Purchasing Power Parity in the Long Run

Energy consumption and GDP in developing countries: A cointegrated panel analysis

“…To this end, we need to combine information from time series and cross-section data once again, and thus we use a panel unit root test and heterogeneous panel cointegration tests. Toda and Yamamoto (1995) 1960-1999 India and Indonesia EnergyYincome Thailand and the Philippines Energy X income Masih and Masih (1996) Error-correction model Malaysia, Singapore, and the Philippines Non-cointegrated India EnergyYincome Indonesia IncomeYEnergy Pakistan Energy X income Glasure and Lee (1997) 1961-1990 South Korea and Singapore Energy X income Masih and Masih (1998) 1955-1991Sri Lanka and Thailand EnergyYincome Yang (2000) 1954 Taiwan Energy X income Asafu-Adjaye (2000) 1973-1995 India and Indonesia EnergyYincome Thailand and the Philippines Energy X income Turkey EnergyYincome Soytas and Sari (2003) 1950-1992 Argentina Energy X income South Korea IncomeYEnergy Turkey EnergyYincome Indonesia and Poland Non-cointegrated Oh and Lee (2004) 1970-1999 South Korea Energy X income Paul and Bhattacharya (2004) 1950-1996 India Energy X income Jumbe (2004) 1970-1999 Malawi IncomeYEnergy Notes: EnergyYIncome denotes causality runs from energy consumption to income. Income YEnergy denotes causality runs from income to energy consumption.…”

Is there a base currency effect in long-run PPP?

“…8. Abuaf and Jorion (1990) were the first to address the issue of cross-sectional dependence in PPP tests. See Smith (2000) or an interesting discussion of panel unit root tests.…”

“…The second panel approach considered is based on a SUR system as in Abuaf and Jorion (1990) and is estimated by iterative FGLS. 12 Accordingly, the ADF(L i ) equation for each group i in the panel is:…”

Purchasing power parity and cultural convergence: evidence from the global video games market

“…However, studies testing for the presence of unit roots (following Fuller 1979, 1981) have been more accepting of the possibility of the existence of PPP, typically requiring very long samples of data for rejections of the null-hypothesis of a unit root to be considered. 6 Abuaf and Jorion (1990) suggest that, while deviation from PPP levels can be significant in the short run, exchange rates usually revert to long run PPP levels, taking around 3 years for the disparity created by the official exchange rate to be cut in half. It is therefore very difficult to support PPP using data that cover a short time horizon and, as a result, the output from models designed to test for the presence of PPP vary considerably depending on the size of dataset used (Mark 2001) as well as the types of economies selected for analysis (Fujiki and Kitamura 2003).…”