UNIT-ROOT TESTS BASED ON INSTRUMENTAL VARIABLES ESTIMATION

被引：7

作者：

LEE, JS ^{[1
]}

SCHMIDT, P ^{[1
]}

机构：

[1] MICHIGAN STATE UNIV,E LANSING,MI 48824

来源：

INTERNATIONAL ECONOMIC REVIEW | 1994年 / 35卷 / 02期

关键词：

D O I：

10.2307/2527063

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops new tests of the unit root hypothesis, based on instrumental variables estimation. The tests are asymptotically valid in the presence of moving average errors, and they are quite accurate in finite samples. They are more powerful against stationary alternatives than other tests that are equally accurate under the null.

引用

页码：449 / 462

页数：14

共 21 条

[1]

AMSLER C, 1992, UNPUB STRUCTURAL CHA

[2]

[Anonymous], 1986, NUMERICAL RECIPES

[3]

BHARGAVA A, 1986, REV ECON STUD, V52, P369

[4] THE POWER PROBLEMS OF UNIT-ROOT TESTS IN TIME-SERIES WITH AUTOREGRESSIVE ERRORS [J].