Arbeitspapier
Are PPP Tests Erratically Behaved? Some Panel Evidence
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2006,43
- Klassifikation
-
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Hypothesis Testing: General
Foreign Exchange
- Thema
-
Purchasing Power Parity (PPP)
Real Exchange Rates
Erratic Behaviour
Panel Tests
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporale, Guglielmo Maria
Hanck, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Caporale, Guglielmo Maria
- Hanck, Christoph
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2006
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