This article provides a methodological and empirical approach for assessing price level convergence and its relation to purchasing power parity (PPP) using annual price data for seventeen U.S. cities during the period 1918 to 2005. We suggest a new panel data procedure that can handle a wide...

This paper studies the problem of unit root testing in the presence of multiple structural changes and common dynamic factors. Structural breaks represent infrequent regime shifts, while dynamic factors capture common shocks underlying the comovement of economic time series. We examine the...