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

Author

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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.

Suggested Citation

  • Christian de Peretti & Carole Siani & Mario Cerrato, 2010. "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers 2010_05, Business School - Economics, University of Glasgow.
  • Handle: RePEc:gla:glaewp:2010_05
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    File URL: http://www.gla.ac.uk/media/media_143746_en.pdf
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    Keywords

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

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • 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
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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