd.Andrew Harvey, Esther Ruiz, Neil Shephard — 2011
• Editors' introduction: Resampling methods in econometricsJean‐Marie Dufour, Benoît Perron — 2005
• Mudanças de Regime no Câmbio BrasileiroCarlos Hamilton Vasconcelos Araújo, Getúlio B. da Silveira Filho — 2002
• Errores de especificación en los contrastes de raíz unitariaAntonio Montañés Bernal, Marcelo Reyes García, Jesús Clemente — 1995
• A re-examination of the relationship between FTSE100 index and futures pricesJuan Tao — 2008
• Statistical Arbitrage and Robust Tests for CointegrationThomas A. Hanson, Joshua R. Hall — 2012
• On Certain Stationarity Tests for Hydrologic SeriesAgnieszka Rutkowska, Marek Ptak — 2012
• HAUSMAN TESTS FOR SEASONAL UNIT ROOTS IN PRESENCE OF MA(1) ERRORSPatricio Aroca-gonzález, Norte Idear, Giovanni Urga — 1998

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