Tests for asymmetry in possibly nonstationary dynamic panel models

Dong Wan Shin, Won Chul Jhee

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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 languageEnglish
Pages (from-to)15-20
Number of pages6
JournalEconomics Letters
Volume91
Issue number1
DOIs
StatePublished - Apr 2006

Keywords

  • Gaussian asymptotics
  • Instrumental variable estimation
  • Unit root test

Fingerprint

Dive into the research topics of 'Tests for asymmetry in possibly nonstationary dynamic panel models'. Together they form a unique fingerprint.

Cite this