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

Dong Wan Shin, Sangun Park

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)2801-2813
Number of pages13
JournalComputational Statistics and Data Analysis
Volume54
Issue number11
DOIs
Publication statusPublished - 2010 Nov 1

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Computational Mathematics
  • Computational Theory and Mathematics
  • Applied Mathematics

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