UNIT-ROOT TESTS BASED ON INSTRUMENTAL VARIABLES ESTIMATION

Authors
LEE JS SCHMIDT P
Citation
Js. Lee et P. Schmidt, UNIT-ROOT TESTS BASED ON INSTRUMENTAL VARIABLES ESTIMATION, International economic review, 35(2), 1994, pp. 449-462
Citations number
21
Categorie Soggetti
Economics
Journal title
International economic review → ACNP
ISSN journal
00206598
Volume
35
Issue
2
Year of publication
1994
Pages
449 - 462
Database
ISI
SICI code
0020-6598(1994)35:2<449:UTBOIV>2.0.ZU;2-B
Abstract
This paper develops new tests of the unit root hypothesis, based on in strumental variables estimation. The tests are asymptotically valid in the presence of moving average errors, and they are quite accurate in finite samples. They are more powerful against stationary alternative s than other tests that are equally accurate under the null.