Nonparametric tests for unit roots and cointegration

By J. Breitung. 2002

454 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a4be1ce01682132bac31df2b1865bb6d4b9e347b

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In Economics and Econometrics

Citations in the corpus

Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “Note that (9) generalizes the idea of Vogelsang (1998a, 1998b) and Breitung (2002) who suggested using the ratio of the sample variance of zt and that of the partial sum of zt (i.”
New Simple Tests for Panel Cointegration (2005, methodology): “In so doing, we propose two new variance ratio tests, which may be regarded as panel generalizations of the univariate unit root test by Breitung (2002).”
Powerful Trend Function Tests That Are Robust to Strong Serial Correlation, With an Application to the Prebisch–Singer Hypothesis (2005, methodology): “The following lemma follows directly from Park (1990), Park and Choi (1988), and Breitung (2002).”
The CO2-Growth nexus revisited: A nonparametric analysis for G7 economies over nearly two centuries (2017, unknown): “The results derived from the Breitung (2002) nonlinear unit root test are similar to those of Bierens (1997a), confirming the robustness of the unit root analysis.”
Exploring the Relationship between Energy Usage Segregation and Environmental Degradation in N-11 Countries (2017, methodology): “To check the order of integration, we applied unit root tests, including the Levin-Lin-Chu (LLC) test (Levin et al. 2002), Breitung (2002), Im-Pesaran-Shin (Im et al. 2003) and the Fisher-type augmented Dickey-Fuller test (Maddala and Wu, 1999).”
Unit Roots and Cointegration in Panels (2005, unknown): “9.1 Single Equation Estimators . . . . . . . . . . . . . . . . . . . 32 9.2 System Estimators . . . . . . . . . . . . . . . . . . . . . . . . 35”
Differential impacts of rainfall and irrigation on agricultural production in Nigeria: Any lessons for climate-smart agriculture? (2016, methodology): “Results of the unit roots tests As a necessary step for estimating times series econometric odels, we examined the variables used for the GMM model for tationarity (or unit roots) using comparable standard test statistic ecommended in literature (Breitung, 2002).”
What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries (2016, methodology): “Therefore, in order to avoid the disadvantages of Levin-Lin-Chu unit root test, we also apply Breitung panel unit root test developed in (Breitung, 2002).”
Dealing with Structural Breaks (2005, background): “The same statistic is also the basis for a test of the null hypothesis of no-cointegration when considering functional of its reciprocal (Breitung, 2002).”
An Analysis of Exports and Growth in India: Cointegration and Causality Evidence (1971-2001) (2005, methodology): “To get around this problem we employ the recently developed nonparametric test for cointegration developed by Breitung (2002).”
Is the tourism-led growth hypothesis valid after the global economic and financial crisis? The case of Spain 1957–2014 (2017, methodology): “The variance ratio of Breitung (2002) is similar to the test statistic suggested by the KPSS.”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “(2001), and Breitung (2005) and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedroni (2001), and Breitung (2005). We study the impact of stable autoregressive roots approaching the unit circle, of I (2) components, of short-run cro”
SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS (2009, methodology): “Although we analyze tests based on the maxima of these sequences of statistics, tests based on the corresponding mean- or mean-exponential-type statistics of, inter alia, Hansen (1992) and Andrews and Ploberger (1994), respectively, could also be used.”