References
- Andrews , DWK and Guggenberger , P . 2003 . A bias-reduced log-periodogram regression estimator for the long-memory parameter . Econometrica , 71 : 675 – 712 .
- Baillie , R . 1996 . Long memory processes and fractional integration in economics and finance . Journal of Econometrics , 73 : 15 – 131 .
- Bec , F , Salem , MB and Carraso , M . 2004 . Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship . Journal of Business and Economic Statistics , 22 : 382 – 95 .
- Breuer , J , McNown , R and Wallace , M . 2001 . Misleading inferences from panel unit root tests with an illustration from purchasing power parity . Review of International Economics , 9 : 482 – 93 .
- Cheung , YW and Lai , KS . 1995 . Lag order and critical values of the augmented Dickey–Fuller test . Journal of Business and Economic Statistics , 13 : 277 – 80 .
- Choi , I . 1994 . Residual based tests for the null of stationarity with applications to US macroeconomic time series . Econometric Theory , 10 : 720 – 46 .
- Cook , S . 2001 . Finite-sample critical values of the augmented Dickey–Fuller statistic: a note on lag order . Economic Issues , 6 : 31 – 8 .
- Cook , S and Vougas , D . 2004 . On the finite-sample size distortion of smooth transition unit root tests . Statistics and Probability Letters , 70 : 175 – 82 .
- Darne , O . 2004 . The effects of additive outliers on stationarity tests: a Monte Carlo study . Economics Bulletin , 3 : 1 – 8 .
- Dolado , JL , Gonzalo , J and Mayoral , L . 2002 . A fractional Dickey–Fuller test for unit roots . Econometrica , 70 : 1963 – 2006 .
- Dolado , JL , Gonzalo , J and Mayoral , L . 2003a . Long range dependence in Spanish political opinion poll series . Journal of Applied Econometrics , 18 : 137 – 55 .
- Dolado , JL , Gonzalo , J and Mayoral , L . 2003b . “ Testing for a unit root against fractional alternatives in the presence of a maintained trend ” . In mimeo , Universidad Pompeu Fabra .
- Dolado , JL and Mayoral , L . 2005 . “ What is what?: a simple time-domain test of long-memory vs. structural breaks ” . In mimeo , Universidad Pompeu Fabra .
- Dolado , JL and Mayoral , L . 2006a . “ Testing I(1) against I(d) alternatives in the presence of deterministic components ” . In mimeo , Universidad Carlos III .
- Dolado , JL and Mayoral , L . 2006b . “ Testing I(1) against I(d) alternatives with Wald tests in the presence of deterministic components ” . In mimeo , Madrid : Universidad Carlos III .
- Doornik , J and Ooms , M . 2001 . “ A package for estimating, forecasting and simulating ARFIMA models: ARFIMA Package 1.01 for Ox ” . In mimeo , Oxford : Nuffield College .
- Elliot , G , Rothenberg , T and Stock , J . 1996 . Efficient tests for an autoregressive unit root . Econometrica , 46 : 813 – 36 .
- Enders , W . 2004 . Applied Time Series Econometrics , 2nd , New York : John Wiley & Sons Inc. .
- Geweke , J and Porter-Hudak , S . 1983 . The estimation and application of long-memory time series models . Journal of Time Series Analysis , 4 : 221 – 38 .
- Harvey , DI and Mills , TC . 2004 . Tests for stationarity in series with endogeously determined structural change . Oxford Bulletin of Economics and Statistics , 66 : 863 – 94 .
- Hobijn , B , Franses , P and Ooms , M . 2004 . Generalizations of the KPSS-test for stationarity . Statistica Neerlandica , 58 : 483 – 502 .
- Jensen , M . 2004 . Semiparametric Bayesian inference of long-memory stochastic volatility models . Journal of Time Series Analysis , 25 : 895 – 922 .
- Jensen , M . 2005 . The long-run fisher effect: can it be tested? , Federal Reserve Bank of Atlanta Working Paper No. 2006–11
- Kwiatkowski , D , Phillips , P , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 78 .
- Lee , J and Strazicich , MC . 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
- Leybourne , S and McCabe , B . 1994 . A consistent test for a unit root . Journal of Business and Economic Statistics , 12 : 157 – 66 .
- Leybourne , S , Newbold , P and Vougas , D . 1998 . Unit roots and smooth transitions . Journal of Time Series Analysis , 19 : 83 – 97 .
- Lobato , I and Velasco , C . 2007 . Efficient Wald tests for fractional unit roots . Econometrica , 75 : 575 – 89 .
- Lopez , C , Murray , C and Papell , D . 2005 . State of the art unit root tests and purchasing power parity . Journal of Money, Credit and Banking , 37 : 361 – 9 .
- Lothian , JT and Taylor , MP . 2005 . “ Real exchange rates over the past two centuries: how important is the Harrod–Balassa–Samuelson effect? ” . In mimeo , Working Paper Fordham University .
- MacKinnon , J . 1991 . “ Critical values for cointegration tests ” . In Long-run Economic Relationships , Edited by: Engle , RF and Granger , CW . 267 – 76 . Oxford : Oxford University Press .
- Newey , WK and West , KD . 1994 . Automatic lag selection in covariance estimation . The Review of Economic Studies , 61 : 631 – 53 .
- Ng , S and Perron , P . 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
- Nielsen , MO . 2004 . Efficient inference in multivariate fractionally integrated time series models . Econometrics Journal , 7 : 63 – 97 .
- Otero , J and Smith , J . 2005 . The KPSS test with outliers . Computational Economics , 26 : 59 – 67 .
- Pagano , M and Hartley , M . 1981 . On fitting distributed lag models subject to polynomial restrictions . Journal of Econometrics , 16 : 171 – 98 .
- Papell , D and Prodan , R . 2006 . Additional evidence of long run purchasing power parity with restricted structural change . Journal of Money, Credit and Banking , 38 : 1329 – 50 .
- Phillips , P and Xiao , Z . 1998 . A primer on unit root testing . Journal of Economic Surveys , 12 : 423 – 70 .
- Sephton , P . 2002 . Fractional cointegration: Monte Carlo estimates of critical values, with an application . Applied Financial Economics , 12 : 331 – 35 .
- Sephton , P . 2007 . “ Critical values of the augmented efficient fractional Dickey–Fuller test ” . In mimeo
- Sephton , P . 2008 . Critical values of the augmented fractional Dickey–Fuller test . Empirical Economics , 35 : 437 – 50 .
- Sollis , R . 2005 . Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity . Journal of Applied Econometrics , 20 : 79 – 98 .
- Stoev , S and Taqqu , M . 2005 . Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations . Journal of Time Series Analysis , 26 : 211 – 49 .
- Sweeney , D . 2006 . Mean reversion in nominal G-10 exchange rates . Journal of Financial and Quantitative Analysis , 41 : 685 – 708 .
- Taylor , A . 2002 . A century of purchasing power parity . The Review of Economics and Statistics , 84 : 139 – 50 .
- Taylor , M . 2003 . Purchasing power parity . Review of International Economics , 11 : 436 – 52 .
- Thornton , D and Batten , D . 1985 . Lag-length selection and tests of Granger causality between money and income . Journal of Money, Credit and Banking , 17 : 164 – 77 .
- Vougas , D . 2006 . On unit root testing with smooth transitions . Computational Statistics and Data Analysis , 51 : 797 – 800 .