期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2010
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper proposes a bootstrap artificial neural network based panel unit root
test in a dynamic heterogeneous panel context. An application to a panel of bilateral
real exchange rate series with the US Dollar from the 20 major OECD countries
is provided to investigate the Purchase Power Parity (PPP). The combination of
neural network and bootstrapping significantly changes the findings of the economic
study in favour of PPP.
关键词：Artificial neural network, panel unit root test, bootstrap, Monte Carlo experiments,
exchange rates.
