In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit tests are then applied to a panel of 22 OECD inflation rates.
Bootstrap innovational outlier unit root tests in dependent panels / Costantini, M; Gutierrez, L. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 117:(2012), pp. 817-819. [10.1016/j.econlet.2011.11.046]
Bootstrap innovational outlier unit root tests in dependent panels
COSTANTINI M;
2012
Abstract
In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit tests are then applied to a panel of 22 OECD inflation rates.File allegati a questo prodotto
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
