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Partially linear models with unit roots
dc.contributor.author | Juhl, Ted P. | |
dc.contributor.author | Xiao, Zhijie | |
dc.date.accessioned | 2007-05-14T18:40:51Z | |
dc.date.available | 2007-05-14T18:40:51Z | |
dc.date.issued | 2005-10 | |
dc.identifier.citation | Juhl, T; Xiao, ZJ. Partially linear models with unit roots. ECONOMETRIC THEORY. October 2005. 21(5) : 877-906 | |
dc.identifier.uri | http://hdl.handle.net/1808/1569 | |
dc.description.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. | |
dc.language.iso | en_US | |
dc.publisher | CAMBRIDGE UNIV PRESS | |
dc.title | Partially linear models with unit roots | |
dc.type | Article | |
kusw.kuauthor | Juhl, Ted P. | |
dc.identifier.doi | 10.1017/S0266466605050450 | |
dc.rights.accessrights | openAccess |