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|Title:||A Panel Test of Purchasing Power Parity Under the Null of Stationarity|
|Keywords:||Non-stationarity, Panel Data, PPP, Real Exchange Rate, Stationarity|
|Citation:||Economics and Finance Working papers, Brunel University, 01-01|
|Abstract:||Purchasing Power Parity (PPP) is tested using a sample of real exchange rate data for twelve European countries. Acknowledging that Augmented Dickey Fuller tests have low power, we apply a Panel test that considers the null of stationarity and corrects for serial dependence using a non-parametric kernel based method.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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