IV Coefficient Tests for a Unit Root
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초록
We examine the property of the LM coefficient tests using instrumental variables (IV) estimation. As in Im and Lee (2011), we utilize stationary instrumental variables but consider coefficient tests rather than t-tests. Under the null hypothesis,the proposed coefficient statisics converge to the standard normal distribution. This result follws since the score vector in the derivation of the LM statistic from the likelihood function converges to a constant. This makes a contrast from the DF version tests whose distributions are nonstandard.
Abstract
We examine the property of the LM coefficient tests using instrumental variables (IV) estimation. As in Im and Lee (2011), we utilize stationary instrumental variables but consider coefficient tests rather than t-tests. Under the null hypothesis,the proposed coefficient statisics converge to the standard normal distribution. This result follws since the score vector in the derivation of the LM statistic from the likelihood function converges to a constant. This makes a contrast from the DF version tests whose distributions are nonstandard.
참고문헌 (10)
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