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

Dong Wan Shin; Sangun Park

doi:10.1016/j.csda.2010.02.011

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

Dong Wan Shin, Sangun Park

Department of Statistics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	2801-2813
Number of pages	13
Journal	Computational Statistics and Data Analysis
Volume	54
Issue number	11
DOIs	https://doi.org/10.1016/j.csda.2010.02.011
State	Published - 1 Nov 2010

Keywords

M-estimation
Panel unit root test
Purchasing power parity

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10.1016/j.csda.2010.02.011

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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.",

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

Abstract

Keywords

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