This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of … necessarily outperform OLS. Finally, cointegration between different groups in the panel could also be a source of size … the PPP puzzle. -- Purchasing Power Parity (PPP) ; panel unit root and cointegration tests ; cross-sectional dependence …

, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …