John Beirne, John E. Hunter, Mark Simpson
Abstract
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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.
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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.
Key concepts: Univariate, Purchasing power parity, Unit root, Econometrics, Series (stratigraphy), Statistics, Unit root test, Mathematics