There has been a long-running debate in international macroeconomics about whether there is purchasing power parity (PPP) in the data. But while the literature has been dominated by reduced-form evidence focusing on the real exchange rate dynamics including its long-run behaviour, little...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in M¨uller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from...

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...