Nonlinear regression for unit root models with autoregressive errors |
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| Authors: | Chang Sik Kim In-Moo Kim |
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| Institution: | aSchool of Economics, Sungkyunkwan University, Jongno-gu, Seoul 110-745, Republic of Korea |
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| 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. |
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| Keywords: | Nonlinear least squares Unit root models Augmented Dickey– Fuller test |
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