Robust panel unit root tests for cross-sectionally dependent multiple time series

Robust panel unit root tests are developed for cross-sectionally dependent multiple time series. The tests have limiting null distributions derived from standard normal distributions. A Monte Carlo experiment shows that the tests have better finite sample robust performance than existing tests. Some Latin American real exchange rates revealing many outlying observations are analyzed to check the purchasing power parity (PPP) theory.

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Year of publication:	2010
Authors:	Shin, Dong Wan ; Park, Sangun
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 54.2010, 11, p. 2801-2813
Publisher:	Elsevier
Keywords:	M-estimation Panel unit root test Purchasing power parity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008462428