There is now a vast literature on testing purchasing power parity (PPP). Any test is conditional on a particular econometric specification that embodies a set of auxiliary assumptions. This paper reviews the issues involved in econometric specification and estimation in the time series and panel...

This paper provides a synthesis and further development of a global modelling approach introduced in (Journal of Business and Economic Statistics, Vol. 22 (2004), pp. 129-162), where country-specific models in the form of VARX* structures are estimated relating a vector of domestic variables,...</sub>