Does the PPP condition hold for oil-exporting countries? A quantile cointegration regression approach
نویسندگان
چکیده
منابع مشابه
For Which Countries did PPP hold ? A Multiple Testing Approach
We use recent advances in multiple testing to identify the countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has higher power than traditional multiple testing techniques by exploiting the dependence structure betw...
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This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results for CPI are mixed. The PPP is rejected ...
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We use recent advances in the multiple testing literature to identify those countries for which Purchasing Power Parity (PPP) held over the last century. The approach controls the multiplicity problem inherent in simultaneously testing for PPP on several time series, thereby avoiding spurious rejections. It has higher power than traditional multiple testing techniques by exploiting the dependen...
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ژورنال
عنوان ژورنال: International Journal of Finance & Economics
سال: 2018
ISSN: 1076-9307
DOI: 10.1002/ijfe.1603