A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates

This paper proposes a bootstrap artificial neural network based panel unit root test in a dynamic heterogeneous panel context. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided to investigate the Purchase Power Parity (PPP). The combination of neural network and bootstrapping significantly changes the findings of the economic study in favour of PPP.

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Year of publication:	2010-03
Authors:	Peretti, Christian de ; Siani, Carole ; Cerrato, Mario
Institutions:	Department of Economics, Adam Smith Business School
Subject:	Artificial neural network \| panel unit root test \| bootstrap \| Monte Carlo experiments \| exchange rates

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C23 - Models with Panel Data ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008478964