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Unit root tests based on IV estimators for time series with multiple breaks

Title
Unit root tests based on IV estimators for time series with multiple breaks
Authors
Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2008
Journal Title
Journal of the Korean Statistical Society
ISSN
1226-3192JCR Link
Citation
vol. 37, no. 1, pp. 23 - 28
Indexed
SCIE; SCOPUS; KCI WOS scopus
Abstract
Unit root tests are developed for multiple break time series. The tests, being based on an instrumental variable estimator and recursive mean adjustment, have standard Gaussian null asymptotics regardless of the number of breaks, which is not shared by other existing tests. A Monte-Carlo experiment shows that the proposed tests have stable sizes and reasonable powers. © 2008 Elsevier Ltd. All rights reserved.
DOI
10.1016/j.jkss.2007.10.001
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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