Purchasing Power Parity Tests in Cointegrated Panels
نویسنده
چکیده
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 modi ed and dynamic OLS approaches , and strongly reject the hypothesis . We also introduce a new between-dimensio n dynamic OLS estimator and nd 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 ndings that have been reported in panel unit root studies.
منابع مشابه
June, 1996 FULLY MODIFIED OLS FOR HETEROGENEOUS COINTEGRATED PANELS AND THE CASE OF PURCHASING POWER PARITY
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