State of the Art Unit Root Tests and Purchasing Power Parity
指出Taylor（2002）关于长期购买力平价成立的结论对单位根检验中滞后阶数选择方法敏感，采用更优方法后，在16个工业化国家中仅9个国家的实际汇率支持长期购买力平价。
Although the question of whether Purchasing Power Parity (PPP) holds in the long run has been extensively studied, the answer is still controversial. Some of the strongest evidence is provided by Taylor (2002), who concludes that long-run PPP held over the twentieth century. We argue that this conclusion is quite sensitive to the use of sub-optimal lag selection in unit root tests. Using superior lag selection methods, we find that long run PPP held for the real exchange rates of only 9 out of the 16 industrialized countries in Taylor’s sample with the U.S. dollar as the base currency.