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Bootstrap innovational outlier unit root tests in dependent panels

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  • Costantini, Mauro
  • Gutierrez, Luciano

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.

Suggested Citation

  • Costantini, Mauro & Gutierrez, Luciano, 2012. "Bootstrap innovational outlier unit root tests in dependent panels," Economics Letters, Elsevier, vol. 117(3), pages 817-819.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:3:p:817-819
    DOI: 10.1016/j.econlet.2011.11.046
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    References listed on IDEAS

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    More about this item

    Keywords

    Nonstationary panel data; Structural break; Innovational outlier model; Bootstrap;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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