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Ppp Tests In Cointegrated Panels: Evidence From Asian Developing Countries

Author

Listed:
  • Syed Abul Basher

    () (York University, Canada)

  • Mohammed Mohsin

    () (University of Tennessee, USA)

Abstract

This 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.

Suggested Citation

  • 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.
  • Handle: RePEc:yca:wpaper:2002_05
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    File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/ppp.pdf
    File Function: First version, 2002
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    References listed on IDEAS

    as
    1. 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.
    2. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
    3. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    4. 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 653-670, Special I.
    5. 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.
    6. 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.
    7. Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Mitra, Arup & Sharma, Chandan & Véganzonès-Varoudakis, Marie-Ange, 2016. "Infrastructure, information & communication technology and firms’ productive performance of the Indian manufacturing," Journal of Policy Modeling, Elsevier, vol. 38(2), pages 353-371.
    2. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
    3. 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.
    4. 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.
    5. C Sharma, 2016. "Does importing more inputs raise productivity and exports? Some evidence from Indian manufacturing," Economic Issues Journal Articles, Economic Issues, vol. 21(1), pages 1-23, March.
    6. MarkJ. Holmes, 2010. "Are Asia-Pacific Real Exchange Rates Stationary? A Regime-Switching Perspective," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 189-203, May.
    7. 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).
    8. Sharma, Abhijit & di Falco, Salvatore & Fraser, Iain, 2015. "Consumption of Salt Rich Products in the UK: Impact of The Reduced Salt Campaign," MPRA Paper 62359, University Library of Munich, Germany.
    9. Simón Sosvilla-Rivero & Emma García, "undated". "Purchasing Power Parity Revisited," Working Papers 2003-20, FEDEA.
    10. 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.
    11. 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.
    12. Robertson, Raymond & Kumar, Anil & Dutkowsky, Donald H., 2014. "Weak-form and strong-form purchasing power parity between the US and Mexico: A panel cointegration investigation," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 241-262.
    13. 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, September.
    14. Luciano Gutierrez, 2005. "Tests for cointegration in panels with regime shifts," Econometrics 0505007, EconWPA.
    15. 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.
    16. 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.
    17. 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).

    More about this item

    Keywords

    Purchasing Power Parity; Panel Cointegration; Unit Roots.;

    JEL classification:

    • 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; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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