This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.
Simple panel unit root tests to detect changes in persistence / Costantini, M; Gutierrez, L. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 96:(2007), pp. 363-368. [10.1016/j.econlet.2007.02.014]
Simple panel unit root tests to detect changes in persistence
COSTANTINI M;
2007
Abstract
This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.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.
