RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis

DOI10.1515/snde-2016-0050OpenAlexW2425896407MaRDI QIDQ2691689

Junsoo Lee, James E. Payne, Ming Meng

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0050

zbMATH Keywords

unit roottrend breakPrebisch-Singer hypothesisrelative commodity pricesresidual augmented least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
• How Do Nonlinear Unit Root Tests Perform with Non Normal Errors?
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• Improved autoregressive forecasts in the presence of non-normal errors

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