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Unit root testing using covariates Some theory and evidence

Caporale, G.M.
Pittis, N.
London Business School (United Kingdom). Centre for Economic Forecasting

Publication date

January 1997

Abstract

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.3859(20-97) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Extracted data

Related items

The size and power of combinations of unit root tests

Burridge, P.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

January 1997

Period of award 1 Sep 1994 - 29 Feb 1996SIGLEAvailable from British Library Document Supply Centre-D...

A correction factor for unit root test statistics

Bravo, F.
Southampton Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(9809) / BLDSC - British Libr...

The exact power envelope of tests for a unit root

Podivinsky, J.M.
King, M.L.
Southampton Univ. (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(no 0026) / BLDSC - British L...

Testing for unit roots in macroeconomic variables

Sahay, S.N.
Mehta, R
Bristol Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.760(BU-DE-DP--96/416) / BLDSC - ...

Testing for unit roots in heterogeneous panels

Shin, Y
Im, K.S.
Pesaran, M.H.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1995

Available from British Library Document Supply Centre- DSC:3509.88(CU-DAE-WP--9526) / BLDSC - Britis...

A simple test for a unit root

Leybourne, S.
Nottingham Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.939(92/20) / BLDSC - British Lib...

Statistical tests and related results for identification, rank and latent roots

Szroeter, J

January 1980

SIGLEAvailable from British Library Document Supply Centre- DSC:D34938/81 / BLDSC - British Library ...

Exact similar tests for unit roots and cointegration

Kiviet, J.F.
Phillips, G.D
Bristol Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--91/308) / BLDSC - ...

Testing for covariance stationarity in stock returns UK evidence

Omran, M.
Stirling Univ. (United Kingdom). Dept. of Accountancy and Finance

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9519(no 96/04) / BLDSC - British...

Unit root tests with a break in innovation variance

Kim, T.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

Available from British Library Document Supply Centre-DSC:3597.8105(no 2000/1) / BLDSC - British Lib...

A simple non-parametric test for a unit root

Burridge, P
Boero, G.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 1991

Available from British Library Document Supply Centre- DSC:3553.8(BU-DE-DP--91-26) / BLDSC - British...

Unit root tests and mean shifts

Edmonds, G.J.
O'Brien, R.
Podivinsky, J.M
Southampton Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.937(9215) / BLDSC - British Lib...

Regression-based seasonal unit root tests

Smith, R.J.
Taylor, A.R.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3553.800(99-15) / BLDSC - British Lib...

Testing for unit roots in short dynamic panels with serially correlated and heteroscedastic disturbance terms

Kruiniger, H.
Tzavalis, E.
Queen Mary, Univ. of London (United Kingdom). Dept. of Economics

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.962(no 459) / BLDSC - British Li...

Unit Root Tests

Phillips, Peter C.B.

June 1995

Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principle...

The size and power of combinations of unit root tests

Burridge, P.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

January 1997

Period of award 1 Sep 1994 - 29 Feb 1996SIGLEAvailable from British Library Document Supply Centre-D...

A correction factor for unit root test statistics

Bravo, F.
Southampton Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(9809) / BLDSC - British Libr...

The exact power envelope of tests for a unit root

Podivinsky, J.M.
King, M.L.
Southampton Univ. (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(no 0026) / BLDSC - British L...

Testing for unit roots in macroeconomic variables

Sahay, S.N.
Mehta, R
Bristol Univ. (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.760(BU-DE-DP--96/416) / BLDSC - ...

Testing for unit roots in heterogeneous panels

Shin, Y
Im, K.S.
Pesaran, M.H.
Cambridge Univ. (United Kingdom). Dept. of Applied Economics

January 1995

Available from British Library Document Supply Centre- DSC:3509.88(CU-DAE-WP--9526) / BLDSC - Britis...

A simple test for a unit root

Leybourne, S.
Nottingham Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.939(92/20) / BLDSC - British Lib...

Statistical tests and related results for identification, rank and latent roots

Szroeter, J

January 1980

SIGLEAvailable from British Library Document Supply Centre- DSC:D34938/81 / BLDSC - British Library ...

Exact similar tests for unit roots and cointegration

Kiviet, J.F.
Phillips, G.D
Bristol Univ. (United Kingdom). Dept. of Economics

January 1991

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--91/308) / BLDSC - ...

Testing for covariance stationarity in stock returns UK evidence

Omran, M.
Stirling Univ. (United Kingdom). Dept. of Accountancy and Finance

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9519(no 96/04) / BLDSC - British...

Unit root tests with a break in innovation variance

Kim, T.
Leybourne, S.
Newbold, P.
Nottingham Univ. (United Kingdom). Experian Centre for Economic Modelling (ExCEM)

January 2000

Available from British Library Document Supply Centre-DSC:3597.8105(no 2000/1) / BLDSC - British Lib...

A simple non-parametric test for a unit root

Burridge, P
Boero, G.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 1991

Available from British Library Document Supply Centre- DSC:3553.8(BU-DE-DP--91-26) / BLDSC - British...

Unit root tests and mean shifts

Edmonds, G.J.
O'Brien, R.
Podivinsky, J.M
Southampton Univ. (United Kingdom). Dept. of Economics

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.937(9215) / BLDSC - British Lib...

Regression-based seasonal unit root tests

Smith, R.J.
Taylor, A.R.
Birmingham Univ. (United Kingdom). Dept. of Economics

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3553.800(99-15) / BLDSC - British Lib...

Testing for unit roots in short dynamic panels with serially correlated and heteroscedastic disturbance terms

Kruiniger, H.
Tzavalis, E.
Queen Mary, Univ. of London (United Kingdom). Dept. of Economics

January 2002

SIGLEAvailable from British Library Document Supply Centre-DSC:9348.962(no 459) / BLDSC - British Li...

Unit Root Tests

Phillips, Peter C.B.

June 1995

Classical and Bayesian unit root test procedures are reviewed, with an emphasis on testing principle...

The size and power of combinations of unit root tests

Burridge, P.
Economic and Social Research Council (ESRC), Swindon (United Kingdom)

January 1997

Period of award 1 Sep 1994 - 29 Feb 1996SIGLEAvailable from British Library Document Supply Centre-D...

A correction factor for unit root test statistics

Bravo, F.
Southampton Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(9809) / BLDSC - British Libr...

The exact power envelope of tests for a unit root

Podivinsky, J.M.
King, M.L.
Southampton Univ. (United Kingdom). Dept. of Economics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.937(no 0026) / BLDSC - British L...