The Quest for Purchasing Power Parity with a Series-specific Unit Root Test Using Panel Data
| dc.creator | Breuer, Janice B. | |
| dc.creator | McNown, Robert | |
| dc.creator | Wallace, Myles | |
| dc.date | 2017-04-01T18:16:25Z | |
| dc.date.accessioned | 2026-07-09T05:41:47Z | |
| dc.description | A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This procedure, which takes into account contemporaneous cross-correlation and heterogeneous serial correlation of the regression residuals, allows determination of which members of the panel reject the null hypothesis of a unit root and which do not. Applying the procedure to real exchange rates yields results that are in broad agreement with those obtained from single-equation unit root tests. There is little evidence that a unit root can be rejected in dollar-based real exchange rates for the floating rate period. | |
| dc.identifier | doi:10.22004/ag.econ.112956 | |
| dc.identifier | https://ageconsearch.umn.edu/record/112956/files/citpaper2.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/112956 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/567122 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/112956 | |
| dc.title | The Quest for Purchasing Power Parity with a Series-specific Unit Root Test Using Panel Data | |
| dc.type | Text |