오만숙
신동완
2016-10-20T02:10:35Z
2016-10-20T02:10:35Z
2009
0233-1888
OAK-5482
http://dspace.ewha.ac.kr/handle/2015.oak/232507
For panel models of cross-sectionally correlated time series, seasonal unit root tests are constructed for each seasonal frequency. The tests are based on instrumental variable estimators which are modifications of signs of the regressors. Cross-sectional correlation is controlled by rotating the system of time series using an estimated error covariance matrix. The limiting null distributions of the tests are chi-squared and are free from nuisance parameters arising from cross-sectional correlation. A Monte-Carlo experiment compares size and power performances of the proposed tests. © 2009 Taylor & Francis.
English
Tests for seasonal unit roots in panels of cross-sectionally correlated time series
Article
2
43
SCI
SCIE
SCOPUS
139
152
Statistics
10.1080/02331880701600463
WOS:000264336800004
2-s2.0-69249211231
Shin D.W.
Oh M.-S.
오만숙(7201600334)
신동완(7403352539)
20170601134935