Simple panel unit root tests to detect changes in persistence

Costantini, Mauro and Gutierrez, Luciano (2007) Simple panel unit root tests to detect changes in persistence. Economics Letters, Vol. 96 (3), p. 363-368. ISSN 0165-1765. Article.

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DOI: 10.1016/j.econlet.2007.02.014

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.

Item Type:	Article
ID Code:	2802
Status:	Published
Refereed:	Yes
Uncontrolled Keywords:	Panel data, unit root tests, structural breaks
Subjects:	Area 07 - Scienze agrarie e veterinarie > AGR/01 Economia ed estimo rurale
Divisions:	001 Università di Sassari > 01 Dipartimenti > Economia e sistemi arborei
Publisher:	Elsevier Science
ISSN:	0165-1765
Deposited On:	24 Aug 2009 09:39

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