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
收藏
页码：4028 / 4037
页数：10
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