The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity
By David H. Papell, Hristos Theodoridis. 2001
183 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/d76044a986b40c1b2a6e827a87265fe77fe9f9ca
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- J. Breitung
- Anindya Banerjee
- Massimiliano Marcellino
- C. Osbat
- Jushan Bai
- Samarjit Das
- George Kapetanios
- Joerg Breitung
In Finance
- Anindya Banerjee
- Massimiliano Marcellino
- J. Breitung
- George Kapetanios
- C. Osbat
- J. Alba
- Samarjit Das
- Joerg Breitung
Citations in the corpus
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2002, background): “Oh, 1996; Papell, 1997; Sarno and Taylor, 1998; Anker, 1999; Choi, 2001; Papell and Theodoridis, 2001), although several studies cast serious doubt on the existence of a PPP relation (Frankel and Rose, 1996; O’Connell, 1998; Boyd and Smith, 1999).”
- Panel unit root tests under cross‐sectional dependence (2005, background): “OH (1996); PAPELL (1997); COAKLEY and FUERTES (1997); TAYLOR and SARNO (1998); ANKER (1999); PAPELL and THEODORIDIS (2001)), although some other studies cast doubts on the existence of a PPP relation (FRANKEL and ROSE, 1996; O’CONNELL, 1998; BOYD and SMITH, 1999).”
- The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis (2002, background): “…include Abuaf and Jorion (1990), Frankel and Rose (1996), Jorion and Sweeney (1996), Oh (1996), Wu (1996), O’Connell (1998a), Papell (1997), Papell and Theodoridis (1998,2000), and Wu and Wu (1999).20 A panel extension of the univariate ADF test in Equation (2), which accounts for both…”
- Testing for PPP: Should we use panel methods? (2005, background): “In particular, Papell and Theodoridis (2000) …nd that the choice of the numeraire currency is important in determining rejections or acceptance of a unit root in the real exchange rate series.”
- Purchasing power parity and country characteristics: Evidence from panel data tests (2007, background): “Papell and Theodoridis (2001) show stronger rejections of the unit root hypothesis with European rather than non-European numeraire currencies.”
- Inference on stochastic time-varying coefficient models (2014, background): “We note selectively the work of Frankel and Rose (1996), Papell (1997), Papell and Theodoridis (1998), Papell and Theodoridis (2001), Chortareas, Kapetanios, and Shin (2002) and Chortareas and Kapetanios (2009).”