The PPP debate: Multiple breaks and cross-sectional dependence |
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| Authors: | Stuart Snaith |
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| Institution: | Essex Business School, University of Essex, Wivenhoe Park, Colchester, Essex, CO4 3SQ, United Kingdom |
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| Abstract: | This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In the presence of breaks there is evidence of a currency and price index effect. Additionally accounting for cross-sectional dependence overturns support for PPP. |
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| Keywords: | C32 F31 |
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