The Review of Economics and Statistics Vol. 83 No. 4 2001
Purchasing Power Parity Tests in Cointegrated Panels
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 modified and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimension FMOLS and DOLS estimates of the long-run deviation from purchasing power parity are larger than the corresponding within-dimension estimates. Finally, we attempt to reconcile these rejections with the mixed findings that have been reported in panel unit root studies.
- DOI
- 10.1162/003465301753237803
- Volume
- 83
- Issue
- 4
- Pages
- 727-731
- Language
- en
- Sources
- crossref openalex