Currency Crises and Purchasing Power Parity in the Asian Countries: Evidence Based on Second-Generation Panel Unit-Root Tests

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks

In this paper the relevance of the PPP as a long-run relationship is studied using a panel of Latin American and Asian countries. We investigate the stationarity of real exchange rates by applying a new panel unit root test that is robust to structural breaks due to currency crises. It turns out that the long-run PPP relationship is relevant for the Asian countries, which experienced a flexible...

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks

Panel Unit Root Tests with GLS-Detrending With an Application to Purchasing Power Parity

We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for smal...

Purchasing power parity in transition countries: Sequential panel selection method

a r t i c l e i n f o JEL Classification: C22 F31 Keywords: Purchasing power parity Real effective exchange rate Transition countries Sequential Panel Selection Method Panel KSS unit root test Fourier function Policy implications This study applies the Sequential Panel Selection Method (SPSM), proposed by Chortareas and Kapetanios (2009) to test the validity of long-run purchasing power parity ...