A recent influential paper (O'Connell 1998) argues that panel data evidence in favor of purchasing power parity … innovations. We present evidence to the contrary. First, we modify two extant panel unit root panel unit root tests to eliminate …

A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation … while rectifying a deficiency in other panel unit root tests. This test (called SURADF) is based on seemingly unrelated … regressions applied to Augmented Dickey-Fuller (ADF) tests for a unit root. In contrast to extant panel unit root tests, our test …

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …