Panel unit root tests and real exchange rates

MacDonald, R. (1996) Panel unit root tests and real exchange rates. Economics Letters, 50(1), pp. 7-11. (doi: 10.1016/0165-1765(95)00730-X)

Abstract

Using two real exchange rate data sets, we implement a new form of unit root test. In particular, we use a panel unit root test to jointly test for a unit root in a group of OECD real exchange rates for the recent floating experience. In contrast to many other unit root tests using a similar data set, we are able to reject the null hypothesis of a unit root.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: MacDonald, Professor Ronald
• Authors: MacDonald, R.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Economics Letters
• Publisher: Elsevier
• ISSN: 0165-1765
• ISSN (Online): 1873-7374