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자연과학대학
통계학전공
Journal papers
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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
이외숙
;
신동완
SCOPUS Author ID
이외숙
; 신동완
Issue Date
2008
Journal Title
Metrika
ISSN
0026-1335
Citation
Metrika vol. 67, no. 3, pp. 315 - 326
Indexed
SCIE; 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
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