Quantile unit root inference for panel data with common shocks

被引：3

作者：

Yang, Jisheng ^{[1
]}

Wei, Jinbao ^{[1
]}

Cai, Biqing ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Sch Econ, Wuhan, Peoples R China

来源：

ECONOMICS LETTERS | 2022年 / 219卷

基金：

中国国家自然科学基金;

关键词：

Common shocks; Panel data; Purchasing power parity; Quantile regression; Unit root test; EXCHANGE-RATE; TESTS; MODEL;

D O I：

10.1016/j.econlet.2022.110809

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes new quantile unit root tests for panel data with common shocks, whose critical values can be simulated based on our asymptotic theory. The Monte Carlo simulation results indicate that our tests perform well in finite sample. An application for real effective exchange rates (REERs) suggests that the Purchasing Power Parity (PPP) hypothesis holds for higher quantiles but does not hold for lower ones, and the asymmetric dynamics of REERs provide a plausible explanation for the PPP puzzle.(c) 2022 Elsevier B.V. All rights reserved.

引用

页数：4

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