Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
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Publication:1925888
DOI10.1016/j.econlet.2012.05.006zbMath1255.62264MaRDI QIDQ1925888
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F03: Parametric hypothesis testing
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Cites Work
- A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
- Recursive mean adjustment in time-series inferences
- Nonlinear instrumental variable estimation of an autoregression.
- Nonlinear IV unit root tests in panels with cross-sectional dependency.
- Properties of recursive trend-adjusted unit root tests
- recursive Mean Adjustment for Unit Root Tests
- Efficient Tests for an Autoregressive Unit Root