Partially Linear Models with Unit Roots

Ted Juhl and Zhijie Xiao
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Ted Juhl: University of Kansas

No 1359, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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). It is proven 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 which 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.

Keywords: Nonparametric; Prial Linear; Semiparametric; Unit root (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2002-04
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Citations: View citations in EconPapers (1)

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Journal Article: PARTIALLY LINEAR MODELS WITH UNIT ROOTS (2005)
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