Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks
The goal of this article is to examine evidence for purchasing power parity (PPP) for a panel of Asian countries, namely Malaysia, Thailand, India, Pakistan, Sri Lanka and the Philippines. Our main contribution is that for the first time in this literature we use a panel cointegration test, developed by Westerlund (2006), which allows us to incorporate multiple structural breaks. We find that using Gregory and Hansen's (1996) residual-based test for cointegration and Pedroni's (1999) panel cointegration test without structural breaks provide weak evidence of cointegration between nominal exchange rates vis-a-vis the US dollar and relative prices. However, when we use the Lagrange multiplier panel structural break cointegration test we find strong evidence of panel cointegration, providing evidence for PPP.
Year of publication: |
2010
|
---|---|
Authors: | Narayan, Paresh Kumar |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 42.2010, 3, p. 325-332
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Forecasting Fiji's exports and imports, 2003‐2020
Narayan, Paresh Kumar, (2008)
-
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh, (2015)
-
Market liquidity risk factor and financial market anomalies : evidence from the Chinese stock market
Narayan, Paresh Kumar, (2010)
- More ...