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    Partially linear models with unit roots

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    Issue Date
    2005-10
    Author
    Juhl, Ted P.
    Xiao, Zhijie
    Publisher
    CAMBRIDGE UNIV PRESS
    Type
    Article
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    Abstract
    This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988, Econometrica 56, 931-954). It is proved that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root tests based on the semiparametric estimate of the autoregressive parameter have a limiting distribution that is a mixture of a standard normal and the Dickey-Fuller distribution. A Monte Carlo experiment is conducted to evaluate the performance of the tests for various linear and nonlinear specifications.
    URI
    http://hdl.handle.net/1808/1569
    DOI
    https://doi.org/10.1017/S0266466605050450
    Collections
    • Economics Scholarly Works [183]
    Citation
    Juhl, T; Xiao, ZJ. Partially linear models with unit roots. ECONOMETRIC THEORY. October 2005. 21(5) : 877-906

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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