Why not use standard panel unit root test for testing PPP

Johan Lyhagen

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted for. The result is that the size tends to one with the number of cross-sections. -- Dynamic panels ; Monte Carlo ; Purchasing power parity

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Year of publication:	04 Dec. 2000 ; [Elektronische Ressource]
Other Persons:	Lyhagen, Johan (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Kaufkraftparität \| Purchasing power parity \| Einheitswurzeltest \| Unit root test \| Theorie \| Theory

Extent:	Online-Ressource (PDF-Datei: 11 S., 122,04 KB)
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 413
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Systemvoraussetzungen: Acrobat reader Systemvoraussetzungen: Postscript
Other identifiers:	hdl:10419/56226 [Handle]
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001600044