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

DOI10.1016/j.econlet.2012.05.006zbMath1255.62264OpenAlexW2094041444MaRDI 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

zbMATH Keywords

nuisance parameterNIV

Mathematics Subject Classification ID

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

Related Items (1)

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

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

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