Are PPP Tests Erratically Behaved? Some Panel Evidence
AbstractThis paper examines whether, in addition to standard unit root and cointegration tests,panel approaches also produce test statistics behaving erratically when applied to PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful) 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.
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Bibliographic InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 06-22.
Length: 10 pages
Date of creation: Oct 2006
Date of revision:
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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
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