Panel unit root tests of purchasing power parity for price indices

被引：32

作者：

Fleissig, AR

Strauss, J ^{[1
]}

机构：

[1] St Louis Univ, Dept Econ, St Louis, MO 63108 USA

[2] Calif State Univ Fullerton, Dept Econ, Fullerton, CA 92634 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2000年 / 19卷 / 04期

关键词：

panel unit root tests; purchasing power parity;

D O I：

10.1016/S0261-5606(00)00017-6

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper adopts four panel unit root tests to evaluate PPP over the floating period for six different price indices. Results generally support PPP, albeit the speeds of adjustment differ considerably between price indices and test procedures. The degree of contemporaneous and serial correlation as well as heterogeneity of the series in the panel affect stationarity and the speed of mean reversion. (C) 2000 Elsevier Science Ltd. All rights reserved.

引用

页码：489 / 506

页数：18

共 45 条

[1] PURCHASING POWER PARITY IN THE LONG-RUN [J].