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Title: A Panel Test of Purchasing Power Parity Under the Null of Stationarity
Authors: Hunter, J
Simpson, M
Keywords: Non-stationarity, Panel Data, PPP, Real Exchange Rate, Stationarity
Issue Date: 2001
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 01-01
Abstract: Purchasing Power Parity (PPP) is tested using a sample of real exchange rate data for twelve European countries. Acknowledging that Augmented Dickey Fuller tests have low power, we apply a Panel test that considers the null of stationarity and corrects for serial dependence using a non-parametric kernel based method.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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