Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/springer-journals/unit-roots-and-cointegration-analysis-the-impact-on-empirical-analysis-s9ZKo1OLPk
References (30)
-
B Suer (1995)
Total Factor Productivity Growth and Characteristics of Production Technology in the UK. Chemicals and Allied IndustriesApplied Economics, 27
-
D W K Andrews E Zivot (1992)
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit Root HypothesisJournal of Business and Economic Statistics, 10
-
(1995)
The Power of Cointegration Tests: Does the Frequency of Observation Matter? -
S Johansen (1988)
Statistical Analysis of Cointegrating VectorsJournal of Economic Dynamics and Control, 12
-
B Chen (1995)
Long-run Purchasing Power Parity: Evidence from Some European Monetary System CountriesApplied Economics, 27
-
J D Hamilton (1994)
Time Series Analysis -
M Hatanaka (1996)
Time-Series-Based Econometrics: Unit Roots and Cointegration -
T Yamamoto (1995)
Statistical Inference in Vector Autoregressions with Possibly Integrated ProcessesJournal of Econometrics, 66
-
C R McKenzie (1996)
On Efficient Estimation and Correct Inference in Models with Generated Regressors: A General Approach -
J Hallman C W J Granger (1991)
Nonlinear Transformations of Integrated Time SeriesJournal of Time Series Analysis, 12
-
A H M Zadeh E Elyasiani (1995)
Generalized Functional Forms and Demand for Money in an Open Economy: The Case of the United KingdomApplied Economics, 27
-
H Y Toda (1994)
Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks When Linear Trends are PresentReview of Economics and Statistics, 76
-
J H Stock (1994)
Unit Roots, Structural Breaks and Trends -
C W J Granger R F Engle (1987)
Cointegration and Error Correction: Representation, Estimation, and TestingEconometrica, 55
-
P Perron (1989)
The Great Crash, the Oil Price Shock and the Unit Root HypothesisEconometrica, 57
-
P Perron (1991)
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots -
M W Watson (1994)
Vector Autoregressions and Cointegration -
S P Cassou C Ai (1995)
A Normative Analysis of Public CapitalApplied Economics, 27
-
R F Engle S Hylleberg (1990)
Seasonal Integration and CointegrationJournal of Econometrics, 44
-
B E Hansen P C B Phillips (1990)
Statistical Inference in Instrumental Variables Regression with I(1) ProcessesReview of Economic Studies, 57
-
P Perron (1988)
Testing for a Unit Root in a Time Series RegressionBiometrika, 75
-
J C Nankervis D N DeJong (1992)
The Power Problems of Unit Root Tests in Time Series with Autoregressive ErrorsJournal of Econometrics, 53
-
(1996)
The Economic Journal: Report of the Managing Editor -
H Y Toda (1995)
Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks in Vector AutoregressionsEconometric Theory, 11
-
M Kii (1995)
Diagnostic Testing After 45 Years: The Impact on Empirical Research in Economics -
M Loretan P C B Phillips (1991)
Estimating Long-Run Economic EquilibriaReview of Economic Studies, 58
-
C A Sims (1980)
Macroeconomics and RealityEconometrica, 481
-
S Johansen (1995)
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models -
K Kobayashi (1996)
Tests of Linear and Logarithmic Transformations for Integrated Processes -
P C B Phillips D Kwiatkowski (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?Journal of Econometrics, 54
- Publisher
- Springer Journals
- Copyright
- 1997 Japanese Economic Association
- ISSN
- 1352-4739
- eISSN
- 1468-5876
- DOI
- 10.1111/1468-5876.00033
- Publisher site
- See Article on Publisher Site
Abstract
Abstract The purpose of this paper is to examine some of the impacts of the theoretical literature relating to unit roots and cointegration on empirical analysis in economics. The results of a survey of time-series-related empirical papers in seven journals in 1995 indicate that about 40 per cent and 30 per cent of papers include tests for unit roots and cointegration, respectively. In testing for unit roots, the Augmented Dickey-Fuller procedure is clearly the most commonly used test. In testing for cointegration, the closely related Engle-Granger procedure is the most commonly used test but its dominance is not as pronounced.
Journal
The Japanese Economic Review – Springer Journals
Published: Mar 1, 1997
Keywords: economics, general; microeconomics; macroeconomics/monetary economics//financial economics; econometrics; development economics; economic history