کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
416202 | 681296 | 2007 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP](/preview/png/416202.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 8, 1 May 2007, Pages 4028–4037
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 8, 1 May 2007, Pages 4028–4037
نویسندگان
Mario Cerrato, Nicholas Sarantis,