| Description |
1 online resource (19 pages) : illustrations |
| Series |
IMF working paper ; WP/07/287 |
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IMF working paper ; WP/07/287.
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| Contents |
1. Introduction; 2. Basic model and data; 3. Tests and estimators; 3.1 Maximum likelihood; 3.2 Pedroni's cointegration tests, FMOLS and DOLS; 4. Results; Tables; 1. Results from Larsson and Lyhagen's cointegration and homogeneity tests; 2. Parameter estimates of normalized cointegrating vectors; 3. Results from Pedroni's panel cointegration tests; 4. Results from the between dimension DOLS and FMOLS estimation; 5. Conclusions; 5. Results from the between dimension DOLS and FMOLS estimation; Figures; Appendix; 1. Logarithm of exchange rates; References |
| Summary |
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Our overall results are the same across all approaches: The strong PPP hypothesis is rejected in favour of weak PPP with heterogenenous cointegrating vectors |
| Bibliography |
Includes bibliographical references (pages 17-19) |
| Notes |
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL |
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digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL |
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Print version record |
| Subject |
Purchasing power parity -- Group of Seven countries -- Econometric models
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Purchasing power parity -- Econometric models
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Group of Seven countries
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| Form |
Electronic book
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| Author |
Lyhagen, Johan, author.
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Österholm, Pär, author.
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International Monetary Fund. Western Hemisphere Department, issuing body.
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| ISBN |
1283515318 |
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9781283515313 |
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