Is Purchasing Power Parity Overvalued?
用面板数据方法重新检验工业国家在浮动汇率制下的长期购买力平价假说，提出一种新的有限样本面板单位根检验程序，发现多数样本拒绝单位根原假设，且假设序列相关结构过于严格会削弱拒绝证据。
The purpose of this paper is to re-examine the hypothesis of long-run Purchasing Power Parity among industrial countries under the current float using the panel data approach. We propose a new finite-sample panel data unit-root test procedure that allows for a general serial correlation structure and arbitrary contemporaneous correlation in model innovations across countries. This procedure is then applied to the recently developed panel data unit-root tests of Im, Pesaran and Shin (1996) and of Maddala and Wu (1999). The test results show sufficient evidence against the unit-root null for most samples. By comparing our results with the existing ones in the literature, we found that the method of assuming a restrictive serial correlation structure tends to weaken evidence against the unit-root null.