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 |
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