Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

DOI10.1016/J.ECONLET.2012.05.006MaRDI QIDQ1925888zbMATH OpenOpenAlexFDO

Authors Hyejin Lee, Ming Meng, Junsoo Lee

Publication date 27 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.05.006

zbMATH Keywords

nuisance parameterNIV

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit Root Tests Based on Instrumental Variables Estimation
• Performance of unit-root tests for non linear unit-root and partial unit-root processes
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Testing for unit root in nonlinear heterogeneous panels
• Recursive adjusted unit root tests under non-stationary volatility
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Testing for a unit root in noncausal autoregressive models

Cites work

• A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
• Efficient Tests for an Autoregressive Unit Root
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonlinear instrumental variable estimation of an autoregression.
• Properties of recursive trend-adjusted unit root tests
• Recursive mean adjustment for unit root tests
• Recursive mean adjustment in time-series inferences

Cited in

(1)

• Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures

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