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dc.contributor.authorJuhl, Ted P.
dc.contributor.authorXiao, Zhijie
dc.date.accessioned2007-05-14T18:40:51Z
dc.date.available2007-05-14T18:40:51Z
dc.date.issued2005-10
dc.identifier.citationJuhl, T; Xiao, ZJ. Partially linear models with unit roots. ECONOMETRIC THEORY. October 2005. 21(5) : 877-906
dc.identifier.urihttp://hdl.handle.net/1808/1569
dc.description.abstractThis 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.
dc.language.isoen_US
dc.publisherCAMBRIDGE UNIV PRESS
dc.titlePartially linear models with unit roots
dc.typeArticle
kusw.kuauthorJuhl, Ted P.
dc.identifier.doi10.1017/S0266466605050450
dc.rights.accessrightsopenAccess


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