University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
Panel Stationarity Tests for Purchasing Power Parity with Cross-sectional
Dependence
B McCabe, Management School, Economics Division, University of Liverpool
Wednesday, 3rd November 2004, 2pm
The Whittaker Room (211)
Abstract:
We investigate the purchasing power parity hypothesis for a group of 17
countries using a new panel based test of stationarity that allows for
arbitrary cross-sectional dependence. We treat the short run time series
dynamics non-parametrically and thus avoid the need to fit separate, and
potentially misspecified, models for the individual series. The statistic
is simple to compute and uses standard Normal critical values, even in the
presence of a wide range of deterministic components. We also show how the
test can be applied using an approximate factor model for cross sectional
dependence. Taken together, these features provide a generally applicable
solution to the problem of testing for stationarity versus unit roots in
macro-panel based data. The tests find significant evidence against the
purchasing power parity hypothesis being true.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
********************************************************
Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
********************************************************
|