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Robust Unit Root Tests for a Panel TAR Model
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 Title & Authors
Robust Unit Root Tests for a Panel TAR Model
Shin, Dong-Wan;
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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.
Asymmetry;instrumental variable estimation;robustness;TAR process;unemployment rate;unit root test;
 Cited by
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