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Tests for asymmetry in possibly nonstationary dynamic panel models
- Issue Date
- Apr-2006
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Gaussian asymptotics; instrumental variable estimation; unit root test
- Citation
- ECONOMICS LETTERS, v.91, no.1, pp.15 - 20
- Journal Title
- ECONOMICS LETTERS
- Volume
- 91
- Number
- 1
- Start Page
- 15
- End Page
- 20
- ISSN
- 0165-1765
- 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. (c) 2005 Elsevier B.V. All rights reserved.
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Related Researcher
- Jhee, Won Chul
- Engineering (Industrial and Data Engineering)