Tests for asymmetry in possibly nonstationary dynamic panel models

Dong Wan Shin; Won Chul Jhee

doi:10.1016/j.econlet.2005.09.012

Tests for asymmetry in possibly nonstationary dynamic panel models

Dong Wan Shin, Won Chul Jhee

Department of Statistics

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	15-20
Number of pages	6
Journal	Economics Letters
Volume	91
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2005.09.012
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

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10.1016/j.econlet.2005.09.012

Cite this

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title = "Tests for asymmetry in possibly nonstationary dynamic panel models",

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.",

keywords = "Gaussian asymptotics, Instrumental variable estimation, Unit root test",

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note = "Funding Information: This research is supported by a grant from Korea Research Foundation (Grant no.: KRF-2004-042-C00017).",

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AB - 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.

KW - Gaussian asymptotics

KW - Instrumental variable estimation

KW - Unit root test

UR - https://www.scopus.com/pages/publications/33645745007

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DO - 10.1016/j.econlet.2005.09.012

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AN - SCOPUS:33645745007

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JO - Economics Letters

JF - Economics Letters

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ER -

Tests for asymmetry in possibly nonstationary dynamic panel models

Abstract

Bibliographical note

Keywords

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