Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases

Beirne, John; Hunter, John; Simpson, Mark

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Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases

Quantitative and Qualitative Analysis in Social Sciences Vol. 1, No. 2, pp. 55-70, 2007

16 Pages Posted: 8 Feb 2009

See all articles by John Beirne

John Hunter

Brunel University - School of Social Science

Mark Simpson

affiliation not provided to SSRN

Date Written: September 7, 2007

Abstract

In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is that on average it holds.

Keywords: Nonstationarity, panel data, PPP, real exchange rate, stationarity

JEL Classification: C32

Suggested Citation: Suggested Citation

Beirne, John and Hunter, John and Simpson, Mark, Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases (September 7, 2007). Quantitative and Qualitative Analysis in Social Sciences Vol. 1, No. 2, pp. 55-70, 2007, Available at SSRN: https://ssrn.com/abstract=1299173