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.File in questo prodotto:
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