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- An Artificial Neural Network Based Heterogeneous Panel Unit Root Test doi link

Auteur(s): Deperetti Christian, Siani C., Cerrato M.

Conference: International Joint Conference on Neural Networks (IJCNN'09) (Atlanta, US, 2009)
Actes de conférence: proc of International Joint Conference on Neural Networks (IJCNN'09), vol. p.2487-2493 (2009)


DOI: 10.1109/IJCNN.2009.5178885
Résumé:

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.



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