Many economic theories depend on the presence or absence of a unit root for their validity,
and econometric and statistical theory undergo considerable changes when unit roots are …

This paper applies the regression quantile approach developed by Koenker and Xiao
(2004) to investigate the dynamic behavior of inflation in 12 OECD countries. By analyzing …

This paper uses a decomposition of the data into common and idiosyncratic components to
develop procedures that test if these components satisfy the null hypothesis of stationarity …

A frequent criticism of unit root tests concerns the poor power and size properties that many
of such tests exhibit. However, the past decade or so intensive research has been …

In this paper we develop a simple test procedure for a linear trend which does not require
knowledge of the form of serial correlation in the data, is robust to strong serial correlation …

In this article, we employ the methods initiated by Hansen (1995) to develop new quantile
nonlinear unit root tests with covariates. The limiting distributions of our proposed tests are …

Standard inference in cointegrating models is fragile because it relies on an assumption of
an I (1) model for the common stochastic trends, which may not accurately describe the …

Purchasing Power Parity is tested for in post-Bretton Woods real exchange rate data from 20
developed countries using univariate tests and covariate augmented versions of the …

Since the seminal paper of Nelson and Plosser (J Monet Econ 10 (2): 139–162, 1982),
analyzing the nature of shocks to macroeconomic and financial data has attracted great …

This paper obtains an asymptotic Gaussian power envelope for tests of the null hypothesis
of cointegration. In addition, the paper proposes a feasible point optimal cointegration test …