CES VŠEM o aktuálních ekonomických problémech

statistics indicates that PPP holds.) The results for Malta and
Slovakia – significant in other cases – are insignificant for REER.
There is also no change for Hungary and Poland (rejection of
PPP). To sum up, there is even weaker evidence for the REER
exchange rate that PPP holds in the NMS countries.
Table 10: Univariate unit root test – the Bierens (1997) test for REER
Test t. statistics P-value Test t. statistics P-value
Bulgaria -4.0285 [0.9186] Malta -6.2790 [0.1826]
-46.9439 [0.9026] -103.8727 [0.1498]
2.8675 [0.0633] 6.1814 [0.8735]
Cyprus -5.3484 [0.5073] Poland -6.6419 [0.1241]a)
Czech
Republic
-100.974 [0.1905] -76.2201 [0.4927]
7.3935 [0.9308] 5.6712 [0.7454]
-3.7482 [0.9229] Romania -3.7088 [0.9466]
-238.8240 [0.3113] -42.9034 [0.9213]
3.6408 [0.1585] 3.1308 [0.0638]
Hungary -4.3707 [0.8308] Slovakia -5.1902 [0.6035]
-78.0290 [0.4237] -52.2559 [0.8376]
5.0651 [0.7077] 750.9913 [0.3151]
Note: p-values in brackets. Rejection of the
rejected
Source: own calculations.
3.2 Panel unit root tests
is in bold. a) Marginally
If the hypothesis of unit root in a time series was rejected (for
various specifications of the test), we could infer that PPP did
hold as a relationship in the long-run. If that was not the case,
a time series would be an I(1) process and the PPP would not
hold in the long run. As it is unclear which specification is the
right one for individual exchange rates, different specifications
are used. All the pURTs are conducted with panel-specific means
(constant), but they differ in respect to the other options (the
demeaned version of test is used as cross-correlation of
exchange rates was high, with a time trend included or not).
98