Please use this identifier to cite or link to this item: http://buratest.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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