Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5061749 | Economics Letters | 2008 | 4 Pages |
Abstract
This paper shows that the nonlinear least squares estimator for unit root models has the limiting distribution free of nuisance parameters and is more efficient than the augmented Dickey-Fuller estimator when the sum of coefficients for lagged variables is negative.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chang Sik Kim, In-Moo Kim,