Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperAre PPP Tests Erratically Behaved? Some Panel Evidence
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Guglielmo Maria Caporale & Christoph Hanck, 2010. "Are PPP tests erratically behaved? Some panel evidence," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(2), pages 203-221.
- Caporale, Guglielmo Maria & Hanck, Christoph, 2006. "Are PPP Tests Erratically Behaved? Some Panel Evidence," Technical Reports 2006,43, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
References listed on IDEAS
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Matei Demetrescu & Uwe Hassler & Adina‐Ioana Tarcolea, 2006. "Combining Significance of Correlated Statistics with Application to Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 647-663, October.
- Wu, Yangru, 1996. "Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 54-63, February.
- Guglielmo Maria Caporale & Christoph Hanck, 2009.
"Cointegration tests of PPP: do they also exhibit erratic behaviour?,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 9-15.
- Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests Of Ppp:Do They Also Exhibit Erratic Behaviour?," Economics and Finance Discussion Papers 06-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guglielmo Maria Caporale & Christoph Hanck, 2006. "Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?," CESifo Working Paper Series 1811, CESifo.
- Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001.
"Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
- Taylor, Mark & Peel, David & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
- Moon, H.R.Hyungsik Roger & Perron, Benoit, 2004.
"Testing for a unit root in panels with dynamic factors,"
Journal of Econometrics, Elsevier, vol. 122(1), pages 81-126, September.
- Hyungsik Roger MOON & Benoit PERRON, 2002. "Testing For A Unit Root In Panels With Dynamic Factors," Cahiers de recherche 18-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche 2002-18, Universite de Montreal, Departement de sciences economiques.
- Papell, David H., 1997. "Searching for stationarity: Purchasing power parity under the current float," Journal of International Economics, Elsevier, vol. 43(3-4), pages 313-332, November.
- M. Hashem Pesaran, 2007.
"A simple panel unit root test in the presence of cross-section dependence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
- Jörg Breitung & Samarjit Das, 2005.
"Panel unit root tests under cross‐sectional dependence,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 414-433, November.
- Samarjit Das & Joerg Breitung, 2004. "Panel Unit Root Tests under Cross- sectional Dependence," Econometric Society 2004 North American Summer Meetings 55, Econometric Society.
- Chang, Yoosoon, 2004.
"Bootstrap unit root tests in panels with cross-sectional dependency,"
Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Cowles Foundation Discussion Papers 1251, Cowles Foundation for Research in Economics, Yale University.
- Chang, Yoosoon, 2002. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-01, Rice University, Department of Economics.
- Corbae,Dean & Durlauf,Steven N. & Hansen,Bruce E. (ed.), 2006. "Econometric Theory and Practice," Cambridge Books, Cambridge University Press, number 9780521807234, November.
- Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate,"
Journal of Economic Perspectives,
American Economic Association, vol. 18(4), pages 135-158, Fall.
- Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
- Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 46, University of California, Davis, Department of Economics.
- Taylor, Alan M. & Taylor, Mark P, 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
- Froot, Kenneth A. & Rogoff, Kenneth, 1995.
"Perspectives on PPP and long-run real exchange rates,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688,
Elsevier.
- Ken Froot & Kenneth Rogoff, "undated". "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
- Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- G. M. Grossman & K. Rogoff (ed.), 1995. "Handbook of International Economics," Handbook of International Economics, Elsevier, edition 1, volume 3, number 3.
- Papell, David H., 2002.
"The great appreciation, the great depreciation, and the purchasing power parity hypothesis,"
Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
- David Papell, 1998. "The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank).
- Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
- repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
- Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate,"
Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
- Taylor, Mark & Taylor, Alan M., 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
- Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 133, University of California, Davis, Department of Economics.
- Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- Guglielmo Maria Caporale & Mario Cerrato, 2004.
"Panel Data Tests Of Ppp: A Critical Overview,"
Economics and Finance Discussion Papers
04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Cerrato, Mario, 2004. "Panel Data Tests of PPP. A Critical Overview," Economics Series 159, Institute for Advanced Studies.
- Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Public Policy Discussion Papers 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
- Caporale, Guglielmo Maria & Pittis, Nikitas & Sakellis, Panayiotis, 2003. "Testing for PPP: the erratic behaviour of unit root tests," Economics Letters, Elsevier, vol. 80(2), pages 277-284, August.
- Alan M. Taylor, 2002.
"A Century Of Purchasing-Power Parity,"
The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
- Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
- Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, June.
- Jaroslava Hlouskova & Martin Wagner, 2006.
"The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study,"
Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 85-116.
- Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Economics Working Papers ECO2005/05, European University Institute.
- Jaroslava Hlouskova & Martin Wagner, 2005. "The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study," Diskussionsschriften dp0503, Universitaet Bern, Departement Volkswirtschaft.
- MacKinnon, James G, 1996.
"Numerical Distribution Functions for Unit Root and Cointegration Tests,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-618, Nov.-Dec..
- James G. MacKinnon, 1995. "Numerical Distribution Functions For Unit Root And Cointegration Tests," Working Paper 918, Economics Department, Queen's University.
- G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Miguel Carvalho & Paulo Júlio, 2012.
