Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function

Huizhen He, Ming Che Chou and Tsangyao Chang

Economic Modelling, 2014, vol. 36, issue C, 37-43

Abstract: This study applies Panel SURKSS test with a Fourier function to investigate the properties of long-run purchasing power parity (PPP) in fifteen Latin American countries over the period of December 1994 to February 2010. The empirical results from the univariate unit root and panel-based unit root tests indicate that PPP does not hold for these fifteen countries under study. However, results from the Panel SURKSS test with a Fourier function indicate that PPP is valid for these fifteen countries, with the exception of Honduras. Our results highlight the importance of incorporating both nonlinearities and structural breaks when testing the validity of long-run PPP. These results have important policy implications for these fifteen Latin American countries under study.

Keywords: Purchasing power parity; Panel SURKSS test with a Fourier function; Latin American countries (search for similar items in EconPapers)
JEL-codes: C23 F31 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:37-43

DOI: 10.1016/j.econmod.2013.09.012

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