This note suggests a simple modification to the Kwiatkowski et al. (1994, KPSS) test so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the...

We investigate the purchasing power parity hypothesis for a group of 17 countries using a new panel based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate, and...