Browse > Article
http://dx.doi.org/10.5351/KJAS.2011.24.1.011

Robust Unit Root Tests for a Panel TAR Model  

Shin, Dong-Wan (Department of Statistics, Ewha Womens University)
Publication Information
The Korean Journal of Applied Statistics / v.24, no.1, 2011 , pp. 11-23 More about this Journal
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
Asymmetry; instrumental variable estimation; robustness; TAR process; unemployment rate; unit root test;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Shin, D. W. and So, B. S. (1999). Unit root tests based on adaptive maximum likelihood estimation, Econometric Theory, 15, 1–23.
2 Shin, D. W. and So, B. S. (2001). Recursive mean adjustment for unit root tests, Journal of Time Series Analysis, 22, 595–612.
3 Tsay, R. S. (2005). Analysis of Financial Time Series, 2nd edition, John Wiley & Sons, Hoboken, New Jersey.
4 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.   DOI   ScienceOn
5 Im, K. S., Pesaran, M. H. and Shin, Y. (2003). Testing for unit roots in heterogeneous panels, Journal of Econometrics, 115, 53-74.   DOI   ScienceOn
6 IMSL (1989). User's Manual, IMSL, Houston, Texas.
7 Koop, G. and Potter, S. M. (1999). Dynamic asymmetries in U.S. unemployment, Journal of Business & Economic Statistics, 17, 298-312.   DOI
8 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
9 Lucas, A. (1995). Unit root tests based on M estimators, Econometric Theory, 11, 331–346.
10 Moon, H. R. and Perron, B. (2004). Testing for a unit root in panels with dynamic factors, Journal of Econometrics, 122, 81-126.   DOI   ScienceOn
11 Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence, Journal of Applied Econometrics, 22, 265-312.   DOI   ScienceOn
12 Shin, D. W. and Lee, O. (2008). Unit root tests for panel MTAR model with cross-sectionally dependent error, Metrika, 67, 315-326.   DOI
13 Phillips, P. C. B. and Sul, D. (2003). Dynamic panel estimation and homogeneity testing under cross section dependence, Econometrics Journal, 6, 217-259.   DOI   ScienceOn
14 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.   DOI   ScienceOn
15 Shin, D. W. and Lee, O. (2001). Tests for asymmetry in possibly nonstationary time series data, Journal of Business & Economic Statistics, 19, 233-244.   DOI   ScienceOn
16 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.
17 Bai, J. and Ng, S. (2004). A PANIC attack on unit roots and cointegration, Econometrica, 72, 1127–1177.
18 Caner, M. and Hansen, B. E. (2001). Threshold autoregression with a near unit root, Econometrica, 69, 1555–1596.
19 Choi, I. (2001). Unit root tests for panel data, Journal of International Money and Finance, 20, 249-272.   DOI   ScienceOn
20 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.   DOI   ScienceOn
21 Herce, M. A. (1996). Asymptotic theory of LAD estimation in a unit root process with finite variance errors, Econometric Theory, 12, 129-153.   DOI
22 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.
23 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.
24 Hansen, B. and Seo, B. (2002). Testing for two-regime threshold cointegration in vector error correction models, Journal of Econometrics, 110, 293-318.   DOI   ScienceOn
25 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.   DOI   ScienceOn
26 Huber, P. J. (1981). Robust Statistics, John Wiley & Sons, New York.