Testing for a Unit Root in Time Series with GJR-GARCH Errors

By Zuo-xiang Peng. 2005

334 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8c8a49ccea55b2246618d64779db91946c934815

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1. Muntasir Murshed
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Citations in the corpus

• Revisiting the CO2 emission-induced EKC hypothesis in South Asia: the role of Export Quality Improvement (2020, methodology): “However, although the conventional time series unit root testing techniques such as the Augmented Dickey–Fuller (Dickey and Fuller 1979) and the Phillips–Perron (Phillips and Perron 1988) tests have been popularly used in the literature, these tests are said to produce biased estimates in the presen”
• The contribution of tourism development to economic growth in the Korean economy (2005, methodology): “Dickey–Fuller (DF), Augmented Dickey–Fuller (ADF) and Phillips–Perron (PP) tests were employed to test the non-stationarity of the variables (Phillips & Perron, 1988).”
• Analysis of the causality links between the growth of the construction industry and the growth of the macro‐economy in Ghana (2007, methodology): “The study used two well-known unit root tests known as augmented Dickey–Fuller (ADF) test (Dickey and Fuller, 1979, 1981) and the Phillips– Perron (PP) test (Phillips and Perron, 1988).”
• Effects of macroeconomic variables on Istanbul stock exchange indexes (2005, methodology): “The augmented Dickey–Fuller (ADF) (Dickey and Fuller, 1979) and Phillips–Perron (PP) nonparametric test (Phillips and Perron, 1988) were employed to determine the time series properties (or the order of integration) of each variable to avoid the problem of non-stationarity of the data by testing…”
• Dynamic analysis between the US stock returns and the macroeconomic variables (2007, methodology): “A variety of tests, namely the augmented Dickey-Fuller, ADF, and Phillips and Perron (1988) and Perron (1988), PP, unit root tests are used in this study to test the order of integration in each series.”
• A new unit root test against ESTAR based on a class of modified statistics (2008, background): “Since linear unit root tests like the ones of Dickey-Fuller (1979) and Phillips and Perron (1988) often fail to reject the null hypothesis of non-stationarity when being applied to real exchange rate data, researchers tend to use nonlinear unit root tests where the specific model that is true under…”
• Bivariate frequency analysis of floods using a diffusion based kernel density estimator (2013, unknown): “, 1992], and (iii) two unit root tests : Augmented Dickey-Fuller (ADF) [Said and Dickey, 1984] and Phillips-Perron (PP) [Phillips and Perron, 1988].”
• Foreign direct investment, pollution and economic growth: evidence from Malaysia (2009, result): “This allows us to avoid the problem associated with conflicting results of the conventional unit root tests, such as Dickey and Fuller (1979, 1981), Phillips and Perron (1988) and Kwiatkowski et al. (1992) and the low power of these tests.”
• Stochastic volatility forecasting and risk management (2005, background): “Augmented Dickey and Fuller (1979) (ADF) and Phillips and Perron (1988) (PP) unit root tests for non-stationarity in the log range of the financial prices indicate no evidence of non-stationarity (Table 1).”