developed in the seminal paper by Feldstein and Horioka (1980). I construct a panel of 6 countries of the Caucasus – Armenia …, Azerbaijan, Georgia, Kazakhstan, Russia, and Turkey – and employ a panel cointegration approach. To that end, I make use of the … cross-dependency tests reject the presence of cross-sectional dependence. Panel unit root and cointegration tests confirm …

This paper re-assesses the panel (unit root test) evidence for PPP on four monthly data sets. We discuss and illustrate … that commonly-used first generation panel unit root tests are inappropriate for PPP analysis since they are constructed for … cross-sectionally uncorrelated panels. Given that real exchange rate panel data sets are - almost by construction - highly …

ignored in existing empirical studies. We use time series and up-to-date panel data techniques to test for cointegration with …

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we …

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce … disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics …

This paper examines the extent and evolution of exchange rate pass-through (ERPT) using panel cointegration approach …