Arbeitspapier
Why not use standard panel unit root test for testing PPP
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted for. The result is that the size tends to one with the number of cross-sections.
- Language
-
Englisch
- Bibliographic citation
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 413
- Classification
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
Dynamic panels
Monte Carlo
Purchasing power parity
Kaufkraftparität
Unit Root Test
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Lyhagen, Johan
- Event
-
Veröffentlichung
- (who)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2000
- Handle
- Last update
-
2025-03-10T11:45:24+0100
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lyhagen, Johan
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2000
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