Testing for PPP: the erratic behaviour of unit root tests

DOI10.1016/S0165-1765(03)00090-9MaRDI QIDQ1927348zbMATH OpenOpenAlexFDO

Authors Guglielmo Maria Caporale, Nikitas Pittis, Panayiotis Sakellis

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(03)00090-9

zbMATH Keywords

parameter instabilitypurchasing power parity (PPP)real exchange ratestationarityunit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• New panel unit root tests of PPP
• Mean reversion in the real exchange rates
• Pairwise Tests of Purchasing Power Parity
• Real exchange rates under the recent float: Unequivocal evidence of mean reversion
• Panel unit root tests and real exchange rates

Cites work

• Conditional Heteroscedastic Time Series Models
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(8)

• New panel unit root tests of PPP
• A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies
• The density of bounded diffusions
• Pairwise Tests of Purchasing Power Parity
• Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity
• A new look at panel testing of stationarity and the PPP hypothesis
• A test of long-run purchasing power parity.
• Short-memory and the PPP hypothesis

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