Are PPP tests erratically behaved? Some panel evidence
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for Purchasing Power Parity (PPP). We show that if appropriate tests (which are robust to cross-sectional dependence) are used, any evidence of erratic behaviour disappears, and empirical support is found for PPP.
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Volume (Year): 24 (2010)
Issue (Month): 2 ()
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