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
相关论文
共 50 条
  • [41] Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
    Arsova, Antonia
    Orsal, Deniz Dilan Karaman
    ECONOMETRIC REVIEWS, 2018, 37 (10) : 1033 - 1050
  • [42] On the impact of error cross-sectional dependence in short dynamic panel estimation
    Sarafidis, Vasilis
    Robertson, Donald
    ECONOMETRICS JOURNAL, 2009, 12 (01) : 62 - 81
  • [43] Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence
    Bai Huang
    Yuying Sun
    Shouyang Wang
    Journal of Systems Science and Complexity, 2021, 34 : 2219 - 2230
  • [44] Estimation for varying coefficient panel data model with cross-sectional dependence
    Hua Liu
    Youquan Pei
    Qunfang Xu
    Metrika, 2020, 83 : 377 - 410
  • [45] Variable selection in heterogeneous panel data models with cross-sectional dependence
    Mei, Xiaoling
    Peng, Bin
    Zhu, Huanjun
    AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2023, 65 (01) : 14 - 34
  • [46] Estimation for varying coefficient panel data model with cross-sectional dependence
    Liu, Hua
    Pei, Youquan
    Xu, Qunfang
    METRIKA, 2020, 83 (03) : 377 - 410
  • [47] Quantile unit root test and the PPP in Africa
    Bahmani-Oskooee, Mohsen
    Chang, Tsangyao
    Chen, Tsung-Hsien
    Tzeng, Han-Wen
    APPLIED ECONOMICS, 2017, 49 (19) : 1913 - 1921
  • [48] Estimation of Partially Linear Panel Data Models with Cross-Sectional Dependence
    Huang, Bai
    Sun, Yuying
    Wang, Shouyang
    JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 34 (06) : 2219 - 2230
  • [49] On bootstrap implementation of likelihood ratio test for a unit root
    Skrobotov, Anton
    ECONOMICS LETTERS, 2018, 171 : 154 - 158
  • [50] Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
    Fu, Ke-Ang
    Li, Jie
    Yang, Xiao-Rong
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (11) : 3158 - 3167
12345