منابع مشابه
Testing Serial Correlation in Fixed Effects Regression Models: the Ljung-Box Test for Panel Data
Testing the presence of serial correlation in the error terms of a fixed effects regression model is important for many reasons. While there have been a number of testing procedures developed so far (see, e.g., Bhargava, Franzini and Narendranathan (1982), Baltagi and Li (1995), Baltagi and Wu (1999), Bera et al. (2001), Wooldridge (2002), Drukker (2003), Hong and Kao (2004) and Inoue and Solon...
متن کاملUnit Root Model Selection*
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient Cn ! 1 and Cn/n ! 0 as n ! 1. Strong consistency holds when Cn/...
متن کاملUnit Root Tests Voor Ar(1) Processen (engelse Titel: Unit Root Testing for Ar(1) Processes) Bsc Verslag Technische Wiskunde " Unit Root Tests Voor Ar(1) Processen " (engelse Titel: " Unit Root Testing for Ar(1) Processes " )
The purpose of this study is to investigate the asymptotics of a first order auto regressive unit root process, AR(1). The goal is to determine which tests could be used to test for the presence of a unit root in a first order auto regressive process. A unit root is present when the root of the characteristic equation of this process equals unity. In order to test for the presence of a unit roo...
متن کاملA Simes-type Panel Unit Root Test
This paper proposes a new panel unit root test based on Simes’ [Biometrika 1986, “An Improved Bonferroni Procedure for Multiple Tests of Significance”] classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte C...
متن کاملUnit root testing in integer - valued AR ( 1 ) models * ̈ ̈
We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation. 2001 Elsevier Science B.V. All rights reserved.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2004
ISSN: 2287-7843
DOI: 10.5351/ckss.2004.11.2.323