Pairwise Tests of Purchasing Power Parity

DOI10.1080/07474930802473702MaRDI QIDQ3182770zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran, Ron Smith, Takashi Yamagata, Lyudmyla Hvozdyk

Publication date 16 October 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://eprints.bbk.ac.uk/id/eprint/1989/1/1989.pdf

zbMATH Keywords

bootstrap estimatescross-ratescross-section dependencepairwise approachpanel datapurchasing power parity

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Recommendations

• A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies
• Testing for PPP: the erratic behaviour of unit root tests
• New panel unit root tests of PPP
• Testing for unit roots in small panels with short-run and long-run cross-sectional dependencies
• A test of long-run purchasing power parity.

Cites work

• A pair-wise approach to testing for output and growth convergence
• A PANIC attack on unit roots and cointegration.
• Determining the Number of Factors in Approximate Factor Models
• Efficient Tests for an Autoregressive Unit Root
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Examination of Some More Powerful Modifications of the Dickey–Fuller Test
• Global and National Macroeconometric Modelling
• Pairwise Tests of Purchasing Power Parity
• Testing for a unit root in panels with dynamic factors
• Testing for a unit root in the nonlinear STAR framework
• 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?

Cited in

(18)

• Testing PPP hypotheses between Japan and the six G7 countries
• A test of purchasing power parity based on the largest principal component of real exchange rates of the main OECD economies
• Testing for PPP: the erratic behaviour of unit root tests
• The PPP debate: price matters!
• Testing for purchasing power parity correcting for non-normality using the wild bootstrap
• Inter-temporal purchasing power parity
• The purchasing power parity fallacy: time to reconsider the PPP hypothesis
• A pair-wise approach to testing for output and growth convergence
• Pairwise Tests of Purchasing Power Parity
• Purchasing Power Parity with Strategic Markets
• Inflation, exchange rates and PPP in a multivariate panel cointegration model
• Some second generation panel unit root tests for investigating the validity of purchasing power parity
• Revisiting purchasing power parity in BRICS countries using more powerful quantile unit-root tests with stationary covariates
• Validity of the purchasing power parity in the V4 countries
• Purchasing Power Parity Analyzed from a Continuous-Time Model
• A test of long-run purchasing power parity.
• Econometric aspects of convergence: a survey
• Panel smooth transition model with covariate-dependent thresholds and its application to the nexus between investment and cash flow

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