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Keyword: unit root;
5 results found.
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Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecast...Read more...
Oliver Linton and Enno Mammen
We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with se...Read more...
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold a...Read more...
The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular atte...Read more...
This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least-squares estimators in such data structures turn out to have an asymptotic dis...Read more...