Pruebas de cointegración de paridad de poder adquisitivo

Cointegration Tests of Purchasing Power Parity

Frederick Wallace (), René Lozano Cortés () and Luis Fernando Cabrera-Castellanos ()

MPRA Paper from University Library of Munich, Germany

Abstract: Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated version of the data set developed by Taylor (2002). Results of the tests differ somewhat. The Engle-Granger two-step procedure indicates substantial support for PPP with respect to the US dollar while the evidence in favor is much weaker from error correction and autoregressive distributed lag models.

Keywords: Cointegration; purchasing power parity (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn
Date: 2008-07-25
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