Resource title

Are PPP Tests Erratically Behaved? Some Panel Evidence

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Resource description

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than single time series tests) are used, any evidence of erratic behaviour disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics might enable us to settle the PPP debate.

Resource author

Guglielmo Maria Caporale, Christoph Hanck

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22687

Resource license

Adapt according to the presented license agreement and reference the original author.