Abstract
The paper develops an algorithm to generate the critical values through Monte Carlo simulations which will be computationally efficient as opposed to the traditional simulation techniques used in the earlier panel unit root studies. The results from the simulation experiments are used to construct the response surface regressions in which the critical values depend on both cross-sectional and time units. The predictability of the response surface regressions is compared with reported IPS critical values. The usefulness of these results is illustrated through an empirical example of purchasing power parity test.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.