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Testing for Purchasing Power Parity in Cointegrated Panels

Testing for Purchasing Power Parity in Cointegrated Panels »

Source: Testing for Purchasing Power Parity in Cointegrated Panels

Volume/Issue: 2007/287

Series: IMF Working Papers

Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868500

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...

Testing for Purchasing Power Parity in Cointegrated Panels

Testing for Purchasing Power Parity in Cointegrated Panels »

Volume/Issue: 2007/287

Series: IMF Working Papers

Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868500.001

ISBN: 9781451868500

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...