Purchasing Power Parity Tests in Cointegrated Panels

Peter Pedroni

No 2001-01, Department of Economics Working Papers from Department of Economics, Williams College

Abstract: This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modifed and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimensio n FMOLS and DOLS estimates of the long-run deviation from purchasing power parity are larger than the correspondin g within-dimension estimates. Finally, we attempt to reconcile these rejections with the mixed findings that have been reported in panel unit root studies.

Pages: 5 pages
Date: 2001-11
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Citations: View citations in EconPapers (930)

Published in Review of Economics and Statistics, November 2001, v. 83, iss. 4, pp. 727-31

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https://web.williams.edu/Economics/wp/pedronipurchasing.pdf Full text (application/pdf)

Related works:
Journal Article: Purchasing Power Parity Tests In Cointegrated Panels (2001)
Software Item: PANELDOLS: RATS procedure to perform panel data group mean DOLS
Software Item: PANELFM: RATS procedure to perform panel data group mean FMOLS
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