Abstract
For partly nonstationary dynamic panel models whose component series are threshold autoregressive processes having possibly unit roots, an instrumental variable method is applied to construct a Wald test and a t-bar type test whose limiting null distributions converge to a chi-square distribution and the standard normal distribution, respectively, as component series length increases to infinity. Finite sample sizes and powers of the proposed tests are investigated by a Monte Carlo simulation.
Original language | English |
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Pages (from-to) | 15-20 |
Number of pages | 6 |
Journal | Economics Letters |
Volume | 91 |
Issue number | 1 |
DOIs | |
State | Published - Apr 2006 |
Bibliographical note
Funding Information:This research is supported by a grant from Korea Research Foundation (Grant no.: KRF-2004-042-C00017).
Keywords
- Gaussian asymptotics
- Instrumental variable estimation
- Unit root test