Purchasing Power Parity in Developing Countries: Evidence from Conventional and Fractional Cointegration Tests

• Main Authors: Arize, A. C., Malindretos, John, Grivoyannis, Elias C.
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia Press 2004
• Subjects: HG Finance
• Online Access: http://repo.uum.edu.my/25110/1/IJBF%202%202004%2029%2043.pdf; http://repo.uum.edu.my/25110/; http://ijbf.uum.edu.my/index.php/previous-issues/133-the-international-journal-of-banking-and-finance-ijbf-vol-2-no-1-june-2004

This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkoski et al. (1992) and Geweke and Porter-Hudak (1983) are employed to detect the time...