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. © 2001 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
Keywords
Purchasing power parityEconometricsEstimatorUnit rootEconomicsDimension (graph theory)Parity (physics)Panel dataCointegrationStatisticsMathematicsMacroeconomics
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Publication Info
- Year
- 2001
- Type
- article
- Volume
- 83
- Issue
- 4
- Pages
- 727-731
- Citations
- 2025
- Access
- Closed
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Cite This
Peter Pedroni
(2001).
Purchasing Power Parity Tests in Cointegrated Panels.
The Review of Economics and Statistics
, 83
(4)
, 727-731.
https://doi.org/10.1162/003465301753237803
Identifiers
- DOI
- 10.1162/003465301753237803