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Bootstrap innovational outlier unit root tests in dependent panels

Costantini, Mauro and Gutierrez, Luciano (2012) Bootstrap innovational outlier unit root tests in dependent panels. Economics letters, Vol. 117 (3), p. 817-819. eISSN 1873-7374. Article.

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DOI: 10.1016/j.econlet.2011.11.046

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.

Item Type:Article
ID Code:8672
Status:Published
Refereed:Yes
Uncontrolled Keywords:Nonstationary panel data, structural break, innovational outlier model, bootstrap
Subjects:Area 07 - Scienze agrarie e veterinarie > AGR/01 Economia ed estimo rurale
Divisions:001 Università di Sassari > 01-a Nuovi Dipartimenti dal 2012 > Agraria
Publisher:Elsevier Science
eISSN:1873-7374
Deposited On:21 Feb 2013 14:51

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