Purchasing Power Parity - Evidence from a New Panel Test

17 Pages Posted: 5 Nov 2000

See all articles by David E. Allen

David E. Allen

School of Mathematics and Statistics, The University of Sydney; Financial Research Network (FIRN); Department of Finance; School of Business and Law, Edith Cowan University

Stuart N. Cruickshank

School of Finance and Business Economics

Garry MacDonald

Curtin University - School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: September 2000

Abstract

The paper uses a recently suggested test for unit roots in panels of time series data (Maddala and Wu, 1999) to consider the Purchasing Power Parity Hypothesis. The major innovation of this test is that it allows both the testing of the unit root null, using the ADF test, and the stationarity null, using the KPSS test. We find that the the results are inconsistent, suggesting that either alternatives to a unit root null hypothesis may need to be considered or that panel based testing in this particular context may be of limited value.

Keywords: PPP, panel tests, fisher probabilities

JEL Classification: C23, F31

Suggested Citation

Allen, David Edmund and Cruickshank, Stuart N. and MacDonald, Garry, Purchasing Power Parity - Evidence from a New Panel Test (September 2000). Available at SSRN: https://ssrn.com/abstract=241710 or http://dx.doi.org/10.2139/ssrn.241710

David Edmund Allen (Contact Author)

School of Mathematics and Statistics, The University of Sydney ( email )

School of Mathematics and Statistics F07
University of Sydney
Sydney, New South Wales 2006
Australia

HOME PAGE: http://www.maths.usyd.edu.au

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Department of Finance ( email )

Taiwan
Taiwan

School of Business and Law, Edith Cowan University

100 Joondalup Drive
Joondalup, WA 6027
Australia

HOME PAGE: http://www.dallenwapty.com

Stuart N. Cruickshank

School of Finance and Business Economics ( email )

100 Joondalup Drive
Joondalup, WA 6027
Australia

Garry MacDonald

Curtin University - School of Economics and Finance ( email )

GPO Box U 1987
Perth, Western Australia 6845
Australia
+61 892267724 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
248
rank
120,929
Abstract Views
1,943
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information