"Digging out the PPP hypothesis: an integrated empirical coverage,"
Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
- Miguel de Carvalho & Paulo Júlio, 2010. "Digging Out the PPP Hypothesis: an Integrated Empirical Coverage," GEE Papers 0024, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2010.
- Martin Wagner, 2008.
"On PPP, unit roots and panels,"
Empirical Economics, Springer, vol. 35(2), pages 229-249, September.
- Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
- Christoph Hanck, 2013. "An Intersection Test for Panel Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 183-203, February.
- Hanck, Christoph, 2008. "An intersection test for panel unit roots," Technical Reports 2008,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Christoph Hanck, 2009. "For which countries did PPP hold? A multiple testing approach," Empirical Economics, Springer, vol. 37(1), pages 93-103, September.
- Cushman, David O. & Michael, Nils, 2011. "Nonlinear trends in real exchange rates: A panel unit root test approach," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1619-1637.
- Kaddour Hadri & Eiji Kurozumi, 2008.
"A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence,"
Global COE Hi-Stat Discussion Paper Series
gd08-016, Institute of Economic Research, Hitotsubashi University.
- Hadri, Kaddour & Kurozumi, Eiji &
黒住 ,英司 , 2008. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," CCES Discussion Paper Series 7, Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University. - Kaddour Hadri & Eiji Kurozumi, 2009. "A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence," Economics Working Papers 09-01, Queen's Management School, Queen's University Belfast.
- Hadri, Kaddour & Kurozumi, Eiji &
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries," MPRA Paper 29648, University Library of Munich, Germany.
- Claude Lopez, 2009.
"A Panel Unit Root Test with Good Power in Small Samples,"
Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 295-313.
- Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," University of Cincinnati, Economics Working Papers Series 2003-06, University of Cincinnati, Department of Economics.
- Claude Lopez, 2005. "A Panel Unit Root Test with Good Power in Small Samples," University of Cincinnati, Economics Working Papers Series 2005-01, University of Cincinnati, Department of Economics, revised 2007.
- Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," Econometrics 0310003, University Library of Munich, Germany.
- Claude Lopez, 2003. "An Improved Panel Unit Root Test Using GLS-Detrending," Econometrics 0310006, University Library of Munich, Germany, revised 24 Oct 2003.
- Imed Drine & Christophe Rault, 2008.
"Purchasing Power Parity For Developing And Developed Countries. What Can We Learn From Non‐Stationary Panel Data Models?,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 752-773, September.
- Drine, Imed & Rault, Christophe, 2007. "Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models?," IZA Discussion Papers 2887, Institute of Labor Economics (IZA).
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for developing and developed countries. What can we learn from non-stationary panel data models?," Post-Print hal-00322105, HAL.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries: What can we learn from Non-Stationary Panel Data Models," Post-Print halshs-00363678, HAL.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?," CESifo Working Paper Series 2255, CESifo.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries: What can we learn from Non-Stationary Panel Data Models," Post-Print halshs-00363672, HAL.
- Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
- In Choi, 2019.
"Unit Root Tests for Dependent Micropanels,"
The Japanese Economic Review, Springer, vol. 70(2), pages 145-167, June.
- In Choi, 2019. "Unit Root Tests for Dependent Micropanels," The Japanese Economic Review, Japanese Economic Association, vol. 70(2), pages 145-167, June.
- Valérie Mignon & Christophe Hurlin, 2005.
"Une synthèse des tests de racine unitaire sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
- Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Economie & Prévision, La Documentation Française, vol. 0(3), pages 253-294.
- Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
- Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
- Joakim Westerlund & Johan Blomquist, 2013. "A modified LLC panel unit root test of the PPP hypothesis," Empirical Economics, Springer, vol. 44(2), pages 833-860, April.
- Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
- Hanck, Christoph, 2006. "For Which Countries did PPP hold? A Multiple Testing Approach," Technical Reports 2006,47, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Wagner, Martin, 2008.
"The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?,"
Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
- Martin Wagner & Georg M ller-F rstenberger, 2004. "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften dp0418, Universitaet Bern, Departement Volkswirtschaft.
- Wagner, Martin, 2006. "The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?," Economics Series 197, Institute for Advanced Studies.
- Ozgur Aslan & Levent Korap, 2009.
"Are real exchange rates mean reverting? Evidence from a panel of OECD countries,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 23-27.
- Levent, Korap, 2009. "Are real exchange rates mean reverting? Evidence from a panel of OECD countries," MPRA Paper 19527, University Library of Munich, Germany.
- repec:wsr:wpaper:y:2009:i:029 is not listed on IDEAS
- Barumshah, Ahmad Zubaidi & Chan, Tze-Haw & Fountas, Stilianos, 2004. "Re-examining Purchasing Power Parity for East-Asian Currencies: 1976-2002," MPRA Paper 2025, University Library of Munich, Germany, revised 2006.
- Chi-Wei Su & Tsangyao Chang & Yu-Shao Liu, 2012. "Revisiting purchasing power parity for African countries: with nonlinear panel unit-root tests," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3263-3273, September.
More about this item
JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bru:bruedp:06-22. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John.Hunter (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.