Title of article
Instrumental variable based unit root tests when both ARMA (p, q) orders are chosen to be too large
Author/Authors
Hall، نويسنده , , Alastair; Tae، نويسنده , , Yoon Lee ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
9
From page
247
To page
255
Abstract
We derive the limiting distributions of the instrumental variable estimators used to construct the unit root test proposed by Pantula and Hall (Journal of Econometrics, 1991, 48, 325–353) when both the autoregressive and moving average orders have been chosen to be too large.
Keywords
Time series , Unit root test , Instrumental variables , Singular cross product matrix
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434173
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