Caporale, Guglielmo Maria; Hanck, Christoph - In: International Review of Applied Economics 24 (2010) 2, pp. 203-221
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 Purchasing Power Parity (PPP). We show that if appropriate tests (which are robust to cross-sectional dependence)...