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   RePEc:kap:jrefec:v:50:y:2015:i:4:p:465-483.

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1. B t* ρ denotes the adjusted t-statistic computed with a Bartlett kernel function and individual bandwidth parameters (Newey and West, 1994). *C pt denotes the adjusted t-statistic computed with a Quadratic Spectral kernel function and individual bandwidth parameters. Finally, * tρ denotes the adjusted t-statistic computed with a Bartlett kernel function and a common lag truncation parameter. Corresponding p-value is in parentheses. *** indicates significant at the 0.01 level.
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2. Bai, J. and Ng. S. 2004. “A Panic Attack on Unit Roots and Cointegration.” Econometrica, 72:1127-1177. Balcilar, M., Beyene, A. D., Gupta, R. and Seleteng, M. 2013. Ripple effects in the South African house prices. Urban Studies, 50(5):876-894.

3. Balcilar, M., Gupta, R. and. Shah, Z. 2011. An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa. Economic Modelling, 28(3):891-899.

4. Becker, R., Enders, W. and Lee, J. 2004. A general test for time dependence in parameters, Journal of Applied Econometrics, 19:899-906.
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5. Becker, R., Enders, W. and Lee, J. 2006. A stationairy test in the presence of an unknown number of smooth breaks, Journal of Time Series Analysis, 27(3):381-409.

6. Bierens, H.J. 1997. Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the U.S. price level and interest rate, Journal of Econometrics, 81:29-64.

7. Breuer, J.B., McNown, R., and Wallace, M.S. 2001. Misleading inferences from panel unit root tests with an illustration from purchasing power parity, Review of International Economics, 9:482-493.

8. bt are the unit root test statistics based on de-factored panel data (Moon and Perron, 2004). Corresponding p-values are in parentheses. * ˆpoolρ is the corrected pooled estimates of the auto- regressive parameter. *B at and *B bt are computed with a Bartlett kernel function in spite of a Quadratic Spectral kernel function.
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9. Burger, P. and van Rensburg, L.J. 2008. Metropolitan house prices in South Africa: Do they converge? South African Journal of Economics, 76(2):291-297.

10. C t* ρ -2.869 (0.002) -0.002*** (0.000) -2.866*** (0.002) -2.865*** (0.002) Im, Pesaran and Shin (2003) NTbart _ bartW , bartZ , DF NTbart _ DF bartZ , -0.824 2.477 (0.993) 2.421 (0.992) -0.770 2.668 (0.996) Maddala and Wu (1999) MWP MWZ 4.293 (1.000) -2.285 (0.989) Hadri (2000) Homo Hetero 2065.755 (1.00) 2676.339 (1.00) Panel C: Small middle-segment house prices Levin, Lin and Chu (2002) * pt ρˆ B t* ρ
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11. C t* ρ -3.107*** (0.001) -0.003*** (0.000) -2.990 (0.001) -3.059 (0.001) Im, Pesaran and Shin (2003) NTbart _ bartW , bartZ , DF NTbart _ DF bartZ , -0.895 2.230 (0.987) 2.155 (0.984) -1.034 1.743 (0.959) Maddala and Wu (1999) MWP MWZ 6.289 (0.995) -1.952 (0.975) Hadri (2000) Homo Hetero 1374.696 (1.00) 1841.201 (1.00) Panel B: Medium middle-segment house prices Levin, Lin and Chu (2002) * pt ρˆ B t* ρ
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12. C t* ρ -3.614*** (0.000) -0.002*** (0.000) -3.587*** (0.000) -3.629*** (0.000) Im, Pesaran and Shin (2003) NTbart _ bartW , bartZ , DF NTbart _ DF bartZ , -1.080 1.580 (0.943) 1.502 (0.933) -0.989 1.899 (0.971) Maddala and Wu (1999) MWP MWZ 8.887 (0.962) -1.519 (0.936) Hadri (2000) Homo Hetero 1552.556 (1.00) 3357.809 (1.00) Panel D: Entire middle-segment house prices Levin, Lin and Chu (2002) * pt ρˆ B t* ρ
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13. C t* ρ 24 -2.785*** (0.003) -0.001*** (0.000) -2.775*** (0.003) -2.786*** (0.003) Im, Pesaran and Shin (2003) NTbart _ bartW , bartZ , DF NTbart _ DF bartZ , -0.866 2.331 (0.990) 2.258 (0.988) -1.080 1.581 (0.943) Maddala and Wu (1999) MWP MWZ 5.044 (0.999) -2.159 (0.985) Hadri (2000) Homo Hetero 2684.379 (1.00) 4571.854 (1.00) Notes: Levin, Lin and Chu (2002): *
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14. Canarella, G., Miller, S. M. and Pollard, S. K. 2012. Unit Roots and Structural Change: An Application to US House-Price Indices. Urban Studies, 49(3):757-776.

