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    PPP over a century: Cointegration and structural change

    Panopoulou, Dr Ekaterini (2006) PPP over a century: Cointegration and structural change. UNSPECIFIED. (Unpublished)

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    The purpose of this paper is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the Purchasing Power Parity, we conclude that the regression eoefficient between the price level differential and the exchange rate has indeed remained stable during the 20th century and find ample evidence supporting the PPP.

    Item Type: Other
    Additional Information: Department of Economics Working Paper Series N166/03/06
    Keywords: cointegration estimators: PPP: structural change: small-sample properties: structural stability tests:
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 294
    Depositing User: Ms Sandra Doherty
    Date Deposited: 05 Apr 2006
    Refereed: No
      Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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