Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/1023| Title: | Are PPP tests erratically behaved? Some panel evidence |
| Authors: | Caporale, GM Hanck, C |
| Keywords: | Purchasing Power Parity (PPP), Real Exchange Rates, Erratic Behaviour, Panel;Tests |
| Issue Date: | 2006 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Discussion Paper, Brunel University, 06-22 |
| Abstract: | This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful) 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/1023 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.