D Kim… - Journal of Econometrics, 2009 - Elsevier
Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis.
Econometrica 57, 1361–1401] introduced a variety of unit root tests that are valid when a
break in the trend function of a time series is present. The motivation was to devise testing ...
D Kim… - Econometric Theory, 2009 - Cambridge Univ Press
Professor Paul Newbold has made important contributions in econometrics, in particular in
the area of the analysis of nonstationary time series. I (Perron) have been honored and
privileged to have him participate in a research agenda that I put forward in Perron (1989). ...
D Kim… - Journal of Econometrics, 2009 - Elsevier
We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the
Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, DWK, 1993.
Tests for parameter instability and structural change with unknown change point. ...
D Kim - Journal of Econometrics, 2011 - Elsevier
This paper develops an estimation procedure for a common deterministic time trend break in
large panels. The dependent variable in each equation consists of a deterministic trend and
an error term. The deterministic trend is subject to a change in the intercept, slope or both, ...
D Kim - 2007 - gradworks.umi.com
The first chapter is concerned with unit root tests in the presence of a break in the trend
function. In the econometrics literature, unit root procedures designed for an unknown break
date assume that a break occurs only under the alternative hypothesis. This is ...
[CITATION] GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypothesis
JLC Silvestre, D Kim… - Econometric Theory, 2009
D Kim… - 2009 - www-personal.umich.edu
Abstract This paper develops a joint test for the exogeneity and the relevance of instrumental
variables using an approach similar to Vuongis (1989) model selection test. The test statistic
is derived from the likelihood ratio of two competing models: one with exoge $ nous and ...
D Kim - 2010 - nottinghamlearning.com
Abstract This paper analyzes the issues related to the estimation of common time trend
breaks in large panel data. The break parameters are specified to be local to zero. In that
case, the common components creating strong cross equation dependence can be ...
D Kim… - 2012 - people.virginia.edu
Abstract Earlier attempts to find evidence of time varying coefficients in the US monetary
vector autoregression have been only partially successful. Structural break tests applied to
typical data sets often fail to reject the null hypothesis of no break. Bayesian inferences ...
D Kim - Econometric Theory, 2010 - Cambridge Univ Press
This paper extends the Andrews (2002, Econometrica 71, 1661–1694) and Andrews and
Kim (2006, Journal of Business & Economic Statistics 24, 379–394) ordinary least squares–
based end-of-sample instability tests for linear regression models. The author proposes to ...
D Kim… - 2011 - people.virginia.edu
Abstract This paper estimates the effects of unilateral divorce laws on divorce rates from a
panel of state-level divorce rates. We use the interactive fixed effects model to address the
issue of endogeneity due to the association between cross-state unobserved ...
D Kim - 2010 - people.bu.edu
Abstract This paper analyzes the issues related to the estimation of a common time trend
break in large panels. A novel feature of this paper is that the break parameters are specified
to be local to zero. In that case, the common components creating strong cross equation ...
D Kim - 2011 - people.virginia.edu
Abstract This paper analyzes the maximum likelihood estimate in vector autoregressions
with stochastic volatility. The stochastic volatility is modeled following Uhlig (1997). The
asymptotic distribution of the maximum likelihood estimate is provided under mild ...
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