IDEAS home Printed from https://ideas.repec.org/p/cin/ucecwp/2004-04.html

State of the Art Unit Root Tests and Purchasing Power Parity

Author

Listed:
  • Claude Lopez

  • Christian J. Murray
  • David H. Papell

Abstract

Recently, Taylor (2002) concludes that long run PPP held over the 20th century for a set of 19 long term real exchange rates. We argue that this conclusion is quite sensitive to the use of sub-optimal lag selection in unit root tests. Using superior lag selection methods,we find that long run PPP held for just over half of the real exchange rates in Taylor’s sample.

Suggested Citation

  • Claude Lopez & Christian J. Murray & David H. Papell, 2004. "State of the Art Unit Root Tests and Purchasing Power Parity," University of Cincinnati, Economics Working Papers Series 2004-04, University of Cincinnati, Department of Economics.
    • Handle: RePEc:cin:ucecwp:2004-04
    as

    Download full text from publisher

    File URL: ftp://repec.stlouisfed.org/pub/RePEc/cin/ucecwp/2004-04.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • F3 - International Economics - - International Finance
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cin:ucecwp:2004-04. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sourushe Zandvakili (email available below). General contact details of provider: https://edirc.repec.org/data/decucus.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.