Purchasing Power Parity Tests in Cointegrated Panels
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- 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 modified and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimension FMOLS and DOLS estimates 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 findings that have been reported in panel unit root studies. © 2001 by the President and Fellows of Harvard College and the Massachusetts Institute of TechnologyKeywords
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This publication has 9 references indexed in Scilit:
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