Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
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Publication:1925888
DOI10.1016/J.ECONLET.2012.05.006zbMATH Open1255.62264OpenAlexW2094041444MaRDI QIDQ1925888FDOQ1925888
Hyejin Lee, Junsoo Lee, Ming Meng
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
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
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Efficient Tests for an Autoregressive Unit Root
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- Recursive mean adjustment for unit root tests
- Recursive mean adjustment in time-series inferences
- Nonlinear instrumental variable estimation of an autoregression.
- Properties of recursive trend-adjusted unit root tests
- A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
Cited In (1)
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