Functional-Coefficient Models Under Unit Root Behaviour  

Oleh:

Juhl, Ted

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 8 no. 2 (2005), page 197-213.
Topik: parametric statistic; unit root; non parametric; mixed normal
Fulltext: 197.pdf (180.19KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We analyze the statistical properties of non - parametrically estimated functions in a functional - coefficient model if the data have a unit root. We show that the estimated function converges at a faster rate than under the stationary case. However, the estimator has a mixed normal distribution so that point - wise confidence intervals are calculated using the usual normal distribution theory rather than a Dickey – Fuller distribution. The results are used to show how one can discriminate between a unit root process and a non - linear functional - coefficient process. We illustrate the procedure using U. S. unemployment and interest rate data.

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