Revisiting purchasing power parity for East Asian countries: sequential panel selection method/
Zhang, Dongxiang
Revisiting purchasing power parity for East Asian countries: sequential panel selection method/ created by Dongxiang Zhang, Tsangyao Chang, Chia-Hao Lee and Ken Hung - Applied economics letters Volume 20, number 1 .
This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS) unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these East Asian countries studied, with the exception of Hong Kong. Our results have important policy implications for these East Asian countries under study.
13504851
Purchasing power parity--Sequential panel selection method--East Asian countries
HB1.A666 APP
Revisiting purchasing power parity for East Asian countries: sequential panel selection method/ created by Dongxiang Zhang, Tsangyao Chang, Chia-Hao Lee and Ken Hung - Applied economics letters Volume 20, number 1 .
This study applies the Sequential Panel Selection Method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to test the validity of long-run Purchasing Power Parity (PPP) for a sample of East Asian countries over the period March 1985 to September 2011. SPSM classifies the whole panel into a group of stationary series and a group of nonstationary series. In doing so, we can clearly identify how many and which series in the panel are stationary processes. Empirical results from the SPSM using the Panel Kapetanios et al. (KSS) unit root test (Ucar and Omay, 2009) with a Fourier function indicate that PPP holds true for most of these East Asian countries studied, with the exception of Hong Kong. Our results have important policy implications for these East Asian countries under study.
13504851
Purchasing power parity--Sequential panel selection method--East Asian countries
HB1.A666 APP