Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...

In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with...