The PPP debate: Multiple breaks and cross-sectional dependence

Stuart Snaith

Economics Letters, 2012, vol. 115, issue 3, 342-344

Abstract: This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP.

Keywords: Purchasing power parity; Panel unit root; Structural breaks; Cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:342-344

DOI: 10.1016/j.econlet.2011.12.076

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