Abstract
In this chapter we illustrate the use of XploRe panel data quantlets. We apply some of the panel quantlets to a macroeconomic data set to see whether we find evidence in favor of the uncovered interest parity (UIP). Emphasis is given to the illustration of quantlets rather then on elaborated discussion of theory. We use macroeconomic panel data from 16 OECD countries to investigate the empirical evidence for the UIP. To this end a simple fixed effects model is estimated. We deal with the problem of first order autocorrelation by specifying a dynamic panel data model, which is estimated using a GMM estimation procedure suggested by Arrelano and Bond (1991). Furthermore we demonstrate XploRe’s capability to test for unit roots in panel data.
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Breitung, J., Brüggemann, R. (2000). Uncovered Interest Parity What can we learn from panel data?. In: XploRe® — Application Guide. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-57292-0_12
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DOI: https://doi.org/10.1007/978-3-642-57292-0_12
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-67545-7
Online ISBN: 978-3-642-57292-0
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