15. Carrion-i-Silvestre, J.L., del Barrio-Castro, T. and Lopez-Bazo, E. 2005. Breaking the panels: An application to the GDP per capita. Econometrics Journal, Royal Economic Society, 8(2):159-175.

16. Chang Y. 2002. Nonlinear IV unit root tests in panels with cross-sectional dependency. Journal of Econometrics, 110: 261–292.

17. Choi (2002): the mP test is a modified Fisher’s inverse chi-square test (Choi, 2001). The Z test is an inverse normal test. The * L test is a modified logit test. p-values are in parentheses.
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18. Choi, I. 2002. “Combination Unit Root Tests for Cross-Sectionally Correlated Panels.” in The Econometric Theory and Practice: Frontiers of Analysis and Applied Research, Essays in Honor of Peter C. B. Phillips. D. Corbae, S.N. Durlauf and B.E. Hansen (eds.). Cambridge University Press, Cambridge, UK, 311-333.
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19. Chortareas, G. and Kapetanios, G. 2009. “Getting PPP right: identifying mean-reverting real exchange rates in panels.” Journal of Banking and Finance, 33:390-404.

20. Cook, S. and Vougas, D. 2009. Unit Root Testing against an ST-MTAR Alternative: Finite-Sample Properties and an Application to the UK Housing Market. Applied Economics, 41:1397-1404.

21. Das, S., Gupta, R. and Kaya, P.A. 2010. Convergence of metropolitan house prices in South Africa: A re-examination using efficient unit root tests. Applied Econometrics and International Development, 10(1):173-188.

22. Dickey, D.A. and Fuller, W.A. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49:1057-1072. 16 Elliott, G., Rothenberg, T. J. and Stock, J. H. 1996. Efficient Tests for an Autoregressive Unit Root. Econometrica, 64:813–836.

23. Diebold, F.X. and Kilian, L. 2000. Unit root tests are useful for selecting forecasting models. Journal of Business and Economic Statistics, 18:265-273.

24. Enders, W. and Lee, J. 2004. Testing for a unit root with a nonlinear Fourier function, Working Paper, Department of Economics, Finance & Legal Studies, University of Alabama, Tuscaloosa, AL, USA.

25. Enders, W. and Lee, J. 2009. The flexible Fourier form and testing for unit roots: An example of the term structure of interest rates, Working Paper, Department of Economics, Finance & Legal Studies, University of Alabama, Tuscaloosa, AL, USA.
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26. Enders, W. and Lee, J. 2012. A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4):574-599.

27. eP cMQ fMQ 2 0.554 (0.290) 21.325 (0.263) 1 2 Moon and Perron (2004) * at * bt * ˆpoolρ *B at *B bt -8.579*** (0.000) -4.582*** (0.000) 0.969 -8.499*** (0.000) -4.538*** (0.000) Choi (2002) mP Z * L -0.760 (0.776) -0.111 (0.456) -0.099 (0.461) Pesaran (2003) *
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28. eP cMQ fMQ 2 0.717 (0.237) 22.301 (0.219) 1 2 Moon and Perron (2004) * at * bt * ˆpoolρ *B at *B bt -8.586*** (0.000) -4.966*** (0.000) 0.968 -8.742*** (0.000) -4.980*** (0.000) Choi (2002) mP Z * L -0.932 (0.824) 0.419 (0.662) 0.373 (0.645) Pesaran (2003) *
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29. eP cMQ fMQ 3 -0.297 (0.617) 16.220 (0.577) 2 3 Moon and Perron (2004) * at * bt * ˆpoolρ *B at *B bt -4.451*** (0.000) -3.158*** (0.001) 0.979 -4.738*** (0.000) -3.080*** (0.001) Choi (2002) mP Z * L -0.263 (0.604) -0.304 (0.380) -0.251 (0.401) 26 Pesaran (2003) *
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30. eP cMQ fMQ 3 1.313* (0.095) 25.881 (0.103) 1 2 Moon and Perron (2004) * at * bt * ˆpoolρ *B at *B bt -9.083*** (0.000) -4.761*** (0.000) 0.964 -10.035*** (0.000) -4.934*** (0.000) Choi (2002) mP Z * L -0.877 (0.810) 0.115 (0.546) 0.110 (0.544) Pesaran (2003) *
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31. Gallant, R. 1981. On the basis in flexible functional form and an essentially unbiased form: The flexible Fourier form, Journal of Econometrics, 15:211-353. Gil-Alana, L.A., Aye, G.C. and Gupta, R. forthcoming. Testing for Persistence with Breaks and Outliers in South African House Prices. Journal of Real Estate Literature.

