Digging out the PPP hypothesis: an integrated empirical coverage

Carvalho, Miguel de; Júlio, Paulo

doi:10.1007/s00181-010-0441-0

Cited by 7 publications

(5 citation statements)

References 88 publications

(108 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, without appropriate treatment, interdependence across the countries could lead to violations of the cross‐sectional independence assumption in the panel analysis. In particular, the existence of cross‐sectional correlation in the panel estimation model may result in a size distortion such that the econometric tests would be biased toward rejection of the null hypothesis of a nonstationary process (Bai and Ng ; Amornthum and Bonham ; de Carvalho and Júlio ).…”

Section: Introductionmentioning

confidence: 99%

Electricity consumption and economic development in Asia: new data and new methods

Furuoka

2015

Asian-Pac Economic Lit

View full text Add to dashboard Cite

This study uses a new statistical technique, Panel Analysis of Nonstationarity in Idiosyncratic and Common Components (PANIC) analysis, to examine causal linkages between electricity consumption and economic development in 12 Asian countries over the period 1971–2011. The findings indicate that there was no long‐run equilibrium relationship between electricity consumption and economic development in the region as a whole. More importantly, the causality tests detected unidirectional causality from economic development to electricity consumption for East Asian countries and a reverse causal relationship for South Asian countries. These findings have important policy implications for sustainable energy consumption.

show abstract

Section: Introductionmentioning

confidence: 99%

Electricity consumption and economic development in Asia: new data and new methods

Furuoka

2015

Asian-Pac Economic Lit

View full text Add to dashboard Cite

show abstract

“…RERs of the United Kingdom, United States, France, Germany and Japan for the period 1982 to 1997 and demonstrated that the PPP hypothesis fails. Carvalho and Julio (2012) analyzed the PPP theory for 20 OECD member economies using a large number of unit root tests. The authors failed to provide strong support for the PPP theory by using the standard time series unit root tests.…”

Section: Literature Surveymentioning

confidence: 99%

“…First, it is well documented in the literature that conventional panel unit root tests that do not consider CSD lead to serious size distortions. Allowing for CSD is especially important when testing for PPP, because RERs by construction contain two common components: the foreign price index, and the value of the numeraire currency, which naturally causes them to be cross-sectionally dependent (O' Connell, 1998;Carvalho and Julio, 2012). Second; if the panel unit root test leads to the rejection of the unit root null, then this does not mean that all of the series in the panel contain a unit root (Taylor and Sarno, 1998;Sarno and Taylor, 1998).…”

Section: Introductionmentioning

confidence: 99%

Is there a Purchasing Power Parity (PPP) Puzzle? New Evidence from a Nonlinear Asymmetric Panel Unit Root Test

Corakci¹

2016

Ekonomik Yaklasim

View full text Add to dashboard Cite

In this study the validity of the purchasing power parity (PPP) hypothesis is re-investigated for a panel of 24 OECD countries. The econometric methodology implemented not only allows for asymmetric nonlinear mean reversion within a panel context, but also corrects for the cross-sectional dependence bias frequently encountered in panel data. This feature is important because a test that ignores the presence of asymmetry and cross-sectional dependence when they are in fact present in the data would lead to misleading results. We obtain relatively stronger evidence in favor of the PPP hypothesis when compared to the other alternative panel unit root tests. However, on the whole, this support is still weak even after allowing for asymmetric nonlinear mean reversion in the real exchange rate series. Therefore, to reconcile the data with the theory further methods should be developed.

show abstract

“…In practice we are often faced with the question whether economic time series are stationary (de Carvalho and Júlio, 2012). One of the most used tests for such a purpose is the test of Kwiatkowski et al.…”

Section: Preliminary Analysis Of Initial Claims Datamentioning

confidence: 99%

Dynamic Threshold Modelling and the US Business Cycle

Carvalho

Turkman

Rua

2013

Journal of the Royal Statistical Society Series C: Applied Statistics

View full text Add to dashboard Cite

Leading economic indicators are often used to anticipate changes in key economic variables. Understanding the dynamics of these indicators is of primary interest for policy-making objectives and for sustainable economic welfare. We are concerned with the problem of setting a dynamic threshold above which the value of leading indicators would be considered as extreme. We propose a dynamic threshold modelling approach based on fractionally integrated processes where a semiparametric method is used to determine the amount of differencing that is required to obtain a weakly stationary process-to which standard methods of statistics of extremes apply. Given that our approach is linked to the Box-Jenkins method, we refer to the procedure proposed and applied herein as the Box-Jenkins-Pareto procedure. We use our approach to analyse the weekly number of unemployment insurance claims in the USA and explore the connection between its threshold exceedances and the US business cycle.

show abstract

Digging out the PPP hypothesis: an integrated empirical coverage

Cited by 7 publications

References 88 publications

Electricity consumption and economic development in Asia: new data and new methods

Electricity consumption and economic development in Asia: new data and new methods

Is there a Purchasing Power Parity (PPP) Puzzle? New Evidence from a Nonlinear Asymmetric Panel Unit Root Test

Dynamic Threshold Modelling and the US Business Cycle

Contact Info

Product

Resources

About