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.
|Publication status||Published - 2002|
|Event||The 31st Australian Conference of Economists - Adelaide, Australia|
Duration: 30 Sep 2002 → 3 Oct 2002
|Conference||The 31st Australian Conference of Economists|
|Abbreviated title||ACE 2002|
|Period||30/09/02 → 3/10/02|