An artificial neural network based heterogeneous panel unit root test in case of cross sectional independence

de Peretti, C., Siani, C. and Cerrato, M. (2009) An artificial neural network based heterogeneous panel unit root test in case of cross sectional independence. In: 2009 International Joint Conference on Neural Networks. IEEE, pp. 2487-2493. ISBN 9781424435487 (doi: 10.1109/IJCNN.2009.5178885)

Abstract

In this paper we propose an artificial neural network (ANN) based panel unit root test, extending neural test to a dynamic heterogeneous panel context, and following the panel methodology. New asymptotic results are obtained both for the individual ANN-t test statistics for unit root, and the panel unit root test statistic. An application to a panel of bilateral real exchange rate series with the US Dollar from the 20 major OECD countries is provided.

• Item Type: Book Sections
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Cerrato, Professor Mario
• Authors: de Peretti, C., Siani, C., and Cerrato, M.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Publisher: IEEE
• ISBN: 9781424435487