Search Results - subject:"Innovational Outlier Model"

Testing for Structural Breaks in Australia's Monetary Aggregates and Interest Rates: An Application of the Innovational Outlier and Additive Outlier Models

Pahlavani, Mosayeb; Valadkhani, Abbas; Worthington, Andrew - School of Accounting, Economics, and Finance, … - 2005

breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier … model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single …

Persistent link: https://www.econbiz.de/10005515397

Bootstrap innovational outlier unit root tests in dependent panels

Costantini, Mauro; Gutierrez, Luciano - In: Economics Letters 117 (2012) 3, pp. 817-819

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...

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