Authors: Caporale, Guglielmo Maria
Hanck, Christoph
Title: Are PPP tests erratically behaved? Some panel evidence
Language (ISO): en
Abstract: This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than single time series tests) are used, any evidence of erratic behaviour disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics might enable us to settle the PPP debate. JEL Classification: C12, C23, F31
Subject Headings: Erratic behaviour
Panel tests
Purchasing Power Parity (PPP)
Real exchange rates
Issue Date: 2006-12-15T10:59:44Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

Files in This Item:
File Description SizeFormat 
tr43-06.pdfDNB155.32 kBAdobe PDFView/Open

This item is protected by original copyright

Items in Eldorado are protected by copyright, with all rights reserved, unless otherwise indicated.