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Tests for asymmetry in possibly nonstationary dynamic panel models

Title
Tests for asymmetry in possibly nonstationary dynamic panel models
Authors
Wan Shin D.Jhee W.-C.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2006
Journal Title
Economics Letters
ISSN
0165-1765JCR Link
Citation
Economics Letters vol. 91, no. 1, pp. 15 - 20
Indexed
SSCI; SCOPUS WOS scopus
Document Type
Article
Abstract
For partly nonstationary dynamic panel models whose component series are threshold autoregressive processes having possibly unit roots, an instrumental variable method is applied to construct a Wald test and a t-bar type test whose limiting null distributions converge to a chi-square distribution and the standard normal distribution, respectively, as component series length increases to infinity. Finite sample sizes and powers of the proposed tests are investigated by a Monte Carlo simulation. © 2005 Elsevier B.V. All rights reserved.
DOI
10.1016/j.econlet.2005.09.012
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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