Title of article :
Structural stability tests in the linear regression model when the regressors have roots local to unity
Author/Authors :
Wright، نويسنده , , Jonathan H. ، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1996
Abstract :
We derive the asymptotic distribution of some leading structural stability test statistics when the regressors have roots local-to-unity and simulate critical values. We show that size distortions can arise if a researcher uses the critical values that assume that the regressors are exactly I(0)/I(1) on the basis of a consistent unit root pretest.
Keywords :
Regression , structural stability , Near unit roots
Journal title :
Economics Letters
Journal title :
Economics Letters