Series: IMF Working Papers
Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 December 2007
Keywords: Panel cointegration, Maximum likelihood, Fully modified OLS, Dynamic OLS, cointegration, statistics, econometrics
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimen...