Markku Lanne

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  • Home
  • Research by Topic
    • Noncausal and Noninvertible Time Series
    • Unit Root and Stationarity Tests
    • Near Unit Roots
    • Structural VAR
    • Volatility Modeling
    • Empirical Finance
    • Nonlinear Time Series Models
    • Other Research
  • Publications
  • Working Papers
  • Teaching
    • Advanced Econometrics II
    • Topics in Macroeconometrics

Unit Root and Stationarity Tests

Publications

  • Lanne, M., and M. Liski (2004). Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870 – 2028, Energy Journal 25, 41 – 65. (working paper version)
  • Lanne, M., H. Lütkepohl, and P. Saikkonen (2003). Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics 65, 91 – 115.
  • Lanne, M., and P. Saikkonen (2003). Reducing Size Distortions of Parametric Stationarity Tests, Journal of Time Series Analysis 24, 423 – 439.
  • Lanne, M., and H. Lütkepohl (2002). Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals, Economics Letters 75, 109 – 114.
  • Lanne, M., H. Lütkepohl, and P. Saikkonen (2002). Comparison of Unit Root Tests for Time Series with Level Shifts, Journal of Time Series Analysis 23, 667 – 685.