A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
被引:16
|
作者:
Cerrato, Mario
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机构:
London Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, EnglandLondon Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, England
Cerrato, Mario
[1
]
Sarantis, Nicholas
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机构:
London Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, EnglandLondon Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, England
Sarantis, Nicholas
[1
]
机构:
[1] London Metropolitan Univ, Ctr Int Capital Markets, Dept Econ Finance & Int Business, London EC2M 6SQ, England
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.
机构:
Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA
Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USASyracuse Univ, Dept Econ, Syracuse, NY 13244 USA
Baltagi, Badi H.
Kao, Chihwa
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机构:
Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USASyracuse Univ, Dept Econ, Syracuse, NY 13244 USA
Kao, Chihwa
Na, Sanggon
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h-index: 0
机构:
Minist Strategy & Finance, Seoul, South KoreaSyracuse Univ, Dept Econ, Syracuse, NY 13244 USA