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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/22687
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| Title: | | Are PPP Tests Erratically Behaved? Some Panel Evidence  |
| Authors: | | Caporale, Guglielmo Maria Hanck, Christoph |
| Issue Date: | | 2006 |
| Series/Report no.: | | Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,43 |
| Abstract: | | 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 PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than single time series tests) 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. |
| Subjects: | | Purchasing Power Parity (PPP) Real Exchange Rates Erratic Behaviour Panel Tests |
| JEL: | | C23 C12 F31 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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