Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56226
Authors: 
Lyhagen, Johan
Year of Publication: 
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

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