TESTS OF COMMON STOCHASTIC TRENDS

By J. Nyblom, Andrew S. Harvey. Econometric Theory, 2000

200 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3bfcb077204275549d0e1f8c1bd99c891c32df16

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Citations in the corpus

Variance Shifts, Structural Breaks, and Stationarity Tests (2003, unknown): “O¿V / is .748 in Tables 2 and 3 and .247 in Tables 4 and 5 (cf. Nyblom and Harvey 2000, tables 1 and 2, pp. 180–181, for N D 2 and K D 0).”
A PANIC Attack on Unit Roots and Cointegration (2004, methodology): “If knowledge of r̄ is essential, methods that detect the number of cointegrating vectors in a small number of series, such as developed by Stock and Watson (1988) or Nyblom and Harvey (2000), can be applied to the vector series F̂t.”
Stock Prices, News and Economic Fluctuations (2006, unknown): “Fama (1990) shows that monthly, quarterly, and annual stock returns are highly correlated with future production growth rates for the 1953–1987 period. This result is confirmed on a extended sample (1889–1988) by G. William Schwert (1990). Both authors argue that the relationship between current sto”
Bootstrap LR tests of stationarity, common trends and cointegration (2012, unknown): “Nyblom and Harvey [4] (NH henceforth) have provided a locally optimal invariant (LBI) and one-sided LM test of the hypothesis H0 : η = 0 against the ‘homogenous’ alternative H1 : η = q ε, where q is the signal-to-noise ratio; the results for a univariate series, N = 1, were obtained earlier in [1].”
A REVIEW OF SYSTEMS COINTEGRATION TESTS (2001, methodology): “For the multivariate case Harris (1997), Nyblom and Harvey (2000) and Breitung and Trenkler (1999) propose tests for H0 : r = r0 against H1 : r< r0, r0 > 0, and Snell (1999) considers testing H0 : r = r0 against H1 : r = r07 1.”
Modeling frailty-correlated defaults using many macroeconomic covariates (2011, methodology): “Equation (5) is the static representation of an approximate dynamic factor model and is described in Stock and Watson (2002a). The static representation (5) can be derived from a dynamic specification such as xit = υi(L)ft + eit by assuming that the lag polynomials υi(L) operating on the factors ft ”
Dealing with Structural Breaks (2005, background): “…literature, several extensions of this test have been proposed; in particular for testing the null hypothesis of cointegration versus the alternative of no cointegration (Nyblom and Harvey, 2000) and testing whether any part of a sample shows a vector of series to be cointegrated (Qu, 2004).”
Current account patterns and national real estate markets (2008, unknown): “1 See McKinnon and Pill (1996). Further discussion of the association between capital inflows, asset valuation and financial fragility can be found in Calvo, Leiderman and Reinhart (1996), Krugman (1998), Edison, Luangaram and Miller (1998), Quigley (2001), and Kim and Lee (2002). See Aizenman (2004”
IDENTIFYING AND I NTERPRETING R EGIONAL CONVERGENCE CLUSTERS ACROSS EUROPE (2005, background): “The sociodemographic effects are indicators of regional-urban agglomeration and classify 12 The asymptotic properties of multivariate stationarity tests, including the KPSS extension of Nyblom and Harvey (2000), are usually derived under the assumption of a large number of time periods.”
Testing the Null of Cointegration With Structural Breaks (2006, unknown): “In brief, he extends the multivariate Nyblom and Harvey (2000) and Kwiatkowski et al. (1992) test statistic for those situations in which the time trend is a¤ected by a structural break that shifts the level and/or the slope of the variables.”
Structural changes, common stochastic trends and unit roots in panel data (2004, methodology): “It can be shown that the response surfaces in Table 3 provides a good approximation of the critical values for the Cramér-von Misses distribution computed in Canova and Hansen (1995) and Nyblom and Harvey (2000).”
Temporal Disaggregation Using Multivariate Structural Time Series Models (2005, unknown): “One possible solution, adopted in the disaggregations discussed below, consists in using parametric versions of the tests based on the innovations obtained from the model estimated at the lower frequency the series are observed (see, e.g., Harvey 2001; Nyblom and Harvey 2000, 2001).”
Corporate social responsibility and corporate performance: evidence from a panel of US listed companies (2005, methodology): “To check for it, we use the Nyblom and Harvey (2000) test which has the advantage of allowing for serial correlation in residuals and of not requiring any model to be estimated.8 The test rejects the null hypothesis of absence of common stochastic trends under the assumption of nonIID SEs (NH adj.…”