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)
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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 |
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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 |
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