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Unit root tests for panel MTAR model with cross-sectionally dependent error

Title
Unit root tests for panel MTAR model with cross-sectionally dependent error
Authors
Shin D.W.Lee O.
Ewha Authors
이외숙신동완
SCOPUS Author ID
이외숙scopus; 신동완scopus
Issue Date
2008
Journal Title
Metrika
ISSN
0026-1335JCR Link
Citation
Metrika vol. 67, no. 3, pp. 315 - 326
Indexed
SCIE; SCOPUS WOS scopus
Document Type
Article
Abstract
Unit root tests are constructed for dynamic panels whose component series are momentum threshold autoregressive processes. Gaussian null asymptotics are established for the proposed tests. A Monte-Carlo experiment is conducted to compare finite sample properties of the proposed tests. The tests are illustrated by a real data set. © 2007 Springer-Verlag.
DOI
10.1007/s00184-007-0135-6
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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