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A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates

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  • Christian de Peretti
  • Carole Siani
  • Mario Cerrato

Abstract

This paper proposes a bootstrap artificial neural network based panel unit root test in a dynamic heterogeneous panel context. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided to investigate the Purchase Power Parity (PPP). The combination of neural network and bootstrapping significantly changes the findings of the economic study in favour of PPP.

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File URL: http://www.gla.ac.uk/media/media_143746_en.pdf
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Bibliographic Info

Paper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2010_05.

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Date of creation: Mar 2010
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Handle: RePEc:gla:glaewp:2010_05

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Keywords: Artificial neural network; panel unit root test; bootstrap; Monte Carlo experiments; exchange rates.;

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