Purchasing Power Parity Tests in Cointegrated Panels
No 2001-01, Department of Economics Working Papers from Department of Economics, Williams College
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
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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)
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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