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Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory

Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …

Persistent link: https://www.econbiz.de/10003746940

Validity of purchasing power parity for selected Latin American countries : linear and non-linear unit root tests

Vasconcelos, Claudio Roberto Fóffano; Lima Júnior, … - In: Economia : revista da ANPEC 17 (2016) 1, pp. 114-125

The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008)...

Persistent link: https://www.econbiz.de/10011865666

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

Persistent link: https://www.econbiz.de/10014500904

Purchasing Power Parity in OECD Countries : Evidence from Panel Unit Root

Kalyoncu, Huseyin - 2017

This paper investigates the validity of purchasing power parity (PPP) for 25 OECD countries by using a panel unit-root methodology. The procedure used here is to examine stationarity of real exchange rate. Using ADF unit-root test on single time-series, it is found that real exchange rate of all...

Persistent link: https://www.econbiz.de/10012970249

Testing the purchasing power parity hypothesis : case of ASEAN economies

Bekő, Jani; Boršič, Darja - In: Naše gospodarstvo : NG 64 (2018) 4, pp. 74-85

We examine the purchasing power parity (PPP) hypothesis of 10 members of ASEAN. A battery of panel unit root tests is employed on data series from January 1995 to January 2018 in order to search for validity of PPP in the period before the Great Recession and in the post-crisis period. All the...

Persistent link: https://www.econbiz.de/10012021749

World-wide purchasing power parity

Jacobson, Tor; Nessén, Marianne - 1998

Persistent link: https://www.econbiz.de/10011583890

Are PPP tests erratically behaved? : some panel evidence

Caporale, Guglielmo Maria (contributor); … - 2006

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce …

Persistent link: https://www.econbiz.de/10003394591

Panel data tests of PPP : a critical overview

Caporale, Guglielmo Maria; Cerrato, Mario - 2004

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of … necessarily outperform OLS. Finally, cointegration between different groups in the panel could also be a source of size … the PPP puzzle. -- Purchasing Power Parity (PPP) ; panel unit root and cointegration tests ; cross-sectional dependence …

Persistent link: https://www.econbiz.de/10009728980

The ASEAN experience of the purchasing power parity theory

Murad, S. M. Woahid; Hossain, Mohammad Amzad - In: Financial innovation : FIN 4 (2018) 23, pp. 1-10

Appl Econ 22:265-312, 2007). For panel cointegration analysis, we employed the four error-correction-based Westerlund (Oxf … Bull Econ Stat 69:709-748, 2007) panel cointegration tests. The Westerlund (Oxf Bull Econ Stat 69:709-748, 2007) tests are … estimated the cointegration test excluding Indonesia and Brunei. The findings support our initial results. Further, all the …

Persistent link: https://www.econbiz.de/10011921966

Does Purchasing Power Parity Hold in African Less Developed Countries? Evidence from a Panel Data Unit Root Test

Holmes, Mark - 2000

This study tests for long-run relative purchasing power parity among a sample of 27 African less developed countries. For this purpose, a new test advocated by Im and co-workers is employed which allows one to test for unit roots in heterogeneous panel datasets. This is known as the t-bar test,...

Persistent link: https://www.econbiz.de/10014155216