The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel …

differentials. The tests are conducted on a panel of 18 OECD economies using the United States as a numeraire for the post …-Bretton Woods era. The results are obtained using new non-stationary panel estimation techniques, which significantly increase the … contrasts with earlier panel data studies, which tended to find that the real exchange rate was stationary. The results …

tested for in panel data, but not in univariate (i.e. country specific) analysis. The usual explanation for this mismatch is … that panel tests for unit roots and cointegration are more powerful than their univariate counterparts. In this paper we … suggest an alternative explanation for the mismatch. More generally, we warn against the use of panel methods for testing for …

inconsistent, suggesting that either alternatives to a unit root null hypothesis may need to be considered or that panel based …

, suggesting that either alternative hypotheses to a unit root may need to be considered or that panel based testing in this …

fundamentals underlying the behavior of the real exchange rate. Panel cointegration techniques allow for the extraction, using an …

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 …