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Power functions and envelopes for unit root tests

Juhl, Ted; Xiao, Zhijie - In: Econometric theory 19 (2003) 2, pp. 240-253

Persistent link: https://www.econbiz.de/10001743400

Partially linear models with unit roots

Juhl, Ted; Xiao, Zhijie - 2002

Persistent link: https://www.econbiz.de/10001666256

Testing for cointegration using partially linear models

Juhl, Ted; Xiao, Zhijie - In: Journal of econometrics 124 (2005) 2, pp. 363-394

Persistent link: https://www.econbiz.de/10002515642

Partially Linear Models with Unit Roots

Juhl, Ted; Xiao, Zhijie - 2003

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in...

Persistent link: https://www.econbiz.de/10014117065