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The PPP debate: Multiple breaks and cross-sectional dependence

Snaith, S (2012) 'The PPP debate: Multiple breaks and cross-sectional dependence.' Economics Letters, 115 (3). pp. 342-344. ISSN 0165-1765

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Abstract

This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP.

Item Type: Article
Uncontrolled Keywords: Purchasing power parity; Panel unit root; Structural breaks; Cross-sectional dependence
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 07 Mar 2012 13:13
Last Modified: 06 Jan 2022 13:40
URI: http://repository.essex.ac.uk/id/eprint/2278

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