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The PPP debate: Multiple breaks and cross-sectional dependence

Listed author(s):
  • Snaith, Stuart

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176511005994
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Article provided by Elsevier in its journal Economics Letters.

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

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:342-344
DOI: 10.1016/j.econlet.2011.12.076
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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