Purchasing power parity and unit root tests using panel data

Journal of International Money and Finance

Volumn 15, Issue 3, 1996, Pages 405-418

  Oh, Keun Yeob ^a  

^a Chungnam National University   (South Korea)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030163302     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(96)00012-5     Document Type: Article

References (39)

1. ABUAF, N. AND PHILIPPE JORION, 'Purchasing Power Parity in the long run,' The Journal of Finance, March 1990, 45: 157-174.
2. BAILLIE, R.T. AND DAVID D. SELOVER, 'Cointegration and models of exchange rate determination,' International Journal of Forecasting, 1987, 3: 43-51.
3. BREITUNG, JORG AND WOLFGANG MEYER, 'Testing for unit roots in panel data: Are wages on different bargaining levels cointegrated?' Unpublished manuscript, 1991.
4. CORBAE, D. AND SAM OULIARIS, 'Cointegration and test of purchasing power parity,' The Review of Economics and Statistics, August 1988, 70: 508-511.
5. CUMBY, R.E. AND JOHN HUIZINGA, 'The predictability of real exchange rate changes in the short run and long run,' Japan and World Economy, 3: 17-38.
6. DICKEY, DAVID A. AND WAYNE FULLER, 'Distribution of the estimators for autoregressive time series with a unit root,' Journal of the American Statistical Association, June 1979, 74: 427-431.
7. DIEBOLD, F., STEVEN HUSTED AND MARK RUSH, 'Real exchange rate under the gold standard,' Journal of Political Economy, December 1991, 99: 1251-1271.
8. EDISON, H.J., 'Purchasing Power Parity in the long run,' Journal of Money, Credit and Banking, August 1987, 19: 376-387.
9. ENDERS, W., 'ARIMA and Cointegration test of PPP under fixed and flexible exchange rate regimes,' The Review of Economics and Statistics, August 1988, 70: 504-508.
10. FISHER, E.O'N. AND JOON Y. PARK, 'Testing purchasing power parity under the null hypothesis of cointegration,' The Economic Journal, November 1991, 101: 1476-1484.
11. FRANKEL J. AND ANDREW K. ROSE, 'A panel project on Purchasing Power Parity: Mean reversion within and between countries,' Unpublished manuscript, 1995.
12. GRILLI, V. AND GRACIELA KAMINSKY, 'Nominal exchange rate regimes and real exchange rate: Evidence from the United States of America and Great Britain,' Journal of Monetary Economics, April 1991, 27: 192-212.
13. HAKKIO, C.S., 'Does the exchange rate follow a random walk? A Monte Carlo study of four tests for a random walk,' Journal of International Money and Finance, June 1986, 5: 221-229.
14. HAKKIO, C.S. AND MARK RUSH, 'Cointegration: How short is the long run?, Journal of International Money and Finance, December 1991, 10: 571-581.
15. HAMILTON, J., Time Series Analysis, Princeton: Princeton University Press, 1994.
16. HSIAO, C., Analysis of Panel Data, Cambridge: Cambridge University Press, 1986.
17. HUIZINGA, J., 'An empirical investigation of the long run behavior of real exchange rate,' Carnegie-Rochester Conference Series on Public Policy, Autumn 1987, 27: 149-214.
18. JOHNSON, D.R., 'Cointegration, error correction and Purchasing Power Parity between Canada and United States,' Canadian Journal of Economics, 1990, 23: 839-855.
19. JORION, P. AND RICHARD SWEENEY, 'Mean reversion in real exchange rate: Evidence and implications for forecasting,' Unpublished manuscript, 1994.
20. KIM, Y., 'Purchasing Power Parity in the long run: a cointegration approach,' Journal of Money, Credit and Banking, November 1990, 22: 491-503.
21. LEVIN, A. AND CHIEN-FU LIN, 'Unit root test in panel data: Asymptotic and finite sample properties,' UCSD, Discussion Paper 92-23, 1992.
22. LEVIN, A. AND CHIEN-FU LIN, 'Unit root test in panel data: New results,' University of California, San Diego, Discussion Paper 93-56, 1993.
23. LOTHIAN, JAMES R., 'Multi-country evidence on the behavior of Purchasing Power Parity under the current float,' Unpublished manuscript, 1994.
24. LOTHIAN JAMES R. AND MARK TAYLOR, 'Real exchange rate behavior: The recent float from the perspective of the past two centuries,' Journal of Political Economy, June 1996.
25. MARK, N., 'Real and nominal exchange rates in the long run: an empirical investigation,' Journal of International Economics, February 1990, 28: 115-136.
26. MCNOWN, R. AND MYLES S. WALLACE, 'Cointegration test of the monetary exchange rate model for three high inflation economies,' Unpublished manuscript, 1992.
27. MEESE, A. RICHARD AND KENNETH J. SINGLETON, 'On the unit root and the empirical modeling of exchange rate,' The Journal of Finance, September 1982, 37: 1029-1035.
28. NELSON, C.R. AND C.I. PLOSSER, 'Trends and random walks in macroeconomic time series: Some evidence and implications,' Journal of Monetary Economics, September 1982, 10: 139-162.
29. PARK, J.Y. AND P.C.B. PHILLIPS, 'Statistical inference in regression with integrated process: Part 1,' Econometric Theory, 1989, 4: 468-497.
30. PATEL, J., 'Purchasing Power Parity as a long run relation,' Journal of Applied Econometrics, October-December 1990, 5: 367-379.
31. PHILLIPS, P.C.B., 'Time series regression with a unit root,' Econometrica, 1987, 55: 277-301.
32. PHYLAKTIS, K., 'Purchasing Power Parity and cointegration: the Greek evidence from the 1920s,' Journal of International Money and Finance, October 1992, 11: 502-513.
33. QUAH, D., 'International pattern of growth: I, Persistence in cross country disparities,' LSE working paper, 1992.
34. QUAH, D., 'Exploiting cross section variation for unit root inference in dynamic data,' Economics Letters, 1994, 44: 9-19.
35. RUSH, M. AND STEVEN HUSTED, 'Purchasing Power Parity in the long run,' Canadian Journal of Economics, 1985, 18: 137-145.
36. SAID, S.E. AND D.A. DICKEY, 'Testing for unit roots in autoregressive moving average models of unknown order,' Biometrika, 1984, 71: 599-607.
37. STOCK, J., 'Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series,' Journal of Monetary Economics, December 1991, 28: 435-459.
38. SUMMERS, R. AND ALLEN HESTON, 'The Penn World Table Mark 5: an expanded set of international comparisons, 1950-1988,' The Quarterly Journal of Economics, May 1991, 327-368.
39. WU, YANG-RU, 'Are real exchange rates nonstationary?' Unpublished manuscript, 1994.