The PPP debate: Multiple breaks and cross-sectional dependence

This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP.

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Year of publication:	2012
Authors:	Snaith, Stuart
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 342-344
Publisher:	Elsevier
Subject:	Purchasing power parity \| Panel unit root \| Structural breaks \| Cross-sectional dependence

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572189