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On the power of stationarity tests using optimal bandwidth estimates

Lee, Junsoo - In: Economics letters 51 (1996) 2, pp. 131-137

Persistent link: https://www.econbiz.de/10001201052

Unit root tests based on instrumental variables estimation

Lee, Junsoo - In: International economic review 35 (1994) 2, pp. 449-462

Persistent link: https://www.econbiz.de/10001164416

A modification of the Schmidt-Phillips unit root test

Schmidt, Peter - In: Economics letters 36 (1991) 3, pp. 285-289

Persistent link: https://www.econbiz.de/10001107893

Average derivative estimation of hedonic price models

Lee, Junsoo; Kwak, Seung-jun; List, John A. - In: Environmental & resource economics : the official … 16 (2000) 1, pp. 81-91

Persistent link: https://www.econbiz.de/10001470829

More powerful cointegration tests with non-normal errors

Lee, Hyejin; Lee, Junsoo; Im, KyungSo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 397-413

Persistent link: https://www.econbiz.de/10011339425

RALS-LM unit root test with trend breaks and non-normal errors : application to the Prebisch-Singer hypothesis

Meng, Ming; Lee, Junsoo; Payne, James E. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 31-45

Persistent link: https://www.econbiz.de/10011650185

Response surface estimates of the LM unit root tests

Nazlıoğlu, Şaban; Lee, Junsoo - In: Economics letters 192 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012508574

Testing for stationarity with covariates : more powerful tests with non-normal errors

Nazlıoğlu, Şaban; Lee, Junsoo; Karul, Cagin; You, Yu - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 191-203

Persistent link: https://www.econbiz.de/10013334708

Cointegration tests using instrumental variables

Lee, Junsoo; Yucel, Ali Gokhan - In: International journal of empirical economics 1 (2022) 2, pp. 1-39

This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of our tests is that the asymptotic distribution remains standard normal (or Chi-square) regardless of the number of regressors, differing deterministic terms, structural dummies,...

Persistent link: https://www.econbiz.de/10014331711

More Powerful Unit Root Tests with Non-Normal Errors

Im, Kyung So - 2014

This paper proposes new unit root tests that are more powerful when the error term follows a non-normal distribution. The improved power is gained by utilizing the additional moment conditions embodied in non-normal errors. Specifi cally, we follow the work of Im and Schmidt (2008), using the...

Persistent link: https://www.econbiz.de/10013070466