State of the art unit root tests and purchasing power parity

Journal of Money, Credit and Banking

Volumn 37, Issue 2, 2005, Pages 361-369

  Lopez, Claude ^a   Murray, Christian J ^b   Papell, David H ^b  

^a UNIVERSITY OF CINCINNATI   (United States)

^b UNIVERSITY OF HOUSTON   (United States)

Author keywords

Lag selection; Purchasing power parity; Unit root tests

Indexed keywords

EID: 18144430623     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1353/mcb.2005.0022     Document Type: Article

References (7)

1. Elliott, Graham, Thomas Rothenberg, and James H. Stock (1996). "Efficient Tests for an Autoregressive Unit Root." Econometrica 64, 813-836.
2. Hall, Alastair (1994) "Testing for a Unit Root in Time Series with Pretest Data-based Model Selection." Journal of Business and Economic Statistics 12, 461-70.
3. Ng, Serena, and Pierre Perron (1995). "Unit Root Test in ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag." Journal of the American Statistical Association 90, 268-281.
4. Ng, Serena, and Pierre Perron (2001). "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power." Econometrica 69, 1519-1554.
5. Papell, David H., and Ruxandra Prodan (2004). "Long Run Purchasing Power Parity: Cassel or Balassa-Samuelson?" University of Houston Working Paper.
6. Taylor, Alan M. (2002). "A Century of Purchasing Power Parity. " The Review of Economics and Statistics 84, 139-150.
7. West, Kenneth D. (1987). "A Note on the Power of Least Squares Tests for a Unit Root." Economics Letters 24, 249-252.