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
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
相关论文
共 50 条
  • [1] Cross-sectional dependence robust block bootstrap panel unit root tests
    Palm, Franz C.
    Smeekes, Stephan
    Urbain, Jean-Pierre
    JOURNAL OF ECONOMETRICS, 2011, 163 (01) : 85 - 104
  • [2] A generalized nonlinear IV unit root test for panel data with cross-sectional dependence
    Wang, Shaoping
    Wang, Peng
    Yang, Jisheng
    Li, Zinai
    JOURNAL OF ECONOMETRICS, 2010, 157 (01) : 101 - 109
  • [3] Bootstrap inference under cross-sectional dependence
    Conley, Timothy G.
    Goncalves, Silvia
    Kim, Min Seong
    Perron, Benoit
    QUANTITATIVE ECONOMICS, 2023, 14 (02) : 511 - 569
  • [4] An instrumental variable approach for panel unit root tests under cross-sectional dependence
    Shin, Dong Wan
    Kang, Seungho
    JOURNAL OF ECONOMETRICS, 2006, 134 (01) : 215 - 234
  • [5] Dynamic factor extraction of cross-sectional dependence in panel unit root tests
    Kapetanios, George
    JOURNAL OF APPLIED ECONOMETRICS, 2007, 22 (02) : 313 - 338
  • [6] A Robust Panel Unit Root Test in the Presence of Cross Sectional Dependence
    Shariff, Nurul Sima Mohamad
    Hamzah, Nor Aishah
    JOURNAL OF MODERN APPLIED STATISTICAL METHODS, 2015, 14 (02) : 159 - 171
  • [7] Testing for nonlinear panel unit roots under cross-sectional dependency - With an application to the PPP hypothesis
    Mansson, Kristofer
    Sjolander, Par
    ECONOMIC MODELLING, 2014, 38 : 121 - 132
  • [8] Testing for cross-sectional dependence in a panel factor model using the wild bootstrap test
    Baltagi, Badi H.
    Kao, Chihwa
    Na, Sanggon
    STATISTICAL PAPERS, 2013, 54 (04) : 1067 - 1094
  • [9] A Bootstrap Artificial Neural Network Based Heterogeneous Panel Unit Root Test in Case of Cross Sectional Independence
    de Peretti, Christian
    Siani, Carole
    Cerrato, Mario
    NEURAL INFORMATION PROCESSING, PT 1, PROCEEDINGS, 2009, 5863 : 441 - +
  • [10] Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data
    Aslanidis, Nektarios
    Fountas, Stilianos
    EMPIRICAL ECONOMICS, 2014, 46 (01) : 101 - 108