In this article we show that mean-adjusting Panel and Time Series unit root tests
yields similar size when there is no drift. The conclusion of the empirics for
Purchasing Power Parity is that it holds on average

Beirne, J

Hunter, J

Simpson, M

English

Brunel University Research Archive

A Consistent test for a Unit Root,

A Heteroskedasticity-consistent Covariance Estimator and a Direct Test for Heteroskedasticity.

Cross Arbitrage and Specification in Exchange Rate Models,

Distribution of the Estimators for Autoregressive Time Series with a Unit Root,

Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the Long-run? - An Example of Likelihood Inference in a Multivariate Time-Series Model,

Econometric Theory and Methods

Efficient tests for an autoregressive unit root.

Heterogeneous Panel Unit Root Tests and Purchasing Power Parity,

Improving Size and Power of Unit Root Tests,

Money and Foreign Exchanges after

Non-Stationary Economic Time Series

PcGive 11, Volume IV: Interactive Monte Carlo Experimentation using PcNaive,

Purchasing Power in the Long Run,

Purchasing Power Parity Under the Current Float: New Evidence from a Panel Data Unit Root Test, mimeograph, Department of Financial and Managerial Economics,

Real Exchange Rate Behaviour: The Recent Float from the Perspective of the Past Two Centuries,

Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion,

Regression-Based Unit Root Tests with Recursive Mean Adjustment for Seasonal and Non-Seasonal Time Series,

Searching for Stationarity: Purchasing Power Parity under the Current Float,

Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate,

Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK,

Stationary Linear Time Series Models, Palgrave Handbook of Econometrics,

Studies of Identification and Exogeneity Testing of Exchange Rate Models,

Testing for a Unit Root in the presence of near integrated Volatility, Tinbergen Institute Discussion Paper,

Testing for a unit root in time series regression.

Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order&quot;,

Testing for Unit Roots in Heterogeneous Panels,

Tests of Cointegrating Exogeneity for PPP and Uncovered Interest Rate Parity for the UK,

Tests of Exogeneity for Long-Run PPP and Uncovered Interest Parity in an Identified Model of the United Kingdom Effective Exchange Rate, Discussion Paper, Brunel University 14-95, presented at ESEM96 in Istanbul.

The Foreign Exchange Market,

The Overvaluation of Purchasing Power Parity,

The specification of cross exchange rate equations used to test Purchasing Power Parity,

Is the real exchange rate stationary? - a similar sized test approach for the univariate panel cases

Is the real exchange rate stationary? - a similar sized test approach for the univariate panel cases

Abstract

Similar works

Full text

Available Versions

Brunel University Research Archive