| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5507 |
| DP5507 Diagnosing Discrimination: Stock Returns and CEO Gender | |
| Justin Wolfers | |
| 发表日期 | 2006-02-09 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper analyses the properties of multivariate tests of purchasing power parity (PPP) that fail to take heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and heterogeneous unit root testing methodologies. The recent literature has successfully contested several severe restrictions on the structure of the model, but the assumption of homogeneous mean reversion is still widely used and its consequences are virtually unexplored. Using Monte Carlo simulation, we uncover important adverse properties of the methodology that relies on homogeneous estimation and testing. More specifically, power functions are low and assume irregular shapes. Furthermore, homogeneous estimates of the mean reversion parameters exhibit potentially large biases. This can have a dramatic impact on inferences made on the validity of the PPP hypothesis. Our findings highlight the importance of allowing for heterogeneous estimation when testing for a unit root in panels of real exchange rates. |
| 主题 | International Macroeconomics |
| 关键词 | International economics Purchasing power parity Real exchange rates Panel models Unit root tests Heterogeneity |
| URL | https://cepr.org/publications/dp5507 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534362 |
| 推荐引用方式 GB/T 7714 | Justin Wolfers. DP5507 Diagnosing Discrimination: Stock Returns and CEO Gender. 2006. |
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