PPP over a century: cointegration and structural change
AbstractThe purpose of this article is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and in the marginal distribution of the regressors. Using annual data for the G-7 countries and the purchasing power parity (PPP), we conclude that the regression coefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 5 ()
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Web page: http://www.tandfonline.com/RAFL20
Other versions of this item:
- Ekaterini Panopoulou, 2006. "PPP over a century: Co-integration and structural change," Economics, Finance and Accounting Department Working Paper Series n1650306, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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