An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models.

DOI10.1016/S0304-4076(03)00091-5zbMath1191.62155MaRDI QIDQ1810677

Oesook Lee, Dong Wan Shin

Publication date: 9 June 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Instrumental variable estimationRecursive mean adjustmentOne-sided test

Mathematics Subject Classification ID

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

Related Items (7)

An instrumental variable approach for panel unit root tests under cross-sectional dependence ⋮ Asymmetry and nonstationarity for a seasonal time series model ⋮ Adaptive consistent unit-root tests based on autoregressive threshold model ⋮ Tests for asymmetry in possibly nonstationary dynamic panel models ⋮ Unit root tests for cross-sectionally dependent seasonal panels ⋮ A sign test for unit roots in a momentum threshold autoregressive process ⋮ Unit root tests for panel MTAR model with cross-sectionally dependent error

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