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 |
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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: | 16 May 2024 19:01 |
URI: | http://repository.essex.ac.uk/id/eprint/2278 |