Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/1023
Title: Are PPP tests erratically behaved? Some panel evidence
Authors: Caporale, GM
Hanck, C
Keywords: Purchasing Power Parity (PPP), Real Exchange Rates, Erratic Behaviour, Panel;Tests
Issue Date: 2006
Publisher: Brunel University
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.
URI: http://bura.brunel.ac.uk/handle/2438/1023
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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