More powerful panel data unit root tests with an application to mean reversion in real exchange rates (replication data)

DOI

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 cross-correlation of a rather general sort among individual panel members is suspected.

Identifier
DOI https://doi.org/10.15456/jae.2022319.0705854818
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776187
Provenance
Creator Smith, L. Vanessa; Leybourne, Stephen J.; Kim, Tae-Hwan; Newbold, Paul
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2004
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics