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Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks

Narayan, Paresh 2010, Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks, Applied economics, vol. 42, no. 3, pp. 325-332.

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Title Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks
Author(s) Narayan, Paresh
Journal name Applied economics
Volume number 42
Issue number 3
Start page 325
End page 332
Publisher Routledge
Place of publication Abingdon, England
Publication date 2010-02
ISSN 1466-4283
0960-3107
1350-4851
Summary The goal of this article is to examine evidence for purchasing power parity (PPP) for a panel of Asian countries, namely Malaysia, Thailand, India, Pakistan, Sri Lanka and the Philippines. Our main contribution is that for the first time in this literature we use a panel cointegration test, developed by Westerlund (2006), which allows us to incorporate multiple structural breaks. We find that using Gregory and Hansen's (1996) residual-based test for cointegration and Pedroni's (1999) panel cointegration test without structural breaks provide weak evidence of cointegration between nominal exchange rates vis-à-vis the US dollar and relative prices. However, when we use the Lagrange multiplier panel structural break cointegration test we find strong evidence of panel cointegration, providing evidence for PPP.
Language eng
Field of Research 140299 Applied Economics not elsewhere classified
Socio Economic Objective 910104 Exchange Rates
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2010
Copyright notice ©2010, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30028370

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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