State of the Art Unit Root Tests and Purchasing Power Parity

Recently, Taylor (2002) concludes that long run PPP held over the 20th century for a set of 19 long term real exchange rates. We argue that this conclusion is quite sensitive to the use of sub-optimal lag selection in unit root tests. Using superior lag selection methods,we find that long run PPP held for just over half of the real exchange rates in Taylor’s sample.

MoreLess

Year of publication:	2004-04
Authors:	Lopez, Claude ; Murray, Christian J. ; Papell, David H.
Institutions:	Department of Economics, College of Business

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	University of Cincinnati, Economics Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004972773