Purchasing power parity-evidence from a new panel test
This paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, Oxford Bulletin of Economics and Statistics, 61, 631-52,1999) to consider the Purchasing Power Parity hypothesis. The major innovation of this test is that it allows both the testing of unit root...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Taylor & Francis
2002
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| Online Access: | http://hdl.handle.net/20.500.11937/24016 |
| _version_ | 1848751312196337664 |
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| author | MacDonald, Garry Allen, D. Cruickshank, S |
| author_facet | MacDonald, Garry Allen, D. Cruickshank, S |
| author_sort | MacDonald, Garry |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, Oxford Bulletin of Economics and Statistics, 61, 631-52,1999) to consider the Purchasing Power Parity hypothesis. The major innovation of this test is that it allows both the testing of unit root null, using the ADF test, and the stationarity null, using the KPSS test. It is found that the results are inconsistent, suggesting that either alternative hypotheses to a unit root may need to be considered or that panel based testing in this particular context may be of limited value. |
| first_indexed | 2025-11-14T07:50:43Z |
| format | Journal Article |
| id | curtin-20.500.11937-24016 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:50:43Z |
| publishDate | 2002 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-240162017-09-13T15:58:58Z Purchasing power parity-evidence from a new panel test MacDonald, Garry Allen, D. Cruickshank, S This paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, Oxford Bulletin of Economics and Statistics, 61, 631-52,1999) to consider the Purchasing Power Parity hypothesis. The major innovation of this test is that it allows both the testing of unit root null, using the ADF test, and the stationarity null, using the KPSS test. It is found that the results are inconsistent, suggesting that either alternative hypotheses to a unit root may need to be considered or that panel based testing in this particular context may be of limited value. 2002 Journal Article http://hdl.handle.net/20.500.11937/24016 10.1080/00036840110103760 Taylor & Francis restricted |
| spellingShingle | MacDonald, Garry Allen, D. Cruickshank, S Purchasing power parity-evidence from a new panel test |
| title | Purchasing power parity-evidence from a new panel test |
| title_full | Purchasing power parity-evidence from a new panel test |
| title_fullStr | Purchasing power parity-evidence from a new panel test |
| title_full_unstemmed | Purchasing power parity-evidence from a new panel test |
| title_short | Purchasing power parity-evidence from a new panel test |
| title_sort | purchasing power parity-evidence from a new panel test |
| url | http://hdl.handle.net/20.500.11937/24016 |