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
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
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