Nonlinear regression for unit root models with autoregressive errors

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 100
Issue: 3
Pages: 326-329

Authors (2)

Kim, Chang Sik (not in RePEc) Kim, In-Moo (Sungkyunkwan University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

This paper shows that the nonlinear least squares estimator for unit root models has the limiting distribution free of nuisance parameters and is more efficient than the augmented Dickey-Fuller estimator when the sum of coefficients for lagged variables is negative.

Technical Details

RePEc Handle
repec:eee:ecolet:v:100:y:2008:i:3:p:326-329
Journal Field
General
Author Count
2
Added to Database
2026-01-25