A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates

Christian de Peretti, Carole Siani and Mario Cerrato

No 2010-20, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: This paper proposes a bootstrap artificial neural network based panel unit root test in a dynamic heterogeneous panel context. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided to investigate the Purchase Power Parity (PPP). The combination of neural network and bootstrapping significantly changes the findings of the economic study in favour of PPP.

Keywords: Artificial neural network; panel unit root test; bootstrap; Monte Carlo experiments; exchange rates (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10943/152
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:152

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().