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An alternative test of purchasing power parity

  • Wallace, Frederick H.
  • Shelley, Gary L.

The long-horizon approach of Fisher and Seater (1993) is applied to the data developed by Taylor (2002) to test for purchasing power parity (PPP). Even after accounting for the low power of the test, the evidence is generally supportive of PPP.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4JTR8VJ-R/2/f04446ff015877829c2a6ebb52b7223a
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 92 (2006)
Issue (Month): 2 (August)
Pages: 177-183

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Handle: RePEc:eee:ecolet:v:92:y:2006:i:2:p:177-183
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Coe, Patrick J. & Nason, James M., 2003. "The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?," Economics Letters, Elsevier, vol. 78(3), pages 351-356, March.
  2. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  3. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
  4. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
  5. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  6. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
  7. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
  8. Donald W.K. Andrews, 1986. "Power in Econometric Applications," Cowles Foundation Discussion Papers 800, Cowles Foundation for Research in Economics, Yale University.
  9. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
  10. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
  11. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
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