Unit root tests with conditional heteroskedasticity
β Scribed by Kiwhan Kim; Peter Schmidt
- Publisher
- Elsevier Science
- Year
- 1993
- Tongue
- English
- Weight
- 958 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0304-4076
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We have investigated the behaviour of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with a unit root developed by Caner and Hansen. The method allows us to simultaneously consider nonst
## Abstract This paper studies the performance of panel unit root tests when spatial effects are present that account for crossβsection correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial err