Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

C-Tier

Journal: Economics Letters

Year: 2012

Volume: 117

Issue: 1

Pages: 214-216

Authors (3)

Lee, Hyejin (not in RePEc) Meng, Ming (not in RePEc) Lee, Junsoo (University of Alabama-Tuscaloo...)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Authors (3)

Abstract

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