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Unit root tests for panel MTAR model with cross-sectionally dependent error

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Abstract

Unit root tests are constructed for dynamic panels whose component series are momentum threshold autoregressive processes. Gaussian null asymptotics are established for the proposed tests. A Monte–Carlo experiment is conducted to compare finite sample properties of the proposed tests. The tests are illustrated by a real data set.

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Authors and Affiliations

  1. Department of Statistics, Ewha University, Seoul, 120-750, South Korea

    Dong Wan Shin & Oesook Lee

Authors
  1. Dong Wan Shin
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  2. Oesook Lee
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Correspondence to Dong Wan Shin.

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Shin, D.W., Lee, O. Unit root tests for panel MTAR model with cross-sectionally dependent error. Metrika 67, 315–326 (2008). https://doi.org/10.1007/s00184-007-0135-6

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  • DOI: https://doi.org/10.1007/s00184-007-0135-6

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