Are PPP tests erratically behaved? Some panel evidence
Loading...
Date
2006-12-15T10:59:44Z
Journal Title
Journal ISSN
Volume Title
Publisher
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
Description
Table of contents
Keywords
Erratic behaviour, Panel tests, Purchasing Power Parity (PPP), Real exchange rates