The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Robust Unit Root Tests for a Panel TAR Model

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

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References

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