Unit Root Tests Based on Instrumental Variables Estimation

DOI10.2307/2527063MaRDI QIDQ4301663zbMATH OpenOpenAlexFDO

Authors Peter Schmidt, Junsoo Lee

Publication date 14 August 1994

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527063

zbMATH Keywords

finite samplesinstrumental variables estimationmoving average errorsnew tests of the unit root hypothesisstationary alternativestables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing for a unit root in time series using instrumental variable estimators with pretest data based model selection
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• An instrumental variable approach for panel unit root tests under cross-sectional dependence

Cited in

(15)

• Unit root tests based on IV estimators for time series with multiple breaks
• Testing for unit roots in autoregressive moving average models. An instrumental variable approach
• Testing for unit roots with stationary covariates
• Performance of nonlinear instrumental variable unit root tests using recursive detrending methods
• Unit Root Tests under Time-Varying Variances
• Unit Roots, Cointegration, and Pretesting in Var Models
• Testing for a unit root in the presence of moving average errors
• JOINT HYPOTHESIS TESTS FOR A RANDOM WALK BASED ON INSTRUMENTAL VARIABLE ESTIMATORS
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS
• Unit root test for short panels with serially correlated errors
• Estimating the persistence and the autocorrelation function of a time series that is measured with error
• scientific article; zbMATH DE number 6424126 (Why is no real title available?)
• Instrumental variable based unit root tests when both ARMA (p,q) orders are chosen to be too large
• Unit root testing based on BLUS residuals

This page was built for publication: Unit Root Tests Based on Instrumental Variables Estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4301663)