English, Article, Journal or magazine article edition: A Nonlinear Panel Unit Root Test under Cross Section Dependence Mario Cerrato; Christian de Peretti; Rolf Larsson; ...

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Bookmark: http://trove.nla.gov.au/version/211242
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Nonlinear Panel Unit Root Test under Cross Section Dependence
Author
  • Mario Cerrato
  • Christian de Peretti
  • Rolf Larsson
  • Nick Sarantis
Physical Description
  • preprint
Notes
  • We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the test statistic is free of nuisance parameters as (N, T) −∞. Monte Carlo simulation shows that our test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent test proposed in Pesaran [2007]. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided.
  • Nonlinear panel unit root tests, cross sectional dependence.
  • RePEc:gla:glaewp:2009_28
Language
  • English
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