Purchasing power parity in OECD countries: Evidence from panel unit root
Küçük Resim Yok
Tarih
2008
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper investigates the validity of purchasing power parity (PPP) for 25 OECD countries by using a panel unit-root methodology. The procedure used here is to examine stationarity of real exchange rate. Using ADF unit-root test on single time-series, it is found that real exchange rate of all OECD countries have unit root. This outcome, however, might be due to the generally low power of this test. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit-root tests. We apply the test advocated by Im et al. [Im, K.S., Pesaran, M.H., Shin, Y., 1997. Testing for unit roots in heterogenous panels. University of Cambridge, Department of Applied Economics]. According to estimation results real exchange rate in OECD countries are stationary and support long-run purchasing power parity. © 2007 Elsevier B.V. All rights reserved.
Açıklama
Anahtar Kelimeler
Panel data unit-root test, PPP, Real exchange rate
Kaynak
Economic Modelling
WoS Q Değeri
Q4
Scopus Q Değeri
Q1
Cilt
25
Sayı
3
