A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP

被引：16

作者：

Cerrato, Mario ^{[1
]}

Sarantis, Nicholas ^{[1
]}

机构：

[1] London Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, England

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2007年 / 51卷 / 08期

关键词：

bootstrap; cross-sectional dependence; panel unit root tests; purchasing power parity;

D O I：

10.1016/j.csda.2006.12.025

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A bootstrap methodology for dealing with cross-sectional dependence in panel unit root tests of real exchange rates is suggested. Monte Carlo simulations are employed to investigate the size distortion and the power of the bootstrap test-statistic. It is shown that the statistic has good power and no size distortions for moderate and large samples. The panel unit root test procedure is then applied to the long-run purchasing power parity (PPP) hypothesis, using a panel of 20 OECD countries over the recent float period, and the results are compared to those obtained by other tests. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：4028 / 4037

页数：10

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