Tests of Purchasing Power Parity via cointegration analysis of heterogeneous panels with consumer price indices

Mixed signals among tests for panel cointegration

“…The results reported in Table 3 suggest that in a majority of cases, V g and V p result in a rejection of the no cointegration null, which is consistent with the results obtained in these studies. On the other hand, for the Bahmani-Oskooee, Miteza and Nasir (2002), Harb (2004) and Jenkins and Snaith (2005) data sets, we see that the null hypothesis is usually not rejected, which do not agree with the results provided in these studies.…”

Does the Law of One Price Hold within the EU? A Panel Analysis

“…Our analysis is most closely related to the work by Jenkins and Snaith (2005);Jenkins (2004), andChen (2004). Jenkins and Snaith (2005) employ panel cointegration tests to data on 27 consumer price indices and subindices from six EU countries and the United States.…”

“…Jenkins and Snaith (2005) employ panel cointegration tests to data on 27 consumer price indices and subindices from six EU countries and the United States. While the authors find support for the LOOP for those goods and services that are highly traded between countries, the evidence is fairly weak for goods and services that are not traded.…”

Digging out the PPP hypothesis: an integrated empirical coverage

“…In general, these studies were able to find some support for a stable long-run relationship between nominal exchange rates and prices, but did not find significant evidence Footnote 1 continued the speeds of adjustment differ considerably across different price indices. Along different lines, Jenkins and Snaith (2005) use consumer price sub-index data in a multivariate co-integration framework, and conclude that the failure of PPP can be attributed to the inclusion of non-traded goods in the overall index. that the theoretical co-integration vector is included in the co-integrating space, which can be interpreted as a violation of PPP.…”