PPP over a century: cointegration and structural change
The purpose of this article is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and in the marginal distribution of the regressors. Using annual data for the G-7 countries and the purchasing power parity (PPP), we conclude that the regression coefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP.
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Volume (Year): 3 (2007)
Issue (Month): 5 ()
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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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