The power of unit root tests against nonlinear local alternatives
نویسندگان
چکیده
منابع مشابه
Nonlinear IV Panel Unit Root Tests
This paper presents the nonlinear IV methodology as an effective inferential basis for nonstationary panels. The nonlinear IV method resolves the inferential difficulties in testing for unit roots arising from the intrinsic heterogeneities and cross-dependencies of panel models. Individual units are allowed to be dependent through correlations among innovations, interrelatedness of short-run dy...
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در این پایان نامه تاثیر دو نوع تست جزیی نگر و کلی نگر بر به یادسپاری محتوا ارزیابی شده که نتایج نشان دهندهکارایی تستهای کلی نگر بیشتر از سایر آزمونها است
15 صفحه اولBootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2012
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2012.00812.x