EconStor >
Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund >

Please use this identifier to cite or link to this item:
Title:For Which Countries did PPP hold? A Multiple Testing Approach PDF Logo
Authors:Hanck, Christoph
Issue Date:2006
Series/Report no.:Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,47
Abstract:We 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.
Subjects:Multiple Testing
Panel Data
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

Files in This Item:
File Description SizeFormat
tr47-06.pdf175 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.