Pregled bibliografske jedinice broj: 898905
DF-IV Unit Root Tests Using Stationary Instrument Variables
DF-IV Unit Root Tests Using Stationary Instrument Variables // Journal of statistical and econometric methods, 7 (2018), 1; 1-20 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 898905 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
DF-IV Unit Root Tests Using Stationary Instrument Variables
Autori
Im, Kyung So ; Lee, Junsoo ; Arčabić, Vladimir ; Hur, Mansik
Izvornik
Journal of statistical and econometric methods (1792-6602) 7
(2018), 1;
1-20
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Unit Root Tests, Dickey Fuller, Instrumental Variables, Standard Normal Distributions, t-test
Sažetak
We propose new unit root tests using stationary instrumental vari- ables in the framework of the Dickey-Fuller (DF) regression. The most noteworthy feature of the suggested tests is that they are free of nuisance parameters. Under the null hypothesis, the proposed test statistic con- verges to the standard normal distribution regardless of various types of linear deterministic trends or structural breaks in the time series.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
HRZZ-IP-2013-11-7031 - Održivost ekonomske politike i razvoja u Hrvatskoj (SCrEPoDe) (Šimurina, Jurica, HRZZ - 2013-11) ( CroRIS)
Ustanove:
Ekonomski fakultet, Zagreb
Profili:
Vladimir Arčabić
(autor)
