PPP over a century: cointegration and structural change
Ekaterini Panopoulou ()
Applied Financial Economics Letters, 2007, vol. 3, issue 5, 319-325
The purpose of this article is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and in the marginal distribution of the regressors. Using annual data for the G-7 countries and the purchasing power parity (PPP), we conclude that the regression coefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.
Working Paper: PPP over a century: Co-integration and structural change (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:taf:apfelt:v:3:y:2007:i:5:p:319-325
Ordering information: This journal article can be ordered from
Access Statistics for this article
Applied Financial Economics Letters is currently edited by Mark Taylor
More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().