Performance of nonlinear instrumental variable unit root tests using recursive detrending methods

Hyejin Lee, Ming Meng and Junsoo Lee ()

Economics Letters, 2012, vol. 117, issue 1, 214-216

Abstract: We examine the performance of nonlinear instrumental variable (NIV) unit root tests using various recursive detrending methods. We find that the NIV unit root tests using the recursive detrending method of Chang (2002) are the most powerful. They are more powerful than OLS based DF tests.

Keywords: Recursive detrending; Nuisance parameter; Unit root; NIV (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:214-216

DOI: 10.1016/j.econlet.2012.05.006

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