This article provides a fresh methodological and empirical approach for assessing price level convergence and its relation to purchasing power parity (PPP) using annual price data for seventeen US cities. We suggest a new procedure that can handle a wide range of PPP concepts in the presence of...

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that...

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the...

This paper studies the problem of unit root testing in the presence of multiple structural changes and common dynamic factors. Structural breaks represent infrequent regime shifts, while dynamic factors capture common shocks underlying the comovement of economic time series. We examine the...

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the...

This paper tests hysteresis effects in unemployment using panel data for 19 Organization for Economic Co-operation and Development (OECD) countries covering the period 1956-2001. The tests exploit the cross-sectional variations of the series, and additionally, allow for a different number of...