DOI QR코드

DOI QR Code

Robust Unit Root Tests for a Panel TAR Model

  • Received : 20101000
  • Accepted : 20101100
  • Published : 2011.02.28

Abstract

Robust unit root tests are developed for dynamic panels consisting of TAR processes. The test statistics are all based on diverse combinations of individual t-type tests for significance of TAR coefficients. Limiting null distributions are established. A Monte-Carlo experiment compares the proposed tests. The tests are applied to a panel data set of Canadian unemployment rates which show asymmetric features as well as having outliers.

Keywords

References

  1. Bai, J. and Ng, S. (2004). A PANIC attack on unit roots and cointegration, Econometrica, 72, 1127–1177.
  2. Caner, M. and Hansen, B. E. (2001). Threshold autoregression with a near unit root, Econometrica, 69, 1555–1596.
  3. Choi, I. (2001). Unit root tests for panel data, Journal of International Money and Finance, 20, 249-272. https://doi.org/10.1016/S0261-5606(00)00048-6
  4. Choi, I. and Chue, T. K. (2007). Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices, Journal of Applied Econometrics, 22, 233-264. https://doi.org/10.1002/jae.920
  5. Enders, W. and Granger, C. W. J. (1998). Unit root tests and asymmetric adjustment with an example using the term structure of interest rates, Journal of Business & Economic Statistics, 16, 304–311.
  6. Gengenbach, C., Palm, F. C. and Urbain, J. P. (2010). Panel Unit Root Tests in the Presence of Cross-sectional Dependencies: Comparison and Implications for Modelling, Econometric Reviews.
  7. Hansen, B. and Seo, B. (2002). Testing for two-regime threshold cointegration in vector error correction models, Journal of Econometrics, 110, 293-318. https://doi.org/10.1016/S0304-4076(02)00097-0
  8. Herce, M. A. (1996). Asymptotic theory of LAD estimation in a unit root process with finite variance errors, Econometric Theory, 12, 129-153. https://doi.org/10.1017/S0266466600006472
  9. Herwartz, H. and Siedenburg, F. (2008). Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap, Computational Statistics & Data Analysis, 53, 137-150. https://doi.org/10.1016/j.csda.2008.07.008
  10. Huber, P. J. (1981). Robust Statistics, John Wiley & Sons, New York.
  11. Im, K. S., Pesaran, M. H. and Shin, Y. (2003). Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53-74. https://doi.org/10.1016/S0304-4076(03)00092-7
  12. IMSL (1989). User's Manual, IMSL, Houston, Texas.
  13. Koop, G. and Potter, S. M. (1999). Dynamic asymmetries in U.S. unemployment, Journal of Business & Economic Statistics, 17, 298-312. https://doi.org/10.2307/1392288
  14. Levin, A., Lin, C. and Chu, C. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties, Journal of Econometrics, 108, 1–24
  15. Lucas, A. (1995). Unit root tests based on M estimators, Econometric Theory, 11, 331–346.
  16. Moon, H. R. and Perron, B. (2004). Testing for a unit root in panels with dynamic factors, Journal of Econometrics, 122, 81-126. https://doi.org/10.1016/j.jeconom.2003.10.020
  17. Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22, 265-312. https://doi.org/10.1002/jae.951
  18. Phillips, P. C. B. and Sul, D. (2003). Dynamic panel estimation and homogeneity testing under cross section dependence, Econometrics Journal, 6, 217-259. https://doi.org/10.1111/1368-423X.00108
  19. Shin, D. W. and Kang, S. (2006). An instrumental variable approach for panel unit root tests under crosssectional dependence, Journal of Econometrics, 134, 215-234. https://doi.org/10.1016/j.jeconom.2005.06.021
  20. Shin, D. W. and Lee, O. (2001). Tests for asymmetry in possibly nonstationary time series data, Journal of Business & Economic Statistics, 19, 233-244. https://doi.org/10.1198/073500101316970458
  21. Shin, D. W. and Lee, O. (2008). Unit root tests for panel MTAR model with cross-sectionally dependent error, Metrika, 67, 315-326. https://doi.org/10.1007/s00184-007-0135-6
  22. Shin, D. W., Park, S. J. and Oh, M. S. (2009). A robust sign test for panel unit roots under cross sectional dependence, Computational Statistics & Data Analysis, 53, 1312–1327.
  23. Shin, D. W. and So, B. S. (1999). Unit root tests based on adaptive maximum likelihood estimation, Econometric Theory, 15, 1–23.
  24. Shin, D. W. and So, B. S. (2001). Recursive mean adjustment for unit root tests, Journal of Time Series Analysis, 22, 595–612.
  25. So, B. S. and Shin, D. W. (2001). An invariant sign test for random walks based on recursive median adjustment, Journal of Econometrics, 102, 197-229. https://doi.org/10.1016/S0304-4076(01)00053-7
  26. Tsay, R. S. (2005). Analysis of Financial Time Series, 2nd edition, John Wiley & Sons, Hoboken, New Jersey.