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|Title:||Are PPP tests erratically behaved? Some panel evidence|
|Keywords:||Purchasing Power Parity (PPP), Real Exchange Rates, Erratic Behaviour, Panel;Tests|
|Citation:||Economics and Finance Discussion Paper, Brunel University, 06-22|
|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 PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful) 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.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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