Add to ORKGWe propose new unit root tests based on instrumental variables estimation utilizing weighted moment conditions. Under the null hy-pothesis, the asymptotic distribution of the proposed test statistics is standard normal. The normality result holds in more general models using different types of linear deterministic trends and different de-trending methods. An important advantage is that the IV unit root tests do not entail nuisance parameters. In addition, the power of the new tests compares quite favorably with existing unit root tests. JEL Classification: C12, C15, C2
This paper shows that \u85nite sample properties in unit root testing can be improved upon signi\u85...
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To ...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...
This paper provides a new unit root test based on an alternative parameterization which has previous...
(not complete; do not quote) This paper proposes new unit root tests which are more powerful when th...
This paper proposes an IV-based panel unit root test that is general enough to accommodate general e...
This paper proposes an IV-based panel unit root test that is general enough to accommodate general e...
We develop new tests for the hypothesis of unit roots that are based on the marginal likelihood of t...
During the past fifteen years, the ordinary least squares estimator and the corresponding pivotal st...
© 2016 The Authors. Tests for the joint null hypothesis of a unit root based on the components repre...
This article proposes a new panel unit root test based on the generalized method of moments approach...
where} { tε are iid disturbances. When 1±=β, the series is said to possess a unit root. Tests for th...
Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend a...
We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapet...
This paper proposes some new tests for detecting the presence of a unit root in quite general time s...
This paper shows that \u85nite sample properties in unit root testing can be improved upon signi\u85...
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To ...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...
This paper provides a new unit root test based on an alternative parameterization which has previous...
(not complete; do not quote) This paper proposes new unit root tests which are more powerful when th...
This paper proposes an IV-based panel unit root test that is general enough to accommodate general e...
This paper proposes an IV-based panel unit root test that is general enough to accommodate general e...
We develop new tests for the hypothesis of unit roots that are based on the marginal likelihood of t...
During the past fifteen years, the ordinary least squares estimator and the corresponding pivotal st...
© 2016 The Authors. Tests for the joint null hypothesis of a unit root based on the components repre...
This article proposes a new panel unit root test based on the generalized method of moments approach...
where} { tε are iid disturbances. When 1±=β, the series is said to possess a unit root. Tests for th...
Dickey and Fuller (1981) suggested unit root tests for an autoregressive model with a linear trend a...
We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapet...
This paper proposes some new tests for detecting the presence of a unit root in quite general time s...
This paper shows that \u85nite sample properties in unit root testing can be improved upon signi\u85...
The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To ...
This dissertation is concerned with finding ways to improve the power of unit root tests. This disse...