Showing 1 - 10 of 12
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10002570513
In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section modelled as an LSTAR model. All parameters are viewed as cross section specific. We allow for serially correlated residuals over time and heterogenous variance among cross sections....
Persistent link: https://www.econbiz.de/10002595402
In this paper we introduce several test statistics of testing the null hypotheses of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure, and the trend. We derive analytical limiting distributions for all tests....
Persistent link: https://www.econbiz.de/10002577830
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...
Persistent link: https://www.econbiz.de/10002577852
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10001600044
Persistent link: https://www.econbiz.de/10009490458
Persistent link: https://www.econbiz.de/10001629835
In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...
Persistent link: https://www.econbiz.de/10001845685
This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...
Persistent link: https://www.econbiz.de/10001845699
Persistent link: https://www.econbiz.de/10000994162