Bootstrap innovational outlier unit root tests in dependent panels

DOI10.1016/J.ECONLET.2011.11.046zbMATH Open1283.91149OpenAlexW2144557516MaRDI QIDQ2440451FDOQ2440451

Authors: Luciano Gutierrez, Mauro Costantini 

Publication date: 18 March 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/7717

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zbMATH Keywords

bootstrapstructural breakinnovational outlier modelnonstationary panel data

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Nonstationary panels, panel cointegration, and dynamic panels
• Bootstrapping unstable first-order autoregressive processes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• New innovational outlier unit root test with a break at an unknown time
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

Cited In (2)

• Bootstrap unit root tests in panels with cross-sectional dependency
• Title not available (Why is that?)

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