Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/7717| Title: | Bootstrap innovational outlier unit root tests in dependent panels |
| Authors: | Costantini, M Gutierrez, L |
| Keywords: | Social Sciences;Economics;Business & Economics;Nonstationary panel data;Structural break;Innovational outlier model;Bootstrap;Cointegration;Inflation |
| Issue Date: | 2012 |
| Publisher: | Elsevier |
| Citation: | Economics Letters, 117(3), 817 - 819, 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. |
| Description: | © 2011 Elsevier B.V. All rights reserved |
| URI: | http://www.sciencedirect.com/science/article/pii/S0165176511005374 http://bura.brunel.ac.uk/handle/2438/7717 |
| DOI: | http://dx.doi.org/10.1016/j.econlet.2011.11.046 |
| ISSN: | 0165-1765 |
| Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 195.45 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.