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http://bura.brunel.ac.uk/handle/2438/892| Title: | A Panel Test of Purchasing Power Parity Under the Null of Stationarity |
| Authors: | Hunter, J Simpson, M |
| Keywords: | Non-stationarity, Panel Data, PPP, Real Exchange Rate, Stationarity |
| Issue Date: | 2001 |
| Publisher: | Brunel University |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/892 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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