Advanced Search
MyIDEAS: Login

The PPP debate: Multiple breaks and cross-sectional dependence

Contents:

Author Info

  • Snaith, Stuart

Abstract

This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/pii/S0165176511005994
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 3 ()
Pages: 342-344

as in new window
Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:342-344

Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Purchasing power parity; Panel unit root; Structural breaks; Cross-sectional dependence;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Christopoulos, Dimitris K. & León-Ledesma, Miguel A., 2010. "Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1076-1093, October.
  2. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-20, July.
  3. L. Vanessa Smith & Stephen Leybourne & Tae-Hwan Kim & Paul Newbold, 2004. "More powerful panel data unit root tests with an application to mean reversion in real exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 147-170.
  4. Oh, Keun-Yeob, 1996. "Purchasing power parity and unit root tests using panel data," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 405-418, June.
  5. Georgios Chortareas & George Kapetanios, 2008. "Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels," Working Papers 629, Queen Mary, University of London, School of Economics and Finance.
  6. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  7. Coakley, Jerry & Fuertes, Ana Maria, 1997. "New panel unit root tests of PPP," Economics Letters, Elsevier, vol. 57(1), pages 17-22, November.
  8. Yoosoon Chang & Wonho Song, 2009. "Testing for Unit Roots in Small Panels with Short-run and Long-run Cross-sectional Dependencies," Review of Economic Studies, Oxford University Press, vol. 76(3), pages 903-935.
  9. Park, Joon Y. & Sung, Jaewhan, 1994. "Testing for Unit Roots in Models with Structural Change," Econometric Theory, Cambridge University Press, vol. 10(05), pages 917-936, December.
  10. Narayan, Paresh Kumar, 2008. "The purchasing power parity revisited: New evidence for 16 OECD countries from panel unit root tests with structural breaks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 137-146, April.
  11. David Harris & Steve Leybourne & Brendan McCabe, 2003. "Panel Stationarity Tests with Cross-sectional Dependence," Econometrics 0311005, EconWPA.
  12. MacDonald, Ronald, 1996. "Panel unit root tests and real exchange rates," Economics Letters, Elsevier, vol. 50(1), pages 7-11, January.
  13. Kyung-So Im & Junsoo Lee & Margie Tieslau, 2005. "Panel LM Unit-root Tests with Level Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(3), pages 393-419, 06.
  14. Jörg Breitung & Bertrand Candelon, 2005. "Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 141(1), pages 124-140, April.
  15. Perron, P., 1989. "Testing For A Unit Root In A Time Series With A Changing Mean," Papers 347, Princeton, Department of Economics - Econometric Research Program.
  16. David Papell, 1998. "The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank).
  17. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  18. Papell, David H & Theodoridis, Hristos, 2001. "The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(3), pages 790-803, August.
  19. Ho, Tsung-wu, 2008. "Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator," Economics Letters, Elsevier, vol. 99(2), pages 314-316, May.
  20. Coakley, Jerry & Kellard, Neil & Snaith, Stuart, 2005. "The PPP debate: Price matters!," Economics Letters, Elsevier, vol. 88(2), pages 209-213, August.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Liddle, Brantley, 2013. "Population, Affluence, and Environmental Impact Across Development: Evidence from Panel Cointegration Modeling," MPRA Paper 52088, University Library of Munich, Germany.
  2. Dimitrios Bakas & Evangelia Papapetrou, 2014. "Unemployment by Gender: Evidence from EU Countries," International Advances in Economic Research, Springer, vol. 20(1), pages 103-111, February.
  3. Nektarios Aslanidis & Stilianos Fountas, 2014. "Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data," Empirical Economics, Springer, vol. 46(1), pages 101-108, February.
  4. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:342-344. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.