Download this Paper Open PDF in Browser

Evidence of Purchasing Power Parity for the Floating Regime Period

University of Cincinnati, Economics Working Papers Series

16 Pages Posted: 27 Jan 2004  

Claude Lopez

Milken Institute

Date Written: March 2006

Abstract

This paper investigates the PPP hypothesis within industrialized countries for the post-Bretton Woods period via two panel unit root tests, the DF-GLS-SUR and the ADF-SUR tests, respectively developed by Lopez (2005) and Levin, Lin and Chu (2002). Both approaches allow for data specific serial and contemporaneous correlation. While both tests provide PPP evidence for the post 1973 period, the more powerful DF-GLS-SUR test demonstrates consistently stronger results, especially for the 1973-1998 period.

Keywords: PPP, panel, GLS-detrending

Suggested Citation

Lopez, Claude, Evidence of Purchasing Power Parity for the Floating Regime Period (March 2006). University of Cincinnati, Economics Working Papers Series . Available at SSRN: https://ssrn.com/abstract=490162 or http://dx.doi.org/10.2139/ssrn.490162

Claude Lopez (Contact Author)

Milken Institute ( email )

1250 Fourth Street
Santa Monica, CA 90401
United States

HOME PAGE: http://claudelopez.com

Paper statistics

Downloads
60
Rank
303,651
Abstract Views
452