Bootstrap innovational outlier unit root tests in dependent panels

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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Year of publication:	2012
Authors:	Costantini, Mauro ; Gutierrez, Luciano
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 817-819
Publisher:	Elsevier
Subject:	Nonstationary panel data \| Structural break \| Innovational outlier model \| Bootstrap

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594086