Are PPP tests erratically behaved? Some panel evidence

Guglielmo Maria Caporale and Christoph Hanck

International Review of Applied Economics, 2010, vol. 24, issue 2, 203-221

Abstract: This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce test statistics behaving erratically when applied to tests for Purchasing Power Parity (PPP). We show that if appropriate tests (which are robust to cross-sectional dependence) are used, any evidence of erratic behaviour disappears, and empirical support is found for PPP.

Keywords: Purchasing Power Parity; PPP; real exchange rates; erratic behaviour; panel tests (search for similar items in EconPapers)
Date: 2010
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Related works:
Working Paper: Are PPP Tests Erratically Behaved? Some Panel Evidence (2006)
Working Paper: Are PPP Tests Erratically Behaved? Some Panel Evidence (2006)
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DOI: 10.1080/02692170903424331

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