Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22687
Authors: 
Caporale, Guglielmo Maria
Hanck, Christoph
Year of Publication: 
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

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