PPP over a century: Cointegration and Structural change

Panopoulou, Ekaterini (2007) PPP over a century: Cointegration and Structural change. Applied Financial Economics Letters, 3 (5). pp. 319-325. ISSN 1744-6546. (doi:10.1080/17446540701222342) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34297)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1080/17446540701222342

Abstract

The purpose of this article is to investigate the ability of parameter

instability tests in regressions with I(1) processes to discriminate between

changes in the cointegrating relationship and in the marginal distribution

of the regressors. Using annual data for the G-7 countries and the

purchasing power parity (PPP), we conclude that the regression coefficient

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:	Article
DOI/Identification number:	10.1080/17446540701222342
Subjects:	H Social Sciences > H Social Sciences (General)
Divisions:	Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User:	Catherine Norman
Date Deposited:	17 Jun 2013 14:03 UTC
Last Modified:	16 Nov 2021 10:11 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/34297 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
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