S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 303:
A long memory panel unit root test: PPP revisited

Jonas Andersson and Johan Lyhagen ()

Abstract: In this paper two techniques, long memory and panel data models, are combined in order to increase the power of unit root tests. The power is shown to be always better against fractional alternatives and usually against autoregressive alternatives. The test is then used to reanalyze data sets investigated by Cheung and Lai (1993), Oh (1996) and Papell (1997) who studied the purchasing power parity. In some cases, the test rejected the hypothesis of no cointegration between foreign and domestic prices where the other authors tests did not.

Keywords: Unit root; Long memory; Purchasing power parity; (follow links to similar papers)

JEL-Codes: C12; C14; C22; C23; (follow links to similar papers)

14 pages, February 12, 1999

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0303.pdf.zip    PDF-file (zipped) (129kB) 
hastef0303.pdf    PDF-file (174kB) 
hastef0303.ps    PostScript file (668kB) 
hastef0303.ps.zip    PKZipped PostScript (195kB) 
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0303 This page was generated on 2014-12-14 19:22:57