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자연과학대학
통계학전공
Journal papers
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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
신동완
Issue Date
2006
Journal Title
Economics Letters
ISSN
0165-1765
Citation
Economics Letters vol. 91, no. 1, pp. 15 - 20
Indexed
SSCI; 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
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