This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.

Simple panel unit root tests to detect changes in persistence

COSTANTINI M;
2007-01-01

Abstract

This paper presents new recursive ADF panel unit root tests. Small sample properties of the recursive tests are investigated by Monte Carlo experiments. These tests are applied to a panel of 17 OECD real exchange rate series.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/135917
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