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Heterogeneous Panel Unit Root Tests and Purchasing Power Parity

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  • Luintel, Kul B

Abstract

Doubts have been raised recently on the findings of panel studies of purchasing power parity (PPP) on the grounds that they ignore serial correlation and cross-sectional dependence, and consequently suffer from severe size biases and loss of power. We implement an alternative panel unit root test that controls for serial correlation and cross-sectional dependence as well as the heterogeneity of dynamics and error variances across groups, and find strong support for PPP. Our findings are consistent with other recent studies on the subject. Copyright 2001 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Bibliographic Info

Article provided by University of Manchester in its journal Manchester School.

Volume (Year): 69 (2001)
Issue (Month): 0 (Supplement)
Pages: 42-56

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Handle: RePEc:bla:manchs:v:69:y:2001:i:0:p:42-56

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Cited by:
  1. Canarella, Giorgio & Miller, Stephen M. & Nourayi, Mahmoud M., 2013. "Firm profitability: Mean-reverting or random-walk behavior?," Journal of Economics and Business, Elsevier, Elsevier, vol. 66(C), pages 76-97.
  2. Paresh Kumar Narayan & Russell Smyth, 2007. "The Military Expenditure-External Debt Nexus: New Evidence From A Panel Of Middle Eastern Countries," Development Research Unit Working Paper Series, Monash University, Department of Economics 17-07, Monash University, Department of Economics.
  3. Kumar Narayan, Paresh & Smyth, Russell, 2007. "Are shocks to energy consumption permanent or temporary? Evidence from 182 countries," Energy Policy, Elsevier, Elsevier, vol. 35(1), pages 333-341, January.
  4. Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2011. "PPP in OECD Countries: An Analysis of Real Exchange Rate Stationarity, Cross-sectional Dependency and Structural Breaks," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1135, Koc University-TUSIAD Economic Research Forum.
  5. Julián Ramajo Hernández(1) & Montserrat Ferré Carracedo(2), . "Testing For Long-Run Purchasing Power Parity In The Post Bretton Woods Era: Evidence From Old And New Tests," Working Papers, Instituto de Estudios Fiscales 24-05 Classification-JEL , Instituto de Estudios Fiscales.
  6. Mishra, Vinod & Smyth, Russell, 2010. "Female labor force participation and total fertility rates in the OECD: New evidence from panel cointegration and Granger causality testing," Journal of Economics and Business, Elsevier, Elsevier, vol. 62(1), pages 48-64, January.
  7. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, Elsevier, vol. 30(3), pages 919-936, May.
  8. Narayan, Paresh Kumar & Smyth, Russell, 2008. "Energy consumption and real GDP in G7 countries: New evidence from panel cointegration with structural breaks," Energy Economics, Elsevier, Elsevier, vol. 30(5), pages 2331-2341, September.
  9. Haluk Erlat, 2009. "Persistence in Turkish Real Exchange Rates: Panel Approaches," FIW Working Paper series, FIW 029, FIW.
  10. Jes�s Clemente & Carmen Marcuello & Antonio Monta�és, 2008. "Pharmaceutical expenditure, total health-care expenditure and GDP," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1187-1206.

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