Bootstrap innovational outlier unit root tests in dependent panels

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 117
Issue: 3
Pages: 817-819

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit tests are then applied to a panel of 22 OECD inflation rates.

Technical Details

RePEc Handle
repec:eee:ecolet:v:117:y:2012:i:3:p:817-819
Journal Field
General
Author Count
2
Added to Database
2026-01-25