in this literature we use a panel cointegration test, developed by Westerlund (2006), which allows us to incorporate … multiple structural breaks. We find that using Gregory and Hansen's (1996) residual-based test for cointegration and Pedroni …'s (1999) panel cointegration test without structural breaks provide weak evidence of cointegration between nominal exchange …

In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary … inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 … countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the …

countries using panel unit root, panel cointegration, Granger causality and long-run structural estimation. We find that capital …

Despite a plethora of studies on purchasing power parity (PPP), those that take a cointegration approach have found … for cointegration between nominal exchange rate and relative prices that accounts for multiple structural breaks. We find … that for 14 out of 15 OECD countries, there is evidence of a cointegration relationship between nominal exchange rate and …