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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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.
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