Unit Roots, Cointegration, and Structural Change

By Timothy J. Vogelsang. 2001

1,033 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f603fbaf95f3263043c8dbcbe3d01caebc8e99f0

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Citations in the corpus

Search Costs, Lags and Prices at the Pump (2002, background): “The use of seasonally adjusted data when testing for a unit root can yield biased estimates (see the discussion in Maddala and Kim, 1998, p. 364).”
The Impact of Foreign Trade, Energy Consumption and Income on Co2 Emissions (2014, neutral): “(1999) and Fisher (Maddala and Kim, 1998) were performed.”
Consumption, (Dis)Aggregate Wealth, and Asset Returns (2010, background): “Harris (1995) and Maddala and Kim (1998) present a detailed description of the panoply of alternative tests.”
Energy Consumption and Economic Growth – New Insights into the Cointegration Relationship (2010, neutral): “We do not further discuss the details of these well-known time series unit root tests but instead call attention to Maddala and Kim (1998) for their excellent treatment of ADF, PP and KPSS.5 According to our results, displayed in Table 2, the common components of energy consumption, real GDP per…”
The Dynamics of the Partisan Gender Gap (2004, methodology): “Methodologically, it is critical that we correctly estimate the persistence of the gender gap time series to ensure valid inferences about the dynamics of political processes in our multivariate analyses (e.g., Lebo, Walker, and Clarke 2000; Maddala and Kim 1998, and Parke 1999).”
Bank Lending and Property Prices: Some International Evidence (2003, methodology): “Monte Carlo studies, summarised in Maddala and Kim (1998), suggest that the Johansen procedure exhibits larger variation than single equation estimators in small samples.”
Tourism Forecasting: The General-to-Specific Approach (2003, background): “…the interpretation of multiple cointegration relationships identified by the Johansen approach is not straightforward because they imply parameter restrictions across cointegration equations (for a detailed account of the Johansen cointegration procedure, see Johansen 1991; Maddala and Kim 1998).”
The economics of employment protection (2001, background): “As a result, the power of residual-based cointegration tests used to test for the presence of the long-run cointegrating relationship is suspect (see the critique and extensive survey in Maddala and Kim, 1998).”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, methodology): “Maddala and Kim (2002) first use an OLS method to obtain the estimated variances of ε and ν .”
Dynamic models in space and time (2010, background): “By contrast, Nerlove (1999) has pointed out that the cross-section of first observations conveys a great deal of information about the process generating the data since these observations reflect how that process has operated in the past.”
A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS (2012, background): “…closer scrutiny, the proper specification of time effects becomes no less important than the specification of a difference or trend stationary time series (Nelson and Plosser, 1982; Maddala and Kim, 1998; Kao and Chiang, 2000; Baltagi, Egger, and Pfaffermayr, 2003; Mark and Sul, 2003; Chang, 2004).”