EconPapers    
Economics at your fingertips  
 

PPP over a century: Co-integration and structural change

Ekaterini Panopoulou ()

Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth

Abstract: The purpose of this paper is to investigate the ability of parameter instability tests in regressions with 1(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the Purchasing Power Parity, 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.

JEL-codes: F31 C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repec.maynoothuniversity.ie/mayecw-files/N1650306.pdf (application/pdf)

Related works:
Journal Article: PPP over a century: cointegration and structural change (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1650306

Access Statistics for this paper

More papers in Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-10-24
Handle: RePEc:may:mayecw:n1650306