The purchasing power parity revisited : new evidence for 16 OECD countries from panel unit root tests with structural breaks Narayan, Paresh Kumar 2008, The purchasing power parity revisited : new evidence for 16 OECD countries from panel unit root tests with structural breaks, Journal of international financial markets, institutions and money, vol. 18, no. 2, pp. 137-146, doi: 10.1016/j.intfin.2006.08.002. Attached Files Name Description MIMEType Size Downloads Title The purchasing power parity revisited : new evidence for 16 OECD countries from panel unit root tests with structural breaks Author(s) Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146 Journal name Journal of international financial markets, institutions and money Volume number 18 Issue number 2 Start page 137 End page 146 Publisher Elsevier B.V. Place of publication Amsterdam, The Netherlands Publication date 2008-04 ISSN 1042-4431 1873-0612 Keyword(s) PPP real exchange rate unit root tests Summary In this paper, we apply a range of univariate unit root tests including the Lagrangian multiplier (LM) univariate and panel unit root tests to examine PPP for 16 OECD countries. In addition to incorporating structural breaks in the univariate exchange rate series, we also incorporate structural breaks in the panel exchange rate models. Our main finding from univariate tests, with and without structural breaks and panel LM test with one break, is that real exchange rates are not stationary, inconsistent with PPP hypothesis. However, when we incorporate two structural breaks in the univariate LM test, for most countries we find that real exchange rates are stationary. Moreover, we obtain overwhelming support for PPP when we apply panel LM unit root tests with two structural breaks. Language eng DOI 10.1016/j.intfin.2006.08.002 Field of Research 140305 Time-Series Analysis 140212 Macroeconomics (incl Monetary and Fiscal Theory) HERDC Research category C1.1 Refereed article in a scholarly journal HERDC collection year 2008 Copyright notice ©2008, Elsevier B.V. Persistent URL http://hdl.handle.net/10536/DRO/DU:30018539 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Tue, 08 Sep 2009, 12:46:02 EST Tue, 08 Sep 2009, 12:47:30 EST Tue, 08 Sep 2009, 14:29:40 EST Mon, 23 Nov 2009, 09:21:03 EST Wed, 28 Apr 2010, 12:08:08 EST Wed, 28 Apr 2010, 13:19:58 EST Thu, 06 May 2010, 15:12:37 EST Mon, 14 Jun 2010, 17:58:35 EST Mon, 16 Jun 2014, 12:32:31 EST Thu, 11 Dec 2014, 16:12:03 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 20 times in Scopus Search Google Scholar Access Statistics: 920 Abstract Views, 9 File Downloads  -  Detailed Statistics Created: Tue, 08 Sep 2009, 12:45:59 EST by Leanne Swaneveld