CES VŠEM o aktuálních ekonomických problémech

influencing and determining behaviour of individual exchange
rates may be heterogeneous. Given the aforementioned
problems (for discussion see below), the Pesaran's CADF test
(allowing for contemporaneous correlation) seems to be the
most reliable one in our case (allowing for different speeds of
adjustment). Its results can be roughly compared to those results
of the LLC and IPS tests.
Table 11: Panel unit root tests – baseline specification
no trend
trend
test t. statistics P-value t. statistics P-value
LLCa) Unadjusted -4.8890 -6.9911
Adjusted ( ) -2.2347 0.0127 -1.1975 0.1156
IPSa) -0.7993 0.2120 -0.1869 0.4259
H-LMa) 102.4918 0.0000 62.5401 0.0000
H-LMa), b) 86.4370 0.0000 55.4475 0.0000
M-Wa), c) Z -5.4454 0.0000 0.0030 0.5012
M-Wa), d) Z -0.6834 0.2472 -0.3226 0.3735
CADFe) -2.413 -3.114
Z[-bar] -2.384 0.009 -3.117 0.001
Note: a) demeaned time series. b) robust option; c) DF, drift; Inverse normal
Z statistics reported, d) PP, drift; Inverse normal Z statistics reported,
e) truncated – approximation of extreme values of the distribution.
Source: own calculations.
However, it does not imply that the PPP has been rejected as
within a group of countries or certain subgroups it may behave
differently (Dufrénot and Sanon, 2005). Therefore, various
subgroups of countries were created and employed (see the
section below). Another problem (for details see Sarno and
Taylor, 2003) is that the variable nature of the relationship
between exchange rates and price indices for individual units of
a panel may lead to ambiguous results. Additionally, the results
of our empirical analysis must be interpreted with caution, as we
have to rely on a limited number of countries (cross sections, ,
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