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For which countries did PPP hold? A multiple testing approach

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  • Christoph Hanck

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  • Christoph Hanck, 2009. "For which countries did PPP hold? A multiple testing approach," Empirical Economics, Springer, vol. 37(1), pages 93-103, September.
    • Handle: RePEc:spr:empeco:v:37:y:2009:i:1:p:93-103
    DOI: 10.1007/s00181-008-0224-z
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    1. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
    2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    3. Murray, Christian J. & Papell, David H., 2005. "Do Panels Help Solve the Purchasing Power Parity Puzzle?," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 410-415, October.
    4. Jörg Breitung & Samarjit Das, 2005. "Panel unit root tests under cross‐sectional dependence," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 414-433, November.
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    6. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879, Elsevier.
    7. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
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    9. Karlsson, Sune & Lothgren, Mickael, 2000. "On the power and interpretation of panel unit root tests," Economics Letters, Elsevier, vol. 66(3), pages 249-255, March.
    10. G. M. Grossman & K. Rogoff (ed.), 1995. "Handbook of International Economics," Handbook of International Economics, Elsevier, edition 1, volume 3, number 3.
    11. Papell, David H., 2002. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
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    22. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688, Elsevier.
    23. Janice Boucher Breuer & Robert McNown & Myles Wallace, 2006. "Misleading Inferences from Panel Unit Root Tests: a Reply," Review of International Economics, Wiley Blackwell, vol. 14(3), pages 512-516, August.
    24. Papell, David H & Theodoridis, Hristos, 2001. "The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(3), pages 790-803, August.
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    Citations

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    Cited by:

    1. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
    2. László KÓNYA, 2023. "Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 23(1), pages 33-56.
    3. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
    4. Smeekes, S., 2011. "Bootstrap sequential tests to determine the stationary units in a panel," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    5. Moon, H.R. & Perron, B., 2012. "Beyond panel unit root tests: Using multiple testing to determine the nonstationarity properties of individual series in a panel," Journal of Econometrics, Elsevier, vol. 169(1), pages 29-33.
    6. Smeekes, S. & Urbain, J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).
    7. Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015. "Nonparametric rank tests for non-stationary panels," Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
    8. Matsuki, Takashi & Sugimoto, Kimiko, 2013. "Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break," Economic Modelling, Elsevier, vol. 34(C), pages 52-58.
    9. Hanck, C.H., 2009. "Nonstationary-volatility robust panel unit root tests and the great moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    10. Di Iorio, Francesca & Fachin, Stefano, 2010. "A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007," MPRA Paper 25873, University Library of Munich, Germany.
    11. Joakim Westerlund & Johan Blomquist, 2013. "A modified LLC panel unit root test of the PPP hypothesis," Empirical Economics, Springer, vol. 44(2), pages 833-860, April.
    12. Takashi Matsuki, 2016. "Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach," Empirical Economics, Springer, vol. 51(2), pages 591-619, September.
    13. Perevyshin, Yu. & Skrobotov, A., 2017. "The Price Convergence of Individual Goods in the Russian Regions," Journal of the New Economic Association, New Economic Association, vol. 35(3), pages 71-102.
    14. Xuguang Sheng & Jingyun Yang, 2013. "Truncated Product Methods for Panel Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(4), pages 624-636, August.
    15. Costantini, Mauro & Lupi, Claudio, 2016. "Identifying stationary series in panels: A Monte Carlo evaluation of sequential panel selection methods," Economics Letters, Elsevier, vol. 138(C), pages 9-14.
    16. Xie, Zixiong & Chen, Shyh-Wei & Hsieh, Chun-Kuei, 2021. "Facing up to the polysemy of purchasing power parity: New international evidence," Economic Modelling, Elsevier, vol. 98(C), pages 247-265.
    17. Westerlund, Joakim & Thuraisamy, Kannan & Sharma, Susan, 2015. "On the use of panel cointegration tests in energy economics," Energy Economics, Elsevier, vol. 50(C), pages 359-363.
    18. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Stephan Smeekes, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 398-415, May.
    19. Pesaran, M. Hashem, 2012. "On the interpretation of panel unit root tests," Economics Letters, Elsevier, vol. 116(3), pages 545-546.

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