320
Views
20
CrossRef citations to date
0
Altmetric
Original Articles

A more powerful panel unit root test with an application to PPP

Pages 75-80 | Published online: 16 Jan 2009

References

  • Breuer , J. B. , McNown , R. and Wallance , M. 2001 . Misleading inferences from panel unit-tests with an illustration from purchasing power parity . Review of International Economics , 9 : 482 – 93 .
  • Elliott , G. , Rothenberg , T. J. and Stock , J. H. 1996 . Efficient tests for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • Greene , W. H. , ed. 1993 . Econometric Analysis , 2nd , Prentice-Hall .
  • Im , K. S. , Pesaran , M. H. and Shin , Y. 1997 . Testing for unit roots in heterogeneous panels, mimeo, Department of Applied Economics , University of Cambridge .
  • Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root . Journal of Econometrics , 54 : 159 – 78 .
  • Leybourne , S. J. 1995 . Testing for unit roots using forward and reverse Dickey-Fuller regressions . Oxford Bulletin of Economics and Statistics , 57 : 559 – 71 .
  • Lothian , J. R. and Taylor , M. P. 1996 . Real exchange rate behavior: the recent float from the perspective of the past two centuries . Journal of Political Economy , 104 : 488 – 509 .
  • Maddala , G. S. and Kim , I. M. 1998 . Unit Roots, Cointegration and Structural Change , Cambridge University Press .
  • Park , H. J. and Fuller , W. A. 1995 . Alternative estimators and unit root tests for the autoregressive process . Journal of Time Series Analysis , 16 : 415 – 29 .
  • Perron , P. and Ng , S. 1996 . Useful modifications to some unit root tests with dependent errors and their asymptotic properties . The Review of Economic Studies , 63 : 435 – 63 .
  • Taylor , M. 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
  • Taylor , M. and Sarno , L. 1998 . The behavior of real exchange rates during the post Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
  • Taylor , M. 2003 . Purchasing power parity . Review of International Economics , 11 : 436 – 52 .
  • Taylor , M. 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.