van Dijk, Mathijs A.; Koedijk, Koedijk, C.G.; Tims, Tims, B. - Erasmus Research Institute of Management (ERIM), … - 2005
This paper analyzes the properties of multivariate tests of purchasing power parity (PPP) that fail to take heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and heterogeneous unit root testing methodologies. The...