uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Testing for Purchasing Power Parity in Cointegrated Panels
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2008 (English)Report (Other academic)
Abstract [en]

This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent float period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Although the shortcomings of previous methods do matter in various cases, the overall results are the same across approaches: The strong PPP hypothesis is forcefully rejected in favor of the weak PPP hypothesis with heterogeneous cointegrating vectors. As a consequence, the strong PPP hypothesis does not even seem to be an acceptable approximation of observed data.

Place, publisher, year, edition, pages
Uppsala: Department of Economics , 2008. , 20 p.
Series
Working paper / Department of Economics, Uppsala University (Online), ISSN 1653-6975 ; 2008:1
Keyword [en]
Purchasing Power Parity, Panel Cointegration, Maximum Likelihood, Fully Modi…ed OLS, Dynamic OLS.
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:uu:diva-210627OAI: oai:DiVA.org:uu-210627DiVA: diva2:663563
Available from: 2013-11-12 Created: 2013-11-12 Last updated: 2013-11-12Bibliographically approved

Open Access in DiVA

fulltext(299 kB)175 downloads
File information
File name FULLTEXT01.pdfFile size 299 kBChecksum SHA-512
0143dfd3fc7924ea46108d3aa8e50121739752bdf987928234321e92a500858279eb9d38e87ca71cf1439ae05f4cf9b29d215974ef7f54a3f9a4558ec781a1e5
Type fulltextMimetype application/pdf

Authority records BETA

Carlsson, Mikael

Search in DiVA

By author/editor
Carlsson, Mikael
By organisation
Department of EconomicsDepartment of Statistics
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 175 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 403 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf