panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of existing methods. First …, unit root tests suffer from severe size distortions in the presence of negative moving average errors. Second, the common …

detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic …

models. In this paper we set forth four key properties which tests of multiple inequality constraints should ideally satisfy … that the predominant tests currently used in econometrics do not appear to enjoy all these properties simultaneously. We … tests. A full asymptotic theory is provided for the baseline. Simulation results show that the finite-sample performance of …