Pruebas de cointegración de paridad de poder adquisitivo
[Cointegration Tests of Purchasing Power Parity]
Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated version of the data set developed by Taylor (2002). Results of the tests differ somewhat. The Engle-Granger two-step procedure indicates substantial support for PPP with respect to the US dollar while the evidence in favor is much weaker from error correction and autoregressive distributed lag models.
|Date of creation:||25 Jul 2008|
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- Claude Lopez & Christian J. Murray & David H. Papell, 2004.
"State of the Art Unit Root Tests and Purchasing Power Parity,"
University of Cincinnati, Economics Working Papers Series
2004-04, University of Cincinnati, Department of Economics.
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"Distributions of Error Correction Tests for Cointegration,"
Econometric Society World Congress 2000 Contributed Papers
0561, Econometric Society.
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"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
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- 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.
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"An alternative test of purchasing power parity,"
Elsevier, vol. 92(2), pages 177-183, August.
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"A Century of Purchasing-Power Parity,"
NBER Working Papers
8012, National Bureau of Economic Research, Inc.
- 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.
- repec:ebl:ecbull:v:6:y:2007:i:31:p:1-9 is not listed on IDEAS
- Mohsen Bahmani-Oskooee & Su Zhou & Ali Kutan, 2007. "A Century of Purchasing Power Parity: Further Evidence," Economics Bulletin, AccessEcon, vol. 6(31), pages 1-9.
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