Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

MoreLess

Year of publication:	2012
Authors:	Lee, Hyejin ; Meng, Ming ; Lee, Junsoo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 1, p. 214-216
Publisher:	Elsevier
Subject:	Recursive detrending \| Nuisance parameter \| Unit root \| NIV

More details

Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010580544