IDEAS home Printed from https://ideas.repec.org/a/tpr/restat/v85y2003i2p476-480.html
   My bibliography  Save this article

The Generalized Composite Commodity Theorem: Stronger Support in the Presence of Data Limitations

Author

Listed:
  • George C. Davis

    (Texas A&M University)

Abstract

Because of common data limitations, the existing testing framework for the generalized composite commodity theorem (Lewbel, 1996) is incomplete. This note clarifies and strengthens the testing procedure by implementing modified Bonferroni procedures. The conditions are established for consistency between the existing and modified Bonferroni tests. In an empirical application, the Bonferroni tests provide more powerful support for the generalized composite commodity theorem than is obtained from the existing test. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • George C. Davis, 2003. "The Generalized Composite Commodity Theorem: Stronger Support in the Presence of Data Limitations," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 476-480, May.
  • Handle: RePEc:tpr:restat:v:85:y:2003:i:2:p:476-480
    as

    Download full text from publisher

    File URL: http://www.mitpressjournals.org/doi/pdf/10.1162/rest.2003.85.2.476
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "A panel project on purchasing power parity: Mean reversion within and between countries," Journal of International Economics, Elsevier, pages 209-224.
    2. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, pages 243-273.
    3. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, pages 647-668.
    4. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, pages 107-134.
    5. Kenneth Rogoff, 1992. "Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 10(2), pages 1-29, November.
    6. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, pages 193-215.
    7. Neary, Peter, 1988. "Determinants of the Equilibrium Real Exchange Rate," American Economic Review, American Economic Association, pages 210-215.
    8. Maurice Obstfeld., 1993. "Model Trending Real Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C93-011, University of California at Berkeley.
    9. Hsieh, David A., 1982. "The determination of the real exchange rate : The productivity approach," Journal of International Economics, Elsevier, pages 355-362.
    10. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584-584.
    11. Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, pages 73-93.
    12. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, January.
    13. Backus, David K. & Smith, Gregor W., 1993. "Consumption and real exchange rates in dynamic economies with non-traded goods," Journal of International Economics, Elsevier, pages 297-316.
    14. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, pages 115-136.
    15. Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
    16. Stockman, Alan C & Tesar, Linda L, 1995. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements," American Economic Review, American Economic Association, pages 168-185.
    17. Stockman, Alan C & Tesar, Linda L, 1995. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements," American Economic Review, American Economic Association, pages 168-185.
    18. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999. "Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries," Journal of International Economics, Elsevier, pages 245-266.
    19. Mark, Nelson C. & Choi, Doo-Yull, 1997. "Real exchange-rate prediction over long horizons," Journal of International Economics, Elsevier, pages 29-60.
    20. Stephen B. DeLoach, 1997. "Do Relative Prices of Non-traded Goods Determine Long-Run Real Exchange Rates?," Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 891-909, November.
    21. Ken Froot & Kenneth Rogoff, "undated". "Perspectives on PPP and Long-Run Real Exchange Rates," Working Paper 32027, Harvard University OpenScholar.
    22. Corbae, Dean & Ouliaris, Sam, 1988. "Cointegration and Tests of Purchasing Power Parity," The Review of Economics and Statistics, MIT Press, vol. 70(3), pages 508-511, August.
    23. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
    24. Masao Ogaki, 1993. "Unit Roots in Macroeconometrics: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 11(2), pages 131-154, December.
    25. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    26. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics,in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
    27. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    28. Ronald W. Jones & Douglas D. Purvis, 1981. "International Differences in Response to Common External Shocks: The Role of Purchasing Power Parity," Working Papers 419, Queen's University, Department of Economics.
    29. Bergstrand, Jeffrey H, 1991. "Structural Determinants of Real Exchange Rates and National Price Levels: Some Empirical Evidence," American Economic Review, American Economic Association, pages 325-334.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gibson, John & Kim, Bonggeun, 2015. "Hicksian separability does not hold over space: Implications for the design of household surveys and price questionnaires," Journal of Development Economics, Elsevier, pages 34-40.
    2. Reed, Albert J. & Levedahl, J. William & Hallahan, Charles B., 2004. "The Generalized Composite Commodity Theorem And Food Demand Estimation," 2004 Annual meeting, August 1-4, Denver, CO 20107, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Jason H. Grant, 2013. "Is the growth of regionalism as significant as the headlines suggest? Lessons from agricultural trade," Agricultural Economics, International Association of Agricultural Economists, vol. 44(1), pages 93-109, January.
    4. Junichi Minagawa & Thorsten Upmann, 2016. "Price Effects on Compound Commodities," CESifo Working Paper Series 6060, CESifo Group Munich.
    5. Qinghua Liu & C. Richard Shumway, 2004. "Testing aggregation consistency across geography and commodities," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, pages 463-486.
    6. Alexei Onatski & Chen Wang, 2016. "Alternative Asymptotics for Cointegration Tests in Large VARs," Cambridge Working Papers in Economics 1637, Faculty of Economics, University of Cambridge.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:85:y:2003:i:2:p:476-480. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kristin Waites). General contact details of provider: http://mitpress.mit.edu/journals/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.