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Pruebas de cointegración de paridad de poder adquisitivo
[Cointegration Tests of Purchasing Power Parity]

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Author Info
Wallace, Frederick
Lozano Cortés, René
Cabrera-Castellanos, Luis F.

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Abstract

Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated version of the data set developed by Taylor (2002). Results of the tests differ somewhat. The Engle-Granger two-step procedure indicates substantial support for PPP with respect to the US dollar while the evidence in favor is much weaker from error correction and autoregressive distributed lag models.

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File URL: http://mpra.ub.uni-muenchen.de/10011/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10011.

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Date of creation: 25 Jul 2008
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Handle: RePEc:pra:mprapa:10011

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Related research
Keywords: Cointegration; purchasing power parity;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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References listed on IDEAS
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  1. Wallace, Frederick H. & Shelley, Gary L., 2006. "An alternative test of purchasing power parity," Economics Letters, Elsevier, vol. 92(2), pages 177-183, August. [Downloadable!] (restricted)
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  2. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June. [Downloadable!] (restricted)
  3. Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  5. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-69, April.
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  6. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2007. "A Century of Purchasing Power Parity: Further Evidence," Economics Bulletin, Economics Bulletin, vol. 6(31), pages 1-9. [Downloadable!]
  7. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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