The Quest for Purchasing Power Parity with a Series-specific Unit Root Test Using Panel Data

Janice B. Breuer, Robert McNown and Myles Wallace
Authors registered in the RePEc Author Service: Janice Breuer Bass

No 112956, Working Papers from Clemson University, Center for International Trade

Abstract: A unit root testing procedure is presented that exploits the well-established power advantages of panel estimation while rectifying a deficiency in other panel unit root tests. This procedure, which takes into account contemporaneous cross-correlation and heterogeneous serial correlation of the regression residuals, allows determination of which members of the panel reject the null hypothesis of a unit root and which do not. Applying the procedure to real exchange rates yields results that are in broad agreement with those obtained from single-equation unit root tests. There is little evidence that a unit root can be rejected in dollar-based real exchange rates for the floating rate period.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 37
Date: 2000-12
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:cuciwp:112956

DOI: 10.22004/ag.econ.112956

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