Unit root tests for panel MTAR model with cross-sectionally dependent error

Dong Wan Shin, Oesook Lee

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

Unit root tests are constructed for dynamic panels whose component series are momentum threshold autoregressive processes. Gaussian null asymptotics are established for the proposed tests. A Monte-Carlo experiment is conducted to compare finite sample properties of the proposed tests. The tests are illustrated by a real data set.

Original languageEnglish
Pages (from-to)315-326
Number of pages12
JournalMetrika
Volume67
Issue number3
DOIs
StatePublished - Apr 2008

Keywords

  • Gaussian asymptotics
  • Instrumental variable estimation
  • Unit root test

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