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.