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The Validity of PPP Theory in ASEAN-Five: Another Look on Cointegration and Panel Data Analysis

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Author Info
Chee-Keong Choong (Universiti Tunku Abdul Rahman)
Wai-Ching Poon (TMultimedia University)
Muzafar Shah Habibullah (Universiti Putra Malaysia)
Zulkornain Yusop (Universiti Putra Malaysia)

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Abstract

The study aims to examine the robustness of different PPP models by applying different types of econometric techniques in ASEAN-Five economies from 1983:M1 to 2002:M9. Two versions of PPP theory have been estimated within Engle-Granger bivariate cointegration test, Johansen- Juselius multivariate cointegration model and panel data analysis proposed by Gujarati (2003). Based on the bivariate test, we found that PPP theory does not hold in the countries under concerned, while the validity of the PPP was confirmed if the multivariate procedure was applied. A supporting finding was documented when we analyse the robustness of the theory by looking on panel data analysis. Therefore, this study can be viewed as an additional work in providing justification for the theory of PPP in ASEAN-Five economies.

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Paper provided by EconWPA in its series International Trade with number 0309018.

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Date of creation: 06 Sep 2003
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Handle: RePEc:wpa:wuwpit:0309018

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Related research
Keywords: PPP; cointegration; panel analysis; ASEAN;

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Find related papers by JEL classification:
L31 - Industrial Organization - - Nonprofit Organizations and Public Enterprise - - - Nonprofit Institutions; NGOs
N10 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - General, International, or Comparative
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Armin Shmilovici & Yoav Kahiri & Irad Ben-Gal & Shmuel Hauser, 2009. "Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm," Computational Economics, Springer, vol. 33(2), pages 131-154, March. [Downloadable!] (restricted)
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