Three essays on panel unit root and cointegration tests with structural changes /cTam, Pui Sun.
The first chapter compares two types of univariate endogenous one-break unit root tests, namely the Dickey-Fuller (DF) type and the Schmidt-Phillips Lagrange Multiplier (LM) type tests. To investigate the small-sample properties of these tests, they are applied to the Nelson-Plosser macroeconomic ti...
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| Format: | Others |
| Language: | English Chinese |
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2008
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| Online Access: | http://library.cuhk.edu.hk/record=b6074523 http://repository.lib.cuhk.edu.hk/en/item/cuhk-344156 |