32. Hadri, K. 2000. Testing for Stationarity in Heterogeneous Panel Data. Econometrics Journal, 3: 148-161. Gupta, R. and Hartley, F. forthcoming. The Role of Asset Prices in Forecasting Inflation and Output in South Africa. Journal of Emerging Market Finance.

33. Hardi (2000): Hadri (homo) and Hadri (Hetero) denote the Hadri (2000) KPSS test assuming homogeneity and heterogeneity, respectively, in the estimation of the long-run variance. 25 Table 7. Second generation panel unit root test Panel A: Large house prices Bai and Ng (2004) ˆr ˆ c eZ ˆ c
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34. Im, K. S., Pesaran, M.H. and Shin, Y. 2003. “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics, 115:53-74.

35. Im, Pesaran and Shin (2003): _ DF NTt bar (respectively _ NTt bar ) denotes the mean of Dickey Fuller (respectively Augmented Dickey Fuller) individual statistics. , DF t barZ is the standardized _ DF NTt bar statistic and associated p-values are in parentheses. ,t barZ is the standardized _ NTt bar statistic based on the moments of the Dickey Fuller distribution. ,t barW denotes the standardized _ NTt bar statistic based on simulated approximated moments (Im, Pesaran and Shin, 2003, table 3). The corresponding p-values are in parentheses. * indicates significant at the 5% level.
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36. Kapetanios, G., Shin, Y., and Snell, A. 2003. Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models. Econometric Theory, 22:279–303.

37. Kim, S.W. and Bhatttacharya, R. 2009. Regional housing prices in the USA: An empirical investigation of the nonlinearity. Journal of Real Estate Finance and Economics, 38:443–460.

38. Kwiatkowski, D., Phillips, P., Schmidt, P. and Shin, J. 1992. Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics, 54:159–178.
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39. Lee, J. and Strazicich, M. C. 2003. Minimum LM Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85:1082–1089.
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40. Levin, A., Lin, C.F. and Chia-Shang Chu. 2002. “Unit Root in Panel Data: Asymptotic and Finite-Sample Properties.” Journal of Econometrics, 108:1-24.

41. Leybourne, S., Newbold, P. and Vougas, D. 1998. Unit Roots and Smooth Transitions. Journal of Time Series Analysis, 19:83–98.

42. Lumsdaine, R. and Papell, D. 1997. Multiple Trend Breaks and the Unit Root Hypothesis. Review of Economics and Statistics, 79:212–218.

43. Maddala and Wu (1999): MWP denotes the Fisher’s test statistic defined as ( )2 logMW iP p= − ∑ ; where ip are the p-values from ADF unit root tests for each cross-section. Under 0H ; MWP has 2 χ distribution with 2N of freedom when T tends to infinity and N is fixed. MWZ is the standardized statistic used for large N samples: under H0; MWZ has a N (0, 1) distribution when T and N tend to infinity.
    Paper not yet in RePEc: Add citation now
    
44. Maddala, G. and Kim, I.-M. 1998. Unit roots, cointegration and structural change, Cambridge University Press, UK.
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45. Maddala, G.S. and Wu, S. 1999. “A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test.” Oxford Bulletin of Economics and Statistics, 61: 631-652.

