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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.
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INFRASTRUCTURE, LONG‐RUN ECONOMIC GROWTH AND CAUSALITY TESTS FOR COINTEGRATED PANELS
CANNING, D., & PEDRONI, P. (2008) · The Manchester School · doi:10.1111/j.1467-9957.2008.01073.x · Cited by 421
Self-citationDhahri, S., & Omri, A. (2018) · World Development · doi:10.1016/j.worlddev.2018.01.008 · Cited by 361
Financial inclusion and economic growth linkage: Some cross country evidence
Sethi, D., & Acharya, D. (2018) · Journal of Financial Economic Policy · doi:10.1108/jfep-11-2016-0073 · Cited by 341
The long-run determinants of fertility: one century of demographic change 1900–1999
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Hao, Y., Wang, L.-O., & Lee, C.-C. (2020) · International Review of Economics & Finance · doi:10.1016/j.iref.2018.12.006 · Cited by 134
Inward and outward FDI and income inequality: evidence from Europe
Herzer, D., & Nunnenkamp, P. (2013) · Review of World Economics · doi:10.1007/s10290-013-0148-3 · Cited by 76
Sharma, C., & Sehgal, S. (2010) · Indian Growth and Development Review · doi:10.1108/17538251011084446 · Cited by 53
FDI, Multinationals, and Structural Change in Developing Countries
Pineli, A., Narula, R., & Belderbos, R. (2021) · New Perspectives on Structural Change · doi:10.1093/oso/9780198850113.003.0021 · Cited by 19
Metadata
- Authors
- Pedroni, P.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2001-11
- Volume
- 83
- Issue
- 4
- Pages
- 727-731
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2161007982
- Cited by
- 2,106
- References
- 0
- FWCI
- 19.92
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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