Cointegration and Unit Roots. by Dolado, J, Jenkinson, T, SosvillaRivero, S

“…The analysis of cointegration develops out of the esxistence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. …”

On the Interactions of Unit Roots and Exogeneity. by Hendry, D

“…The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships. …”

On the Interactions of Unit Roots and Exogeneity. by Hendry, D

“…The paper considers the impact on estimation and inference of interactions between the existence of unit roots in a data generation process and the presence or absence of weak and strong exogeneity of conditioning variables for the parameters of interest in individual cointegrated linear relationships. …”

Cointegration and Unit Roots: A Survey by Jenkinson, T, Dolado, J, Sosvilla-Rivero, S

“…The analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories. …”

An Empirical Study of Seasonal Unit Roots in Forecasting. by Clements, M, Hendry, D

“…It is shown that if there are shifts in the deterministic seasonal components then the imposition of unit roots can partially robustify sequences of rolling forecasts, yielding improved forecast accuracy. …”

Bartlett correction of the unit root test in autoregressive models. by Nielsen, B

The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes. by Nielsen, B

“…Unit root testing has been developed through numerous papers since the work of Dickey and Fuller (1979). …”

Power of Tests for Unit Roots in the Presence of a Linear Trend. by Nielsen, B

“…Dickey and Fuller [Econometrica (1981) Vol. 49, pp. 1057-1072] suggested unit-root tests for an autoregressive model with a linear trend conditional on an initial observation. …”

Adjusted profile likelihood applied to estimation and testing of unit roots by Pere, P, Pere, Pekka

“…<p>A short review of unit-root econometrics is given from the point of view of testing. …”

Power of tests for unit roots in the presence of a linear trend. by Nielsen, B

“…Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend and a fixed initial value. …”

A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots. by Hendry, D, Neale, A

Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing. by Spanos, A, Hendry, D, Reade, J

“…The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between linear and log--linear unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed and its empirical size and power are investigated using Monte Carlo simulations. …”

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression. by Nielsen, B, Reade, J

“…This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is known to apply in this case, simulations of statistics in the explosive region are beset by the magnitude of the numbers involved, which cause numerical inaccuracies. …”

Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression. by Nielsen, B, Reade, J

“…Nielsen (2001) has shown that for the asymptotic distribution of the likelihood ratio unit root test statistic in a higher order autoregressive model, the assumption that the remaining roots are stationary is unnecessary, and as such the approximating asymptotic distribution for the test in the difference stationary region is valid in the explosive region also. …”

Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests by Duffy, JA

“…We provide new asymptotic theory for kernel density estimators, when these are applied to autoregressive processes exhibiting moderate deviations from a unit root. This fills a gap in the existing literature, which has to date considered only nearly integrated and stationary autoregressive processes. …”

The local to unity dynamic Tobit model by Bykhovskaya, A, Duffy, J

“…We provide an application of our methods to testing for a unit root in the Swiss franc / euro exchange rate, during a period when this was subject to an occasionally binding lower bound.…”

The dynamics of crude oil price differentials by Fattouh, B

“…We model crude oil price differentials as a two-regime threshold autoregressive (TAR) process using Caner and Hansen’s (2001) method. While standard unit root tests, such as the Augmented Dickey–Fuller (ADF), are inconclusive in some instances on whether oil price differentials follow a stationary process, the null hypothesis of unit root can be strongly rejected based on the threshold unit root test, even for crude oils with very different qualities. …”

Asymptotic results for cointegration tests in non-stable cases by Nielsen, B

“…Asymptotic analyses of unit root tests in autoregressive time series are usually based on the assumptions that the number of unit roots is known and that the remaining characteristic roots are stable. …”

Modelling income processes with lots of heterogeneity by Browning, M, Ejrnaes, M, Alvarez, J

“…This is particularly important for unit root tests which are actually tests of a composite of two independent hypotheses. …”

Are Our FEERs Justified? by Barisone, G, Driver, R, Wren-Lewis, S

“…Even at an individual country level, the results provide support for the FEER, particularly in Canada, the UK and Germany. Panel unit root tests suggest that the real exchange rate and FEER cointegrate. …”