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Unit Root Tests Based on Instrumental Variables Estimation

Author

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  • Lee, J.
  • Schmidt, P.

Abstract

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. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Lee, J. & Schmidt, P., 1990. "Unit Root Tests Based on Instrumental Variables Estimation," Papers 9008, Michigan State - Econometrics and Economic Theory.
    • Handle: RePEc:fth:mistet:9008
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    Cited by:

    1. Tilak Abeysinghe & Gulasekaran Rajaguru, 2009. "A Gaussian Test for Cointegration," Microeconomics Working Papers 22013, East Asian Bureau of Economic Research.
    2. Ahmed, Muhammad Ashfaq & Nawaz, Nasreen, 2023. "A Sufficient Statistical Test for Dynamic Stability," MPRA Paper 116684, University Library of Munich, Germany.
    3. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, April.
    4. Alastair Hall, 1995. "Residual Autocovariances And Unit Root Tests Based On Instrumental Variable Estimators From Time Series Regression Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 555-569, November.

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