"PPP tests in cointegrated panels: Evidence from Asian developing countries"
AbstractThis paper tests the relative version of purchasing power parity (PPP) for a set of ten Asian developing countries using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The test results overwhelmingly reject the PPP hypothesis.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0310012.
Length: 7 pages
Date of creation: 14 Oct 2003
Date of revision:
Note: Type of Document - pdf; prepared on win98; pages: 7
Contact details of provider:
Web page: http://22.214.171.124
Purchasing Power Parity; Panel Cointegration; Unit Root;
Other versions of this item:
- Syed Abul Basher & Mohammed Mohsin, 2004. "PPP tests in cointegrated panels: evidence from Asian developing countries," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 163-166.
- Syed Abul Basher & Mohammed Mohsin, 2002. "Ppp Tests In Cointegrated Panels: Evidence From Asian Developing Countries," Working Papers 2002_05, York University, Department of Economics.
- Syed A. Basher & Mohammed Mohsin, 2003. ""PPP tests in cointegrated panels: Evidence from Asian developing countries"," Macroeconomics 0310013, EconWPA.
- 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
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-ETS-2003-10-20 (Econometric Time Series)
- NEP-IFN-2003-10-20 (International Finance)
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.:
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Peter Pedroni, 1999.
"Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Department of Economics Working Papers
2000-02, Department of Economics, Williams College.
- Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Peter Pedroni, 2000.
"Fully Modified OLS for Heterogeneous Cointegrated Panels,"
Department of Economics Working Papers
2000-03, Department of Economics, Williams College.
- Tom Doan, . "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
- Luciano Gutierrez, 2005. "Tests for cointegration in panels with regime shifts," Econometrics 0505007, EconWPA.
- Ibrahim Chowdhury, 2004. "Purchasing Power Parity and the Real Exchange Rate in Bangladesh: A Nonlinear Analysis," Working Paper Series in Economics 14, University of Cologne, Department of Economics.
- Kalyoncu, Hüseyin & Kula, Ferit & Aslan, Alper, 2010. "The Validity of Purchasing Power Parity Hypothesis in Middle East and Northern Africa Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 125-131, December.
- Joakim Westerlund, 2009. "A note on the use of the LLC panel unit root test," Empirical Economics, Springer, vol. 37(3), pages 517-531, December.
- Chandan Sharma & Sanjay Sehgal, 2010. "Impact of infrastructure on output, productivity and efficiency: Evidence from the Indian manufacturing industry," Indian Growth and Development Review, Emerald Group Publishing, vol. 3(2), pages 100-121, October.
- Westerlund, Joakim, 2006. "Some Cautions on the Use of the LLC Panel Unit Root Test," Research Memorandum 055, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Ritesh Kumar Mishra & Sanjay Sehgal, 2011. "Exchange rates and prices in purchasing power parity framework: Are bilateral real exchange rates stationary?," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 4(3), pages 274-286.
- Marie-Ange VEGANZONES-VAROUDAKIS & Arup MITRA & Chandan SHARMA, 2011.
"Total Factor Productivity and Technical Efficiency of Indian Manufacturing: The Role of Infrastructure and Information & Communication Technology,"
- Arup Mitra & Chandan Sharma & Marie-Ange Veganzones, 2011. "Total Factor Productivity and Technical Efficiency of Indian Manufacturing: The Role of Infrastructure and Information & Communication Technology," Working Papers halshs-00597656, HAL.
- Mark Holmes & Ping Wang, 2006. "Asymmetric adjustment towards long-run PPP: Some new evidence for Asian economies," International Economic Journal, Taylor & Francis Journals, vol. 20(2), pages 161-177.
- Hsing, Y, 2009. "Functional Forms and PPP: The Case of Canada, the EU, Japan, and the U.K," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.