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Nonlinear regression for unit root models with autoregressive errors

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  • Kim, Chang Sik
  • Kim, In-Moo

Abstract

This paper shows that the nonlinear least squares estimator for unit root models has the limiting distribution free of nuisance parameters and is more efficient than the augmented Dickey-Fuller estimator when the sum of coefficients for lagged variables is negative.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 100 (2008)
Issue (Month): 3 (September)
Pages: 326-329

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Handle: RePEc:eee:ecolet:v:100:y:2008:i:3:p:326-329

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  1. Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, Econometric Society, vol. 69(1), pages 117-61, January.
  2. Joon Y. Park & Peter C. B. Phillips, 1999. "Nonstationary Binary Choice," Working Paper Series, Institute of Economic Research, Seoul National University no5, Institute of Economic Research, Seoul National University.
  3. DeJong, David N. & Nankervis, John C. & Savin, N. E. & Whiteman, Charles H., 1992. "The power problems of unit root test in time series with autoregressive errors," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 323-343.
  4. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  6. Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001. "Nonlinear Instrumental Variable Estimation of an Autoregression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1331, Cowles Foundation for Research in Economics, Yale University.
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