State of the Art Unit Root Tests and Purchasing Power Parity

Claude Lopez, Chris Murray and David Papell

University of Cincinnati, Economics Working Papers Series from University of Cincinnati, Department of Economics

Abstract: Recently, Taylor (2002) concludes that long run PPP held over the 20th century for a set of 19 long term real exchange rates. We argue that this conclusion is quite sensitive to the use of sub-optimal lag selection in unit root tests. Using superior lag selection methods,we find that long run PPP held for just over half of the real exchange rates in Taylor’s sample.

Pages: 15 pages
Date: 2004-04
New Economics Papers: this item is included in nep-ets and nep-ifn
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Citations: View citations in EconPapers (19)

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Related works:
Journal Article: State of the Art Unit Root Tests and Purchasing Power Parity (2005)
Working Paper: State of the Art Unit Root Tests and the PPP Puzzle (2003)
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