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 413:
Why not use standard panel unit root test for testing PPP

Johan Lyhagen ()

Abstract: In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted for. The result is that the size tends to one with the number of cross-sections.

Keywords: Dynamic panels; Monte Carlo; Purchasing power parity; (follow links to similar papers)

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

11 pages, November 29, 2000

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:

hastef0413.pdf    PDF-file (122kB) 
hastef0413.ps    PostScript file (649kB) 
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:0413 This page was generated on 2014-12-14 19:23:01