This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.
Simple panel unit root tests to detect change in persistence / Gutierrez, Luciano; M., Costantini. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 96:3(2007), pp. 363-368. [10.1016/j.econlet.2007.02.014]
Simple panel unit root tests to detect change in persistence
GUTIERREZ, Luciano;
2007-01-01
Abstract
This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
