Noman, Abdullah (2008): Testing for PPP in the MeanGroup Panel Regression Framework: Further Evidence.
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Abstract
The paper investigates the validity of PPP by using 15 OECD countries data of monthly frequency from 1980:01 to 2005:12 and tests for the symmetry and proportionality hypotheses. The test for PPP is conducted in the framework of the General Relative PPP (RPPP) as proposed by Coakley et al. (2005) using the MeanGroup (MG) estimators of Pesaran and Smith (1995). We apply two variants of the MG estimators, namely MG and CMG, where the latter takes into account the problem of crosssectional dependence (CSD). The symmetry null is unequivocally accepted for both estimators in CPI as well as PPI panels. The proportionality null, however, is rejected in the CPI panel with MG procedure but accepted with CMG. In the PPI panel, the MG estimate cannot reject the null while the CMG estimate marginally rejects it. Our findings are only partially supportive of the general RPPP.
Item Type:  MPRA Paper 

Original Title:  Testing for PPP in the MeanGroup Panel Regression Framework: Further Evidence 
Language:  English 
Keywords:  Purchasing Power Parity, MeanGroup Regression, Symmetry and Proportionality, OECD, General Relative PPP 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C23  Models with Panel Data; Longitudinal Data; Spatial Time Series F  International Economics > F3  International Finance > F31  Foreign Exchange 
Item ID:  7860 
Depositing User:  Abdullah Noman 
Date Deposited:  21. Mar 2008 06:19 
Last Modified:  15. Feb 2013 09:42 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/7860 
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Testing for PPP in the MeanGroup Panel Regression Framework: Further Evidence. (deposited 19. Mar 2008 04:35)
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