Panel Unit Root Tests with GLS-Detrending With an Application to Purchasing Power Parity
نویسنده
چکیده
We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for small panels. We then investigated the topic of Purchasing Power Parity for the post Bretton-Woods period via this new test. The results show strong rejections of the unit root test hypothesis.
منابع مشابه
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