Purchasing power parity for G-7 countries: panel SURADF tests

Tsangyao Chang, Wen-Chi Liu, Han-Wen Tzeng and Chin-Ping Yu

Applied Economics Letters, 2010, vol. 17, issue 12, 1223-1228

Abstract: In this study, the panel Seemingly Unrelated Regressions Augmented Dickey-Fuller (SURADF) tests advanced by Breuer et al. (2001) are used to test the validity of Purchasing Power Parity (PPP) for G-7 countries over the period 1980M1 to 2008M5. The empirical results from several panel-based unit root tests indicate that PPP does not hold for G-7 countries under study; however, Breuer et al.'s (2001) panel SURADF tests unequivocally indicate that PPP is valid for half of the G-7 countries.

Date: 2010
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DOI: 10.1080/00036840902845467

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