Robust Unit Root Tests for a Panel TAR Model

被引：0

作者：

Shin, Dong Wan ^{[1
]}

机构：

[1] Ewha Womans Univ, Dept Stat, Seoul 120750, South Korea

来源：

KOREAN JOURNAL OF APPLIED STATISTICS | 2011年 / 24卷 / 01期

基金：

新加坡国家研究基金会;

关键词：

Asymmetry; instrumental variable estimation; robustness; TAR process; unemployment rate; unit root test;

D O I：

10.5351/KJAS.2011.24.1.011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Robust unit root tests are developed for dynamic panels consisting of TAR processes. The test statistics are all based on diverse combinations of individual t-type tests for significance of TAR coefficients. Limiting null distributions are established. A Monte-Carlo experiment compares the proposed tests. The tests are applied to a panel data set of Canadian unemployment rates which show asymmetric features as well as having outliers.

引用

页码：11 / 23

页数：13

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