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Tests for seasonal unit roots in panels of cross-sectionally correlated time series

Title
Tests for seasonal unit roots in panels of cross-sectionally correlated time series
Authors
Shin D.W.Oh M.-S.
Ewha Authors
오만숙신동완
SCOPUS Author ID
오만숙scopus; 신동완scopus
Issue Date
2009
Journal Title
Statistics
ISSN
0233-1888JCR Link
Citation
vol. 43, no. 2, pp. 139 - 152
Indexed
SCI; SCIE; SCOPUS WOS scopus
Abstract
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.
DOI
10.1080/02331880701600463
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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