EconStor >
Stockholm School of Economics >
EFI - The Economic Research Institute, Stockholm School of Economics >
SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56226
  
Title:Why not use standard panel unit root test for testing PPP PDF Logo
Authors:Lyhagen, Johan
Issue Date:2000
Series/Report no.:SSE/EFI Working Paper Series in Economics and Finance 413
Abstract:In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted for. The result is that the size tends to one with the number of cross-sections.
Subjects:Dynamic panels
Monte Carlo
Purchasing power parity
JEL:C12
C22
C23
Document Type:Working Paper
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

Files in This Item:
File Description SizeFormat
333191765.ps649.36 kBPostscript
333191765.pdf122.04 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/56226

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