Pruebas de cointegración de paridad de poder adquisitivo
[Cointegration Tests of Purchasing Power Parity]
AbstractThree 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10011.
Date of creation: 25 Jul 2008
Date of revision:
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; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
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