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

Dong Wan Shin; Oesook Lee

doi:10.1007/s00184-007-0135-6

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

Dong Wan Shin
, Oesook Lee

Department of Statistics

Research output: Contribution to journal › Article › peer-review

3 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 language	English
Pages (from-to)	315-326
Number of pages	12
Journal	Metrika
Volume	67
Issue number	3
DOIs	https://doi.org/10.1007/s00184-007-0135-6
State	Published - Apr 2008

Keywords

Gaussian asymptotics
Instrumental variable estimation
Unit root test

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10.1007/s00184-007-0135-6

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title = "Unit root tests for panel MTAR model with cross-sectionally dependent error",

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.",

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

author = "Shin, \{Dong Wan\} and Oesook Lee",

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AU - Shin, Dong Wan

AU - Lee, Oesook

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AB - 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.

KW - Gaussian asymptotics

KW - Instrumental variable estimation

KW - Unit root test

UR - https://www.scopus.com/pages/publications/41049096197

U2 - 10.1007/s00184-007-0135-6

DO - 10.1007/s00184-007-0135-6

M3 - Article

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VL - 67

SP - 315

EP - 326

JO - Metrika

JF - Metrika

IS - 3

ER -

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

Abstract

Keywords

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