A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP

被引：15
|
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
  • [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] Panel unit root tests under cross-sectional dependence
    Breitung, J
    Das, S
    STATISTICA NEERLANDICA, 2005, 59 (04) : 414 - 433
  • [3] 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
  • [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] 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
  • [6] Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap
    Herwartz, H.
    Siedenburg, F.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2008, 53 (01) : 137 - 150
  • [7] Comparison of panel unit root tests under cross sectional dependence
    Jang, MJ
    Shin, DW
    ECONOMICS LETTERS, 2005, 89 (01) : 12 - 17
  • [8] 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
  • [9] Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application
    De Silva, S.
    Hadri, K.
    Tremayne, A. R.
    ECONOMETRICS JOURNAL, 2009, 12 (02): : 340 - 366
  • [10] Bootstrap inference under cross-sectional dependence
    Conley, Timothy G.
    Goncalves, Silvia
    Kim, Min Seong
    Perron, Benoit
    QUANTITATIVE ECONOMICS, 2023, 14 (02) : 511 - 569
12345