Munich Personal RePEc Archive

Pruebas de cointegración de paridad de poder adquisitivo

Wallace, Frederick and Lozano Cortés, René and Cabrera-Castellanos, Luis F. (2008): Pruebas de cointegración de paridad de poder adquisitivo.

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Abstract

Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated version of the data set developed by Taylor (2002). Results of the tests differ somewhat. The Engle-Granger two-step procedure indicates substantial support for PPP with respect to the US dollar while the evidence in favor is much weaker from error correction and autoregressive distributed lag models.

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