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Robust panel unit root tests for cross-sectionally dependent multiple time series

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  • Shin, Dong Wan
  • Park, Sangun

Abstract

Robust panel unit root tests are developed for cross-sectionally dependent multiple time series. The tests have limiting null distributions derived from standard normal distributions. A Monte Carlo experiment shows that the tests have better finite sample robust performance than existing tests. Some Latin American real exchange rates revealing many outlying observations are analyzed to check the purchasing power parity (PPP) theory.

Suggested Citation

  • Shin, Dong Wan & Park, Sangun, 2010. "Robust panel unit root tests for cross-sectionally dependent multiple time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2801-2813, November.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:11:p:2801-2813
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    References listed on IDEAS

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