This paper analyzes the properties of multivariate tests of purchasing power parity (PPP) that fail to take heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and heterogeneous unit root testing methodologies. The...

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...