Are PPP tests erratically behaved? Some panel evidence

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 Purchasing Power Parity (PPP). We show that if appropriate tests (which are robust to cross-sectional dependence) are used, any evidence of erratic behaviour disappears, and empirical support is found for PPP.

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Year of publication:	2010
Authors:	Caporale, Guglielmo Maria ; Hanck, Christoph
Published in:	International Review of Applied Economics. - Taylor & Francis Journals, ISSN 0269-2171. - Vol. 24.2010, 2, p. 203-221
Publisher:	Taylor & Francis Journals
Subject:	Purchasing Power Parity \| PPP \| real exchange rates \| erratic behaviour \| panel tests

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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