Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10003868511
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...
Persistent link: https://www.econbiz.de/10003394646
Persistent link: https://www.econbiz.de/10003822534
Persistent link: https://www.econbiz.de/10003377315
Persistent link: https://www.econbiz.de/10003391534
Persistent link: https://www.econbiz.de/10003391548
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10003381611
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...
Persistent link: https://www.econbiz.de/10003394591
Persistent link: https://www.econbiz.de/10008653316
We analyse whether tests of PPP exhibit erratic behaviour (as previously reported by Caporale et al., 2003) even when (possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage-three) tests between the nominal exchange rate, domestic...
Persistent link: https://www.econbiz.de/10013317393