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BOOTSTRAPPING COVARIATE UNIT ROOT TESTS: AN APPLICATION TO INFLATION RATES

โœ Scribed by Cheng-Feng Lee; Ching-Chuan Tsong

Book ID
115214967
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
470 KB
Volume
65
Category
Article
ISSN
0307-3378

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## Abstract Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when