For Which Countries did PPP hold? A Multiple Testing Approach
AbstractWe use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has higher power than traditional multiple testing techniques by exploiting the dependence structure between the countries with a bootstrap approach. We use a sieve bootstrap approach to account for nonstationarity under the null hypothesis. Our empirical results show that, plausibly, controlling for multiplicity in this way leads to a number of rejections of the null of no PPP that is intermediate between that of traditional multiple testing techniques and that which results if one tests the null on each single time series at some level. --
Download InfoIf 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.
Bibliographic InfoPaper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2006,47.
Date of creation: 2006
Date of revision:
Contact details of provider:
Postal: Vogelpothsweg 78, D-44221 Dortmund
Phone: (0231) 755-3125
Fax: (0231) 755-5284
Web page: http://www.statistik.tu-dortmund.de/sfb475.html
More information through EDIRC
Multiple Testing; Bootstrap; PPP; Panel Data;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
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.:
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005.
"Dynamic Seemingly Unrelated Cointegrating Regressions,"
Review of Economic Studies,
Oxford University Press, vol. 72(3), pages 797-820.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
- Harris, Richard D. F. & Tzavalis, Elias, 1999.
"Inference for unit roots in dynamic panels where the time dimension is fixed,"
Journal of Econometrics,
Elsevier, vol. 91(2), pages 201-226, August.
- Tom Doan, . "HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data," Statistical Software Components RTS00092, Boston College Department of Economics.
- Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
- Breuer, Janice Boucher & McNown, Robert & Wallace, Myles S, 2001. "Misleading Inferences from Panel Unit-Root Tests with an Illustration from Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 9(3), pages 482-93, August.
- Hanck, Christoph, 2006. "Cross-Sectional Correlation Robust Tests for Panel Cointegration," Technical Reports 2006,44, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Phillips, Peter C B & Xiao, Zhijie, 1998.
" A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-69, December.
- Jaroslava Hlouskova & Martin Wagner, 2005.
"The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study,"
dp0503, Universitaet Bern, Departement Volkswirtschaft.
- Jaroslava Hlouskova & Martin Wagner, 2006. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor and Francis Journals, vol. 25(1), pages 85-116.
- Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers ECO2005/05, European University Institute.
- Karlsson, Sune & Lothgren, Mickael, 2000.
"On the power and interpretation of panel unit root tests,"
Elsevier, vol. 66(3), pages 249-255, March.
- Karlsson, Sune & Löthgren, Mickael, 1999. "On the power and interpretation of panel unit root tests," Working Paper Series in Economics and Finance 299, Stockholm School of Economics.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).
If references are entirely missing, you can add them using this form.