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Robust panel unit root tests for cross-sectionally dependent multiple time series

Title
Robust panel unit root tests for cross-sectionally dependent multiple time series
Authors
Shin D.W.Park S.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2010
Journal Title
Computational Statistics and Data Analysis
ISSN
0167-9473JCR Link
Citation
vol. 54, no. 11, pp. 2801 - 2813
Indexed
SCIE; SCOPUS WOS scopus
Abstract
Robust panel unit root tests are developed for cross-sectionally dependent multiple time series. The tests have limiting null distributions derived from standard normal distributions. A Monte Carlo experiment shows that the tests have better finite sample robust performance than existing tests. Some Latin American real exchange rates revealing many outlying observations are analyzed to check the purchasing power parity (PPP) theory. © 2010 Elsevier B.V. All rights reserved.
DOI
10.1016/j.csda.2010.02.011
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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