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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
vol. 67, no. 3, pp. 315 - 326
Indexed
SCIE; SCOPUS WOS scopus
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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