Bootstrap innovational outlier unit root tests in dependent panels

DOI10.1016/J.ECONLET.2011.11.046MaRDI QIDQ2440451zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Bootstrap unit root tests in panels with cross-sectional dependency
• Cross-sectional dependence robust block bootstrap panel unit root tests
• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Stationary bootstrapping for semiparametric panel unit root tests
• Testing for panel unit roots under general cross-sectional dependence

Cites work

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

Cited in

(2)

• Bootstrap unit root tests in panels with cross-sectional dependency
• scientific article; zbMATH DE number 5274712 (Why is no real title available?)

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