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.

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

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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