Unit Root Tests Based on Instrumental Variables Estimation

DOI10.2307/2527063zbMath0795.62103OpenAlexW2044648606MaRDI QIDQ4301663

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

tablesfinite samplesinstrumental variables estimationmoving average errorsstationary alternativesnew tests of the unit root hypothesis

Mathematics Subject Classification ID

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

Related Items (3)

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

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