응용통계연구 (The Korean Journal of Applied Statistics)

  • 제24권1호
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  • Pages.11-23
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  • 2011
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
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Robust Unit Root Tests for a Panel TAR Model

  • 투고 : 20101000
  • 심사 : 20101100
  • 발행 : 2011.02.28
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초록

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.

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참고문헌

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