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 (Unpublished)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

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