Bootstrap innovational outlier unit root tests in dependent panels

Mauro Costantini and Luciano Gutierrez

Economics Letters, 2012, vol. 117, issue 3, 817-819

Abstract: In this paper, we propose new simple innovational outlier (IO) panel unit root tests with a break. A bootstrap method for dealing with cross-sectional dependence is provided and small sample properties of the bootstrap tests are investigated by Monte Carlo experiments. The panel innovational outlier unit tests are then applied to a panel of 22 OECD inflation rates.

Keywords: Nonstationary panel data; Structural break; Innovational outlier model; Bootstrap (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:817-819

DOI: 10.1016/j.econlet.2011.11.046

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