46. Meen, G. 1999. Regional House Prices and the Ripple Effect: A New Interpretation. Housing Studies, 14:733-753.
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47. Meen, G. 2002. The Time-Series Properties of House Prices: A Transatlantic Divide? Journal of Housing Economics, 11:1-23. 33 Moon, H. R. and Perron, B. 2004. “Testing for a Unit Root in Panels with Dynamic Factors.” Journal of 17 Econometrics, 122:81-126.

48. Moon and Perron (2004): * at and *
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49. Muñoz, S. 2003. Real Effects of Regional House Prices: Dynamic Panel Estimation with Heterogeneity. mimeo, International Monetary Fund and London School of Economics.
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50. Muellbauer, J. and Murphy, A. 1997. Booms and busts in the UK housing market. The Economic Journal, 445:1701-1727.

51. Nelson, C. R., and Plosser, C. I. 1982. Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10:139-162.

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53. P CIPS * CIPS 2 -3.082** (0.010) -3.082** (0.010) Chang (2002) IV* t 0.483 (0.685) Notes: Bai and Ng (2004): ˆr is the estimated number of common factors, based on IC criteria functions. ˆ c eP be is a Fisher’s type statistic based on p-values of the individual ADF tests. ˆ c eZ be is a standardized Choi’s type statistic for large N samples. P-values are in parentheses. The firrst estimated value 1 ˆr is derived from the filtered test fMQ and the second one is derived from the corrected test cMQ . ** and *** indicate significant at the 5% and 1% levels, respectively.
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54. P CIPS * CIPS 2-2.804** (0.010) -2.804** (0.010) Chang (2002) IV* t 2.392 (0.992) Panel C: Small house prices Bai and Ng (2004) ˆr ˆ c eZ ˆ c
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55. P CIPS * CIPS 2-3.114** (0.010) -3.114** (0.010) Chang (2002) IV* t 5.378 (1.000) Panel B: Medium house prices Bai and Ng (2004) ˆr ˆ c eZ ˆ c
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56. P CIPS * CIPS 3 -3.511** (0.010) -3.511** (0.010) Chang (2002) IV* t 4.881 (1.000) Panel D: All house prices Bai and Ng (2004) ˆr ˆ c eZ ˆ c
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57. Pascalau, R. 2010. Unit root tests with smooth breaks: an application to the Nelson-Plosser data set, Applied Economics Letters, 17:565-570.

58. Perron, P. 1989. The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57: 1361–401.

59. Pesaran (2003): CIPS is the mean of individual Cross sectionally augmented ADF statistics (CADF). * CIPS denotes the mean of truncated individual CADF statistics. Corresponding p-values are in parentheses. * P denotes the nearest integer of the mean of the individual lag lengths in ADF tests.
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60. Pesaran, M.H. 2004. “General Diagnostic Tests for Cross Section Dependence in Panels.” IZA Discussion Papers 1240, Institute for the Study of Labor (IZA).

61. Pesaran, M.H. 2007. “A Simple Unit Root Test in the Presence of Cross-Section Dependence.” Journal of Applied Econometrics, 22:265-312.

62. Peterson, W., Holly, S., and Gaudoin, P. 2002. Further Work on an Economic Model of the Demand for Social Housing. Report to the Department of the Environment, Transport and the Regions.
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63. Phillips, P. C. B., and Perron, P. 1988. Testing for a Unit Root in Time Series Regression. Biometrika, 75:335–346.
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64. pt denotes the adjusted t-statistic computed with a Bartlett kernel function and a common lag truncation parameter given by 1 3 3.21K T= (Levin and Lin, 2002). Corresponding p-value is in parentheses. ρˆ is the pooled least squares estimator. Corresponding standard error is in parentheses.
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65. Seslen, N. 2004. Housing price dynamics and household mobility decisions. Seminar Paper,USC Lusk/FBE Real Estate Seminar, September.
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29. Testing for Persistence with Breaks and Outliers in South African House Prices. (2012). GUPTA, RANGAN ; Gil-Alana, Luis ; Aye, Goodness C..
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30. Regional differences in development of life insurance markets in China. (2012). Chang, Hsu-Ling ; Pan, Guochen ; Su, Chi-Wei.
    In: Emerging Markets Review.
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31. The flexible Fourier form and Dickey–Fuller type unit root tests. (2012). Lee, Junsoo ; Enders, Walter.
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    RePEc:eee:ecolet:v:117:y:2012:i:1:p:196-199.

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32. Real interest rate parity with Flexible Fourier stationary test for Central and Eastern European countries. (2012). Liu, Lin ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Economic Modelling.
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33. Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test. (2012). Suvankulov, Farrukh ; Lau, Chi Keung ; Lau, Chi Keung Marco, ; Chau, Frankie.
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34. Macro-finance interactions in the US: A global perspective. (2011). MORANA, CLAUDIO ; Bagliano, Fabio.
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35. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
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36. Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection. (2011). Tlotlego, Naomi ; GUPTA, RANGAN ; Nkambule, Nonophile ; Chama-Chiliba, Mirriam Chitalu .
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37. Relationship between House Prices and Inflation in South Africa: An ARDL Approach. (2011). Inglesi-Lotz, Roula ; GUPTA, RANGAN.
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38. House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data. (2011). Simo-Kengne, Beatrice Desiree ; GUPTA, RANGAN ; Bittencourt, Manoel.
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39. Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks. (2011). Lau, Chi Keung ; Deesomsak, Rataporn ; Lau, Chi Keung Marco, ; Chau, Frankie.
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40. Persistence in Convergence. (2011). Yazgan, Ege ; Stengos, Thanasis.
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41. Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function. (2011). Chang, Tsangyao ; Su, Chi-Wei ; Tsangyao, Chang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:839-845.

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42. Hysteresis in unemployment for 17 OECD countries: Stationary test with a Fourier function. (2011). Chang, Tsangyao.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:5:p:2208-2214.

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43. A pair-wise approach to output convergence between European regions. (2011). le Pen, Yannick.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:955-964.

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44. Money Illusion and Rational Expectations: New Evidence from Well Known Survey Data. (2010). Maugeri, Novella.
    In: Department of Economics University of Siena.
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45. The Great Recession: US dynamics and spillovers to the world economy. (2010). MORANA, CLAUDIO ; Bagliano, Fabio.
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46. Nonparametric pseudo-Lagrange multiplier stationarity testing. (2010). Presno, Maria Jose ; Landajo, Manuel.
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47. A Note on the Oil Price Trend and GARCH Shocks. (2010). Thompson, Henry ; Li, Jing.
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48. The Great Recession: US dynamics and spillovers to the world economy. (2010). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:34-2010.

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49. Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates. (2010). Leon-Ledesma, Miguel ; Christopoulos, Dimitris.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:6:p:1076-1093.

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50. International house prices and macroeconomic fluctuations. (2010). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:3:p:533-545.

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51. The Flexible Fourier Form and Local GLS De-trended Unit Root Tests. (2009). Taylor, Robert ; Rodrigues, Paulo ; Paulo M. M. Rodrigues, ; A. M. Robert Taylor, .
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52. Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates. (2009). Leon-Ledesma, Miguel ; Christopoulos, Dimitris ; Miguel, Leon-Ledesma .
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    RePEc:pra:mprapa:22553.

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53. International Output Convergence, Breaks, and Asymmetric Adjustment. (2009). Leon-Ledesma, Miguel ; Christopoulos, Dimitris ; Miguel, Leon-Ledesma .
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    RePEc:pra:mprapa:14566.

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54. Testing for nonlinear trends when the order of integration is unknown. (2009). Leybourne, Stephen ; Harvey, David ; Xiao, Lisa .
    In: Discussion Papers.
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55. International macroeconomic dynamics: A factor vector autoregressive approach. (2009). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:2:p:432-444.

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56. International shocks and national house prices. (2008). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers - Applied Mathematics Series.
    RePEc:icr:wpmath:14-2008.

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57. A reassessment of the Feldstein-Horioka hypothesis of perfect capital mobility: evidence from historical data. (2007). Christopoulos, Dimitris.
    In: Empirica.
    RePEc:kap:empiri:v:34:y:2007:i:3:p:273-280.

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58. International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach. (2006). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: ICER Working Papers.
    RePEc:icr:wpicer:41-2006.

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59. International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach. (2006). MORANA, CLAUDIO ; Bagliano, Fabio.
    In: Carlo Alberto Notebooks.
    RePEc:cca:wpaper:32.

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60. Too much cocited documents. This list is not complete

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