References
- Nyblom , J. and Makelainen , T. 1983 . Comparisons of tests for the presence of random walk coefficients in a simple linear model . J. Am. Statist. Assoc. , 78 : 856 – 864 .
- Kwiatkowski , D. , Phillips , P. C.B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? . J. Econom. , 54 : 159 – 178 .
- Leybourne , S. J. and McCabe , B. P.M. 1994 . A consistent test for a unit root . J. Bus. Econ. Stat. , 12 : 157 – 167 .
- Nyblom , J. and Harvey , A. C. 2000 . Tests of common stochastic trends . Econom. Theory , 16 : 176 – 199 .
- Stoffer , D. S. and Wall , K. D. 1991 . Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter . J. Am. Statist. Assoc. , 86 : 1024 – 1033 .
- Stoffer , D. S. and Wall , K. D. 2004 . “ Resampling in state space models ” . In State Space and Unobserved Component Models: Theory and Applications , Edited by: Harvey , A. C. , Koopman , S. J. and Shephard , N. 171 – 202 . Cambridge : Cambridge University Press .
- Horowitz , J. L. 1997 . “ Bootstrap methods in econometrics: Theory and numerical performance ” . In Advances in Economics and Econometrics: Theory and Applications , Edited by: Kreps , D. and Wallis , K. Vol. 3 , 188 – 222 . Cambridge : Cambridge University Press .
- Berkowitz , J. and Kilian , L. 2000 . Recent developments in bootstrapping time series . Econom. Rev. , 19 : 1 – 48 .
- Li , H. and Maddala , G. S. 1996 . Bootstrapping time series models . Econom. Rev. , 15 : 115 – 158 .
- MacKinnon , J. G. 2006 . Bootstrap methods in econometrics . Econ. Record , 82 : s2 – s18 .
- Davidson , R. and MacKinnon , J. G. 2006 . The power of bootstrap and asymptotic tests . J. Econom. , 133 : 421 – 441 .
- Franco , G. C. , Koopman , S. J. and Souza , R. C. 1999 . Bootstrap tests when parameters of nonstationary time series models lie on the boundary of the parameter space . Braz. J. Probab. Stat. , 3 : 41 – 54 .
- Morley , J. and Sinclair , T. M. 2009 . Bootstrap Tests of Stationarity 1 – 26 . Mimeo
- Nankervis , J. C. and Savin , N. E. 1996 . The level and power of the bootstrap t-test in the AR(1) model with trend . J. Bus. Econ. Stat. , 14 : 161 – 168 .
- Ferretti , N. and Romo , J. 1996 . Bootstrap tests for unit root AR(1) models . Biometrika , 84 : 849 – 860 .
- Burridge , P. and Taylor , A. M.R. 2004 . Bootstrapping the HEGY seasonal unit roots tests . J. Econom. , 123 : 67 – 87 .
- Andrews , D. W.K. 2000 . Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space . Econometrica , 68 : 399 – 405 .
- Lee , J. 1996 . On the power of stationarity tests using optimal bandwidth estimates . Econ. Lett. , 51 : 131 – 137 .
- Caner , M. and Kilian , L. 2001 . Size distortions of tests of the null hypothesis of stationarity: Evidence and implications for the PPP debate . J. Int. Money Finance , 20 : 639 – 657 .
- Harvey , A. C. 1989 . Forecasting, Structural Time Series Models and the Kalman Filter , Cambridge : Cambridge University Press .
- Durbin , J. and Koopman , S. J. 2001 . Time Series Analysis by State Space Methods , Oxford : Oxford University Press .
- Hamilton , J. D. 1994 . Time Series Analysis , Princeton , NJ : Princeton University Press .
- Tanaka , K. 1996 . Time Series Analysis: Nonstationary and Noninvertible Distribution Theory , New York : Wiley .
- Busetti , F. and Harvey , A. C. 2003 . Seasonality tests . J. Bus. Econ. Stat , 21 : 420 – 436 .
- Azzalini , A. 1985 . A class of distributions which includes the normal ones . Scand. J. Stat. , 12 : 171 – 178 .
- Fuller , W. A. 1996 . Introduction to Time Series , New York : John Wiley .
- Harvey , A. C. , Ruiz , E. and Shephard , N. 1994 . Multivariate stochastic variance models . Rev. Econ. Stud. , 61 : 247 – 264 .
- Canova , F. and Hansen , B. E. 1995 . Are seasonal patterns constant over time? A test for seasonal stability . J. Bus. Econ. Stat. , 2 : 292 – 349 .
- Busetti , F. 2006 . Tests of seasonal integration and cointegration in multivariate unobserved component models . J. Appl. Econom. , 21 : 409 – 418 .
- Nyblom , J. 1989 . Testing the constancy of parameters over time . J. Am. Statist. Assoc. , 84 : 223 – 230 .
- Andrews , D. W.K. 1993 . Tests for parameter instability and structural change with unknown change point . Econometrica , 61 : 821 – 856 .