Purchasing Power Parity Tests in Cointegrated Panels
Top Cited Papers
- 1 November 2001
- journal article
- Published by MIT Press in The Review of Economics and Statistics
- Vol. 83 (4), 727-731
- https://doi.org/10.1162/003465301753237803
Abstract
—This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modié ed and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and é nd that the between-dimension FMOLS and DOLS esti- mates of the long-run deviation from purchasing power parity are larger than the corresponding within-dimension estimates. Finally, we attempt to reconcile these rejections with the mixed é ndings that have been reported in panel unit root studies.Keywords
This publication has 9 references indexed in Scilit:
- Fully modified OLS for heterogeneous cointegrated panelsPublished by Emerald ,2004
- A Comparative Study of Unit Root Tests with Panel Data and a New Simple TestOxford Bulletin of Economics and Statistics, 1999
- Linear Regression Limit Theory for Nonstationary Panel DataEconometrica, 1999
- Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countriesJournal of International Economics, 1999
- The overvaluation of purchasing power parityJournal of International Economics, 1998
- Searching for stationarity: Purchasing power parity under the current floatJournal of International Economics, 1997
- Purchasing power parity and unit root tests using panel dataJournal of International Money and Finance, 1996
- A panel project on purchasing power parity: Mean reversion within and between countriesJournal of International Economics, 1996
- Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data TestJournal of Money, Credit and Banking, 1996