Quantile unit root inference for panel data with common shocks

Jisheng Yang, Jinbao Wei and Biqing Cai

Economics Letters, 2022, vol. 219, issue C

Abstract: This paper proposes new quantile unit root tests for panel data with common shocks, whose critical values can be simulated based on our asymptotic theory. The Monte Carlo simulation results indicate that our tests perform well in finite sample. An application for real effective exchange rates (REERs) suggests that the Purchasing Power Parity (PPP) hypothesis holds for higher quantiles but does not hold for lower ones, and the asymmetric dynamics of REERs provide a plausible explanation for the PPP puzzle.

Keywords: Common shocks; Panel data; Purchasing power parity; Quantile regression; Unit root test (search for similar items in EconPapers)
JEL-codes: C31 C33 F31 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:219:y:2022:i:c:s0165176522002968

DOI: 10.1016/j.econlet.2022.110809

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