haku: @author Strauss, J. / yhteensä: 5
viite: 2 / 5
| Tekijä: | Fleissig, A.R. Strauss, J. |
| Otsikko: | Panel unit root tests of purchasing power parity for price indices |
| Lehti: | Journal of International Money and Finance
2000 : AUG, VOL. 19:4, p. 489-506 |
| Asiasana: | Purchasing power parity Models Europe |
| Kieli: | eng |
| Tiivistelmä: | This paper adopts 4 panel unit root tests to evaluate purchasing power parity (PPP) over the floating period for 6 different price indices. Results generally support PPP, albeit the speeds of adjustment differ considerably btw. price indices and test procedures. The degree of contemporaneous and serial correlation as well as heterogeneity of the series in the panel affect stationarity and the speed of mean reversion. |
SCIMA