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A panel data approach to price-value correlations

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  • Andrea Vaona

    ()
    (Department of Economics (University of Verona))

Abstract

Resorting to stationary and non-stationary panel data econometrics we offer tests for "Ricardo's 93% theory of value" for 10 OECD countries over different time periods and aggregation levels. The theory does not find empirical support.

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Bibliographic Info

Paper provided by University of Verona, Department of Economics in its series Working Papers with number 14/2011.

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Date of creation: Oct 2011
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Handle: RePEc:ver:wpaper:14/2011

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Related research

Keywords: value; price; fixed effects model; random effects model; panel unit root tests; panel cointegration tests.;

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  1. Ochoa, Eduardo M, 1989. "Values, Prices, and Wage-Profit Curves in the U.S. Economy," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 13(3), pages 413-29, September.
  2. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(03), pages 597-625, June.
  3. Steedman, Ian & Tomkins, Judith, 1998. "On Measuring the Deviation of Prices from Values," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 22(3), pages 379-85, May.
  4. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, Elsevier, vol. 80(2), pages 287-296, October.
  5. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  6. Andrew Kliman, 2008. "What is spurious correlation? a reply to Díaz and Osuna," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 31(2), pages 345-356, December.
  7. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
  8. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(2), pages 249-272, April.
  9. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 9526, Faculty of Economics, University of Cambridge.
  10. Burke, S P & Godfrey, L G & Tremayne, A R, 1990. "Testing AR(1) against MA(1) Disturbances in the Linear Regression Model: An Alternative Procedure," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 135-45, January.
  11. Emilio Díaz & Rubén Osuna, 2009. "From correlation to dispersion: geometry of the price-value deviation," Empirical Economics, Springer, Springer, vol. 36(2), pages 427-440, May.
  12. Lefteris Tsoulfidis & Theodore Mariolis, 2007. "Labour Values, Prices of Production and the Effects of Income Distribution: Evidence from the Greek Economy," Economic Systems Research, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(4), pages 425-437.
  13. Hsiao,Cheng, 2003. "Analysis of Panel Data," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521522717.
  14. Lefteris Tsoulfidis, 2002. "Values, prices of production and market prices: some more evidence from the Greek economy," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 26(3), pages 359-369, May.
  15. Cockshott, W Paul & Cottrell, Allin F, 1997. "Labour Time versus Alternative Value Bases: A Research Note," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 21(4), pages 545-49, July.
  16. Emilio Díaz & Rubén Osuna, 2008. "Understanding spurious correlation: a rejoinder to Kliman," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 31(2), pages 357-362, December.
  17. Petrovic, Pavle, 1987. "The Deviation of Production Prices from Labour Values: Some Methodology and Empirical Evidence," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 11(3), pages 197-210, September.
  18. Andrew J. Kliman, 2002. "The law of value and laws of statistics: sectoral values and prices in the US economy, 1977--97," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 26(3), pages 299-311, May.
  19. Nelson C. Mark & Donggyu Sul, 2003. "Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 655-680, December.
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Cited by:
  1. Andrea Vaona, 2012. "Price-price deviations are highly persistent - extended version," Working Papers, University of Verona, Department of Economics 08/2012, University of Verona, Department of Economics.

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