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http://bura.brunel.ac.uk/handle/2438/9806Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Costantini, M | - |
| dc.contributor.author | Lupi, C | - |
| dc.date.accessioned | 2015-01-19T14:59:41Z | - |
| dc.date.available | 2015-01-19T14:59:41Z | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | Oxford Bulletin of Economics and Statistics, 75(2): 276 - 296, (April 2013) | en_US |
| dc.identifier.issn | 1468-0084 | - |
| dc.identifier.uri | http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract | - |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/9806 | - |
| dc.description | Copyright © Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2012. This is the accepted version of the following article: Costantini, M. and Lupi, C. (2013), A Simple Panel-CADF Test for Unit Roots. Oxford Bulletin of Economics and Statistics, 75: 276–296, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/j.1468-0084.2012.00690.x/abstract. | en_US |
| dc.description.abstract | In this paper, we propose a simple extension to the panel case of the covariate-augmented Dickey–Fuller (CADF) test for unit roots developed in Hansen (1995). The panel test we propose is based on a P values combination approach that takes into account cross-section dependence. We show that the test has good size properties and gives power gains with respect to other popular panel approaches. An empirical application is carried out for illustration purposes on international data to test the purchasing power parity (PPP) hypothesis. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Wiley-Blackwell | en_US |
| dc.subject | C22 | en_US |
| dc.subject | C23 | en_US |
| dc.title | A simple panel-CADF test for unit roots | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | http://dx.doi.org/10.1111/j.1468-0084.2012.00690.x | - |
| pubs.organisational-data | /Brunel | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
| pubs.organisational-data | /Brunel/Group Publication Pages | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 600.37 kB | Adobe PDF | View/Open |
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