In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity …-sections. -- Dynamic panels ; Monte Carlo ; Purchasing power parity …

of cross sections. Small sample properties of the test show modest size distortions and satisfactory power being superior … to the Im, Pesaran, and Shin t-type of test. We also show clear improvements in power compared to a univariate unit root … breaks ; Unit roots ; t-statistics ; Central limit theorem …

power performances are satisfactory. -- Parameter constancy ; LSTAR ; Unit root ; Brownian ; motion ; Strong mixing …

transitions ; Structural breaks ; Unit roots ; LSDV estimation ; Central limit theorem … by Harris and Tzavalis have inferior or reasonable power compared to our test. -- Dynamic nonlinear panel ; Smooth …

forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration …

-values of the tests. Power simulations show that the two proposed tests have at least the same or higher power than the …

simulations show some size distortions, why a bootstrap method for estimating p-values to the tests are considered. Power … simulations show some gain in power, compared to the common Augmented Dickey-Fuller tests. Finally, the two proposed F type tests … rejected in favor of the stationary nonlinear model, supporting the purchasing power parity hypothesis. -- Smooth transition …