We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has...

The paper develops an asymptotically valid F test that is robust to spatial autocorrelation in a GMM framework. The test is based on the class of series covariance matrix estimators and fixed-smoothing asymptotics. The fixed-smoothing asymptotics and F approximation are established under mild...

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a more powerful meta test. To exemplify, we combine Engle and Granger (1987) and Johansen (1988) tests. Either of these underlying tests can be more powerful than the other one...

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for PPP. We show that if appropriate tests (which are robust to cross-sectional dependence and more powerful than...