English, Article edition: PPP over a century: cointegration and structural change Ekaterini Panopoulou

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Bookmark: http://trove.nla.gov.au/version/50603
Physical Description
  • article
Language
  • English

Edition details

Title
  • PPP over a century: cointegration and structural change
Author
  • Ekaterini Panopoulou
Physical Description
  • article
Notes
  • The purpose of this article is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and in the marginal distribution of the regressors. Using annual data for the G-7 countries and the purchasing power parity (PPP), we conclude that the regression coefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP.
  • RePEc:taf:apfelt:v:3:y:2007:i:5:p:319-325
Language
  • English
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