Snaith, S (2012) The PPP debate: Multiple breaks and cross-sectional dependence. Economics Letters, 115 (3). pp. 342-344. DOI https://doi.org/10.1016/j.econlet.2011.12.076
Snaith, S (2012) The PPP debate: Multiple breaks and cross-sectional dependence. Economics Letters, 115 (3). pp. 342-344. DOI https://doi.org/10.1016/j.econlet.2011.12.076
Snaith, S (2012) The PPP debate: Multiple breaks and cross-sectional dependence. Economics Letters, 115 (3). pp. 342-344. DOI https://doi.org/10.1016/j.econlet.2011.12.076
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: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 07 Mar 2012 13:13 |
| Last Modified: | 11 Dec 2024 09:21 |
| URI: | http://repository.essex.ac.uk/id/eprint/2278 |