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2007•SSRN Electronic JournalOpen access

Is the Real Exchange Rate Stationary? The Application of Similar Tests for a Unit Root in the Univariate and Panel Cases

John Beirne, John E. Hunter, Mark Simpson

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Abstract

In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is that on average it holds.

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What this paper is about

In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is that on average it holds.

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OpenAlex reports 5 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this article we show that mean-adjusting panel and univariate time series unit root tests yield similar size when there is no drift. The conclusion of the empirics for Purchasing Power Parity is that on average it holds.

Key concepts: Univariate, Purchasing power parity, Unit root, Econometrics, Mathematics, Statistics, Series (stratigraphy), Univariate analysis

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