Unit Root Tests Based on Instrumental Variables Estimation
AbstractThis 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. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoPaper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9008.
Length: 43 pages
Date of creation: 1990
Date of revision:
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Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Web page: http://econ.msu.edu/
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econometrics ; statistical analysis ; economic models;
Other versions of this item:
- Lee, Junsoo & Schmidt, Peter, 1994. "Unit Root Tests Based on Instrumental Variables Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(2), pages 449-62, May.
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- Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22.
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