Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence
提出一种新的面板平稳性检验方法，允许任意横截面依赖，并用于检验17个国家的购买力平价假说。该方法非参数处理短期动态，使用标准正态临界值，并发现即使考虑结构断点，PPP假说仍被拒绝。
We investigate the purchasing power parity (PPP) 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 nonparametrically 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 different deterministic components. We also evaluate the behavior of the test using a factor model to approximate cross-sectional dependence and find that it generally improves finite-sample performance. Taken together, these features provide a widely applicable solution to the problem of testing for stationarity versus unit roots in macro-panel data. The test finds significant evidence against the PPP null hypothesis being true, even when allowance is made for structural